Abstract
This paper presents a thorough replication of Hamilton (2003) which in turn replicates
and extends the findings of four seminal papers regarding the oil price–GDP growth
relationship. Firstly, we replicate the empirical results obtained with the oil price measures
of Hamilton (1983), Mork (1989), Lee et al. (1995), Hamilton (1996), and Hamilton (2003)
by using an identical data set of real and nominal oil prices. Secondly, we extend the data
sets to 2019Q4 and apply the same methodology. We find that for more recent data, the
explanatory power of the proposed oil price measures on GDP growth rates is still present,
albeit on a slightly weaker magnitude. Extending the ARX(4), we find no evidence that
oil price decreases impact GDP growth rates on the full data set. Parameter stability
tests suggest that the impact of oil price decreases might be limited to certain periods.
and extends the findings of four seminal papers regarding the oil price–GDP growth
relationship. Firstly, we replicate the empirical results obtained with the oil price measures
of Hamilton (1983), Mork (1989), Lee et al. (1995), Hamilton (1996), and Hamilton (2003)
by using an identical data set of real and nominal oil prices. Secondly, we extend the data
sets to 2019Q4 and apply the same methodology. We find that for more recent data, the
explanatory power of the proposed oil price measures on GDP growth rates is still present,
albeit on a slightly weaker magnitude. Extending the ARX(4), we find no evidence that
oil price decreases impact GDP growth rates on the full data set. Parameter stability
tests suggest that the impact of oil price decreases might be limited to certain periods.
| Original language | English |
|---|---|
| Article number | 104786 |
| Number of pages | 10 |
| Journal | Energy Economics |
| Volume | 88 |
| DOIs | |
| Publication status | Published - May 2020 |
Keywords
- Oil prices
- GDP growth
- Asymmetry
- Nonlinearity