Oil Price Shocks in Major Emerging Economies

23 Pages Posted: 11 May 2020

See all articles by Nahiyan Faisal Azad

Nahiyan Faisal Azad

University of Calgary, Students

Apostolos Serletis

University of Calgary - Department of Economics

Date Written: April 16, 2020

Abstract

As the world economic power shifts from the advanced G7 countries — Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States — to the seven largest emerging market countries (EM7) — Brazil, China, India, Indonesia, Mexico, Russia, and Turkey — the vulnerability of these emerging market countries to exogenous shocks is becoming of growing importance. This paper presents a comprehensive examination of the effects of oil price shocks on real economic activity in the EM7 economies in the context of two classes of empirical models. In general, we find that oil price uncertainty has statistically significant effects on the real output of the EM7 economies and that the relationship between oil prices and economic activity is in general symmetric. We also find that oil price uncertainty has in general a negative effect on world crude oil production.

Keywords: Emerging markets, Oil price uncertainty, GARCH-in-Mean VAR

JEL Classification: C32, E32, Q43, O57

Suggested Citation

Azad, Nahiyan Faisal and Serletis, Apostolos, Oil Price Shocks in Major Emerging Economies (April 16, 2020). Available at SSRN: https://ssrn.com/abstract=3577378 or http://dx.doi.org/10.2139/ssrn.3577378

Nahiyan Faisal Azad

University of Calgary, Students ( email )

Canada

Apostolos Serletis (Contact Author)

University of Calgary - Department of Economics ( email )

2500 University Drive, NW
Calgary, Alberta T2N 1N4
Canada
403 220-4091 (Phone)
403 282-5262 (Fax)

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