Oil Price Shocks and Economic Growth: The Volatility Link

时间:2018-04-10浏览:34设置

ShanghaiTech SEM Working Paper No. 2018-004

  

John M. Maheu

McMaster University and RCEA - DeGroote School of Business

Yong Song

University of Melbourne and RCEA

Qiao Yang

ShanghaiTech University - School of Entrepreneurship and Management


  

Abstract

This paper shows that oil shocks primarily impact economic growth through the conditional variance of growth. We move beyond the literature that focuses on conditional mean point forecasts and compare models based on density forecasts. Over a range of dynamic models, oil shock measures and data we  nd a robust link between oil shocks and the volatility of economic growth...


[View Full Text and Download PDF Version]




Keywords: Bayes factors, predictive likelihoods, nonlinear dynamics, density forecast

JEL Classification: C53, C32, C11, Q43

  

Date Written: December 2017

  

Available at SSRN: http://ssrn.com/abstract=3159715

返回原图
/