Rasheed O Alao, Abdulkareem Alhassan, Saheed Alao, Ifedolapo O Olanipekun, Godwin O Olasehinde-Williams, Ojonugwa Usman
{"title":"Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7.","authors":"Rasheed O Alao, Abdulkareem Alhassan, Saheed Alao, Ifedolapo O Olanipekun, Godwin O Olasehinde-Williams, Ojonugwa Usman","doi":"10.1007/s12076-023-00325-z","DOIUrl":null,"url":null,"abstract":"<p><p>Crude oil is an essential source of energy. Without access to energy, output growth is impossible. As a result of this link, volatility in oil prices has the ability to induce fluctuations in the output of both developed and developing economies. Moreover, factors such as business cycles and policy changes often introduce nonlinearity into the transmission mechanism of oil price shocks. This study therefore examines not only the interconnectedness of oil price volatility and output growth, but also the nonlinear, asymmetric impact of oil price volatility on output growth in the countries making up the Group of Seven. To this end, monthly data on West Texas Intermediate oil price and industrial production indices of the Group of Seven countries over the period 1990:01 to 2019:08 is used for empirical analysis. The study employs the DCC and cDCC-GARCH techniques for symmetric empirical analysis. The asymmetric empirical analysis is also conducted via GJR-GARCH, FIEGARCH, HYGARCH and cDCC-GARCH techniques. The findings reveal disparities in the magnitudes of the positive and negative (asymmetric) effects of oil price shocks on output growth. The results also reveal that past news and lagged volatility have a significant impact on the current conditional volatility of the output growth of the Group of Seven countries. The study concludes that the impact of oil price volatility on output growth in the selected economies is asymmetric, the volatility is highly persistent and clustered, and the asymmetric GARCH models outperform the symmetric GARCH models.</p>","PeriodicalId":44710,"journal":{"name":"Letters in Spatial and Resource Sciences","volume":"16 1","pages":"5"},"PeriodicalIF":1.8000,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9965897/pdf/","citationCount":"3","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Letters in Spatial and Resource Sciences","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1007/s12076-023-00325-z","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"GEOGRAPHY","Score":null,"Total":0}
引用次数: 3
Abstract
Crude oil is an essential source of energy. Without access to energy, output growth is impossible. As a result of this link, volatility in oil prices has the ability to induce fluctuations in the output of both developed and developing economies. Moreover, factors such as business cycles and policy changes often introduce nonlinearity into the transmission mechanism of oil price shocks. This study therefore examines not only the interconnectedness of oil price volatility and output growth, but also the nonlinear, asymmetric impact of oil price volatility on output growth in the countries making up the Group of Seven. To this end, monthly data on West Texas Intermediate oil price and industrial production indices of the Group of Seven countries over the period 1990:01 to 2019:08 is used for empirical analysis. The study employs the DCC and cDCC-GARCH techniques for symmetric empirical analysis. The asymmetric empirical analysis is also conducted via GJR-GARCH, FIEGARCH, HYGARCH and cDCC-GARCH techniques. The findings reveal disparities in the magnitudes of the positive and negative (asymmetric) effects of oil price shocks on output growth. The results also reveal that past news and lagged volatility have a significant impact on the current conditional volatility of the output growth of the Group of Seven countries. The study concludes that the impact of oil price volatility on output growth in the selected economies is asymmetric, the volatility is highly persistent and clustered, and the asymmetric GARCH models outperform the symmetric GARCH models.
期刊介绍:
Letters in Spatial and Resource Sciences (LSRS) publishes high-quality, shorter papers on new theoretical or empirical results and on models and methods in the social sciences that contain a spatial dimension. Coverage includes environmental and resource economics, regional and urban economics, spatial econometrics, regional science, geography, demography, agricultural economics, GIS and city and regional planning. Examples of topics include, but are not limited to, environmental damage, urbanization, resource allocation, spatial-temporal data use, regional economic development and the application of existing and new methodologies.LSRS contributes to the communication of theories and methodologies across disciplinary borders. It offers quick dissemination and easy accessibility of new results. Officially cited as: Lett Spat Resour Sci