Dynamic effects and driving intermediations of oil price shocks on major economies

经济 石油价格 汇率 波动性(金融) 货币经济学 贝叶斯向量自回归 中国 经济 计量经济学 贝叶斯概率 人工智能 计算机科学 法学 政治学
作者
Jie Lin,Hao Xiao,Jian Chai
出处
期刊:Energy Economics [Elsevier BV]
卷期号:124: 106779-106779 被引量:7
标识
DOI:10.1016/j.eneco.2023.106779
摘要

Interest in oil price shocks' economic effects has grown in recent years. However, previous studies mostly failed to clarify the dynamic transmissions of oil price shocks on representative economies from global and driver perspectives, even ignoring oil price fluctuations when linking oil prices and economy together. This paper examines the dynamic relationships and driving intermediations between multiple oil price shocks and macroeconomy by applying Bayesian vector autoregressive models with stochastic volatility and time-varying parameters, using the USA, China, the Euro-19, and Japan as research objects. Results show that, in the whole sample, all oil prices have the strongest effects on Japan, followed by China, Euro-19, and the USA, with possible directional differences. All oil prices' economic effects intensified during the crisis and Covid-19, accompanying significant oil price fluctuations. Regarding asymmetry, in the whole sample and critical times, stronger effects of rising oil prices show in the short term, but opposite in the long term. Consumer price, interest rate, and exchange rate are the general intermediations of oil prices in China and the USA, Euro-19, and Japan, respectively, and exchange rate is the additional intermediation in China, Euro-19, and Japan during the crisis and Covid-19. Overall, the results are solid.
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