Oil Price Shocks and Real GDP Growth: Empirical Evidence for Some OECD Countries

66 Pages Posted: 1 Dec 2004

See all articles by Rebeca Jiménez-Rodríguez

Rebeca Jiménez-Rodríguez

University of Salamanca - Department of Economics and Economic History

Marcelo Sanchez

European Central Bank (ECB)

Date Written: May 2004

Abstract

This paper assesses empirically the effects of oil price shocks on the real economic activity of the main industrialised countries. Multivariate VAR analysis is carried out using both linear and non-linear models. The latter category includes three approaches employed in the literature, namely, the asymmetric, scaled and net specifications. We find evidence of a non-linear impact of oil prices on real GDP. In particular, oil price increases are found to have an impact on GDP growth of a larger magnitude than that of oil price declines, with the latter being statistically insignificant in most cases. Among oil importing countries, oil price increases are found to have a negative impact on economic activity in all cases but Japan. Moreover, the effect of oil shocks on GDP growth differs between the two oil exporting countries in our sample, with oil price increases affecting the UK negatively and Norway positively.

Keywords: Macroeconomic fluctuations, oil price shock, non-linear models

JEL Classification: E32, Q43

Suggested Citation

Jiménez-Rodríguez, Rebeca and Sanchez, Marcelo, Oil Price Shocks and Real GDP Growth: Empirical Evidence for Some OECD Countries (May 2004). Available at SSRN: https://ssrn.com/abstract=533107

Rebeca Jiménez-Rodríguez (Contact Author)

University of Salamanca - Department of Economics and Economic History ( email )

Salamanca, 37008
Spain

Marcelo Sanchez

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

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