Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?

53 Pages Posted: 6 Aug 2018 Last revised: 7 Aug 2018

See all articles by Lanouar Charfeddine

Lanouar Charfeddine

Qatar University - College of Business and Economics

Tony Klein

Queen's University Belfast - Queen's Management School

Thomas Walther

University of St. Gallen - School of Finance

Date Written: May 28, 2018

Abstract

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.

Keywords: Oil prices, GDP growth, Asymmetry, Nonlinearity, Markov switching models, Mixed Data Sampling

JEL Classification: C24, E32, F43, Q43

Suggested Citation

Charfeddine, Lanouar and Klein, Tony and Walther, Thomas, Oil Price Changes and U.S. Real GDP Growth: Is this Time Different? (May 28, 2018). University of St.Gallen, School of Finance Research Paper No. 2018/18. Available at SSRN: https://ssrn.com/abstract=3222572 or http://dx.doi.org/10.2139/ssrn.3222572

Lanouar Charfeddine

Qatar University - College of Business and Economics ( email )

2713 Doha
Qatar

Tony Klein

Queen's University Belfast - Queen's Management School ( email )

Riddel Hall
185 Stranmillis Road
Belfast, BT9 5EE
United Kingdom

Thomas Walther (Contact Author)

University of St. Gallen - School of Finance ( email )

Unterer Graben 21
St.Gallen, CH-9000
Switzerland

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