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Oil shock and economic growth in Japan: A nonlinear approach

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  • Zhang, Dayong
Abstract
This paper investigates the relationship between oil price shock and economic growth on the basis of the nonlinear approach developed by Hamilton [Hamilton, J., 2001. A parametric approach to flexible nonlinear inference. Econometrica 537-573.]. We use the approach, also in Hamilton [Hamilton, J., 2003. What is an oil shock? Journal of Econometrics 363-398.], of capturing this relationship in Japan in a nonlinear model. The idea is that negative oil price shocks (price increase) tend to have larger impact on growth than positive shocks do. Our empirical evidence confirmed the existence of nonlinearity between these two variables and a flexible nonlinear model is estimated. Additionally, several other form of nonlinearity are estimated and tested.

Suggested Citation

  • Zhang, Dayong, 2008. "Oil shock and economic growth in Japan: A nonlinear approach," Energy Economics, Elsevier, vol. 30(5), pages 2374-2390, September.
    • Handle: RePEc:eee:eneeco:v:30:y:2008:i:5:p:2374-2390
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    References listed on IDEAS

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    1. Hamilton, James D., 1996. "This is what happened to the oil price-macroeconomy relationship," Journal of Monetary Economics, Elsevier, vol. 38(2), pages 215-220, October.
    2. Cunado, J. & Perez de Gracia, F., 2005. "Oil prices, economic activity and inflation: evidence for some Asian countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(1), pages 65-83, February.
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    5. Hamilton, James D, 2001. "A Parametric Approach to Flexible Nonlinear Inference," Econometrica, Econometric Society, vol. 69(3), pages 537-573, May.
    6. Gisser, Micha & Goodwin, Thomas H, 1986. "Crude Oil and the Macroeconomy: Tests of Some Popular Notions: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 18(1), pages 95-103, February.
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