Reviewing the oil price–GDP growth relationship: A replication study

Item Type Forthcoming
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 only find little 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.
Authors Charfeddine, Lanouar; Klein, Tony & Walther, Thomas
Journal or Publication Title Energy Economics
Language English
Subjects economics
finance
HSG Classification contribution to scientific community
HSG Profile Area SOF - System-wide Risk in the Financial System
Refereed Yes
Date May 2020
Publisher Elsevier
Volume 88
Number 104786
ISSN 0140-9883
Publisher DOI https://doi.org/10.1016/j.eneco.2020.104786
Official URL https://www.sciencedirect.com/science/article/pii/...
Depositing User Prof. Dr. Thomas Walther
Date Deposited 16 Jun 2020 13:11
Last Modified 20 Jul 2022 17:42
URI: https://www.alexandria.unisg.ch/publications/260462

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Charfeddine, Lanouar; Klein, Tony & Walther, Thomas (2020) Reviewing the oil price–GDP growth relationship: A replication study. Energy Economics, 88 (104786). ISSN 0140-9883

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https://www.alexandria.unisg.ch/id/eprint/260462
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