Oil prices and economic activity in Greece

Evangelia Papapetrou ()

Economic Change and Restructuring, 2013, vol. 46, issue 4, 385-397

Abstract: The paper studies the relationship between oil prices and economic activity in Greece during the period 1982:1–2008:8. Different empirical methods are used to estimate whether oil price changes affect asymmetrically the economic activity. A regime-switching model (RS-R) and a threshold regression modeling (TA-R) are applied which have the advantage to capture the dependence structure of the series both in terms of constant and variance. The empirical evidence suggests that the degree of negative correlation between oil prices and economic activity strengths during periods of rapid oil price changes and high oil price change volatility. Copyright Springer Science+Business Media New York 2013

Keywords: Markov switching regime and threshold models; Oil price shocks; Production; C220; E320; Q430 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:kap:ecopln:v:46:y:2013:i:4:p:385-397

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DOI: 10.1007/s10644-013-9140-0

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