TY - UNPB
T1 - Oil Price Changes and U.S. Real GDP Growth
T2 - Is this Time Different?
AU - Charfeddine, Lanouar
AU - Klein, Tony
AU - Walther, T.
PY - 2018
Y1 - 2018
N2 - This paper contributes to the large debate regarding the impact of oil price changes on U.S. GDP growth. Firstly, it replicates empirical findings of prominent studies and finds that the proposed oil price measures have a dissipating effect with recent data up to 2016Q4. Secondly, it re-examines the issue and provides evidence that oil price decreases affect the GDP growth, when taking into consideration mixed data sampling technique. Finally, it puts particular focus on nonlinearity and a possible instability and shows that combining Markov switching and mixed data sampling models allows to identify different regimes permanently changing with the Great Moderation.
AB - This paper contributes to the large debate regarding the impact of oil price changes on U.S. GDP growth. Firstly, it replicates empirical findings of prominent studies and finds that the proposed oil price measures have a dissipating effect with recent data up to 2016Q4. Secondly, it re-examines the issue and provides evidence that oil price decreases affect the GDP growth, when taking into consideration mixed data sampling technique. Finally, it puts particular focus on nonlinearity and a possible instability and shows that combining Markov switching and mixed data sampling models allows to identify different regimes permanently changing with the Great Moderation.
U2 - 10.2139/ssrn.3222572
DO - 10.2139/ssrn.3222572
M3 - Working paper
T3 - University of St.Gallen School of Finance Research Paper Series
BT - Oil Price Changes and U.S. Real GDP Growth
PB - University of St.Gallen School of Finance
ER -