Reviewing the Oil Price - GDP Growth Relationship: A Replication Study

24 Pages Posted: 11 Aug 2019

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

Utrecht University - School of Economics

Date Written: August 7, 2019

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 (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 2016Q4 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 dwindling. This is an indication that linear autoregressive models do not capture the link sufficiently anymore and more encompassing models are needed.

Keywords: Oil prices, GDP growth, Asymmetry, Nonlinearity

JEL Classification: C24, E32, F43, Q43

Suggested Citation

Charfeddine, Lanouar and Klein, Tony and Walther, Thomas, Reviewing the Oil Price - GDP Growth Relationship: A Replication Study (August 7, 2019). QMS Research Paper 2019/09. Available at SSRN: https://ssrn.com/abstract=3432407 or http://dx.doi.org/10.2139/ssrn.3432407

Lanouar Charfeddine

Qatar University - College of Business and Economics ( email )

2713 Doha
Qatar

Tony Klein (Contact Author)

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

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

HOME PAGE: http://www.tony-klein.info

Thomas Walther

Utrecht University - School of Economics ( email )

Kriekenpitplein 21-22
Adam Smith Building
Utrecht, +31 30 253 7373 3584 EC
Netherlands

HOME PAGE: http://www.thomas-walther.info

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