Oil price and economic growth: a long story?
María Gadea (),
Ana Gómez-Loscos and
Antonio Montañés
No 1625, Working Papers from Banco de España
Abstract:
This study investigates changes in the relationship between oil prices and the US economy from a long-term perspective. Although neither of the two series (oil price and GDP growth rates) presents structural breaks in mean, we identify different volatility periods in both of them, separately. From a multivariate perspective, we do not observe a significant effect between changes in oil prices and GDP growth when considering the full period. However, we find a significant relationship in some subperiods by carrying out a rolling analysis and by investigating the presence of structural breaks in the multivariate framework. Finally, we obtain evidence, by means of a time-varying VAR, that the impact of the oil price shock on GDP growth has declined over time. We also observe that the negative effect is greater at the time of large oil price increases, supporting previous evidence of nonlinearity in the relationship.
Keywords: oil price; business cycle; structural breaks (search for similar items in EconPapers)
JEL-codes: C22 C32 E32 Q43 (search for similar items in EconPapers)
Pages: 50 pages
Date: 2016-10
New Economics Papers: this item is included in nep-ene, nep-fdg, nep-gro, nep-his and nep-mac
References: Add references at CitEc
Citations: View citations in EconPapers (10)
Downloads: (external link)
http://www.bde.es/f/webbde/SES/Secciones/Publicaci ... /16/Fich/dt1625e.pdf First version, October 2016 (application/pdf)
Related works:
Journal Article: Oil Price and Economic Growth: A Long Story? (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:1625
Access Statistics for this paper
More papers in Working Papers from Banco de España Contact information at EDIRC.
Bibliographic data for series maintained by Ángel Rodríguez. Electronic Dissemination of Information Unit. Research Department. Banco de España ().