Economic impact of oil price shocks on the Turkish economy in the coming decades: A dynamic CGE analysis

As a small open economy, Turkey depends on both imported oil and natural gas, importing almost two-thirds of its primary energy demand. This paper analyzes the economic effects of oil price shocks for Turkey as a small, open oil- and gas-importing country. To analyze the potential long-term effects of oil price shocks on macroeconomic variables of interest, including GDP, consumer price inflation, indirect tax revenues, trade balance, and carbon emissions, we developed TurGEM-D, a dynamic multisectoral general equilibrium model for the Turkish economy. Using TurGEM-D, we analyzed the impact of oil price shocks under three distinct scenarios: reference, high and low oil prices. The simulation results show that these oil prices have very significant effects on macro indicators and carbon emissions in the Turkish economy.     

The effects of oil price shocks on the Iranian economy

The Iranian economy is highly vulnerable to oil price fluctuations. This paper analyzes the dynamic relationship between oil price shocks and major macroeconomic variables in Iran by applying a VAR approach. The study points out the asymmetric effects of oil price shocks; for instance, positive as well as negative oil price shocks significantly increase inflation. We find a strong positive relationship between positive oil price changes and industrial output growth. Unexpectedly, we can only identify a marginal impact of oil price fluctuations on real government expenditures. Furthermore, we observe the ”Dutch Disease” syndrome through significant real effective exchange rate appreciation.     

The impact of oil shocks on the Spanish economy

This paper analyses the impact of oil price shocks on both the GDP growth and on inflation in the economy of Spain and its seventeen regions. The Qu and Perron (2007) and the Bai and Perron (1998, 2003a and 2003b) methods identify different periods across the sample. Evidence of a diminishing effect of oil price shocks on GDP growth and on inflation is found from the 1970s until the mid 1980s. However, in contrast with previous literature, we find a renewed effect on both these macroeconomic variables after the mid 80s. In Spain, it recovers some of its initial importance in the second half of the 1990s for GDP and between 1986 and 1994 and the 2000s for inflation. In the regions, the influence of oil price shocks on the GDP progressively disappears while the impact on inflation decreases from 1986 onwards but becomes significant again ten years later. The most outstanding result is that oil price movements explain at least some of the recent inflation. Therefore, policy measures to control the economic impact of oil shocks should be implemented in the future.     

Impact of oil price shocks on selected macroeconomic variables in Nigeria

The impact of oil price shocks on the macroeconomy has received a great deal of attention since the 1970 s. Initially, many empirical studies found a significant negative effect between oil price shocks and GDP but more recently, empirical studies have reported an insignificant relationship between oil shocks and the macroeconomy. A key feature of existing research is that it applies predominantly to advanced, oil-importing countries. For oil-exporting countries, different conclusions are expected but this can only be ascertained empirically. This study conducts an empirical analysis of the effects of oil price shocks on a developing country oil-exporter—Nigeria. Our findings showed that oil price shocks do not have a major impact on most macroeconomic variables in Nigeria. The results of the Granger-causality tests, impulse response functions, and variance decomposition analysis all showed that different measures of linear and positive oil shocks have not caused output, government expenditure, inflation, and the real exchange rate. The tests support the existence of asymmetric effects of oil price shocks because we find that negative oil shocks significantly cause output and the real exchange rate.     

The macroeconomic effects of oil price fluctuations on a small open oil-producing country: The case of Trinidad and Tobago

Using vector autoregressive (VAR) methodology, this paper empirically investigates the macroeconomic effects of oil price fluctuations on Trinidad and Tobago. Overall, we find that the price of oil is a major determinant of economic activity of the country. Our impulse response functions suggest that following a positive oil price shock, output falls within the first two years followed by positive and growing response. We also investigate the macroeconomic impact of oil price volatility. Results suggest that an unanticipated shock to oil price volatility brings about random swings in the macroeconomy; however, only government revenue and the price level exhibit significant responses. With regard to the magnitude of the responses, shocks to oil price volatility tend to yield smaller macroeconomic impacts in comparison to shocks to oil prices. Variance decompositions suggest that the price of oil is a major component of forecast variation for most macroeconomic variables. Finally, Granger-causality tests indicate causality from oil prices to output and oil prices to government revenue.     

Oil prices and current account: A structural analysis for the Turkish economy

Although there has been an increasing number of studies about the effects of oil prices on the macroeconomic performances, the literature on the interaction between oil prices and current account is limited, especially for oil importing developing countries. This paper analyzes the impact of oil prices on the current account balances for the Turkish economy using a structural vector autoregression model. Our model allows us to identify the net effect of oil prices on current account balances after controlling for other factors such as output gap and exchange rate misalignment. The results show that the response of current account ratio to oil price shock increases gradually up to the first three months and then starts to decrease, which indicates a significant effect of oil price shocks in the short-run. Moreover, when the obtained structural shocks are employed in a simple regression analysis, the parameter regarding the oil price shocks is found to be negative and statistically significant. The final section discusses the policy implications of the results.     

Are the macroeconomic effects of oil price shock symmetric?: A Factor-Augmented Vector Autoregressive approach

This paper aims to examine the asymmetric effect of oil price shocks on real economic activity in the U.S. within the context of a nonlinear Factor-Augmented Vector Autoregressive (FAVAR) model. By employing simulation methods, we trace the effects of positive and negative oil price shocks on the macroeconomic variables through the Impulse Response Function (IRF). It is found that the negative impacts of higher oil prices are larger than the positive effects of lower oil prices. And the asymmetric effects are more evident when the oil price shocks are larger. The results are robust to different lag specification and choice of factors.     

The impact of oil price shocks in the Canadian economy: A structural investigation on an oil-exporting economy

Oil price shocks and monetary policy response by oil producing economies have been the subject of important theoretical investigation in the modern literature. This topic seems to be well grounded since fluctuations in the US dollar, which is affected by US monetary policy, plays an important role in exacerbating run ups and precipitous falls in world oil prices. We investigate the economic consequences of oil price shocks using an open-economy DSGE model that incorporates demand for and supply of oil while allowing for interaction between domestic and foreign monetary policy. Using Canadian and U.S. data, we quantify the relative importance of oil price shocks and monetary policy response on macroeconomic variables. We show that domestic monetary policy is a key channel that accounts for over 40% of discounted variation in domestic output across a 4-year horizon after an oil shock. In contrast, US monetary policy is of lesser importance in propagating oil price shocks on an oil-exporting economy through the international channel.     

The effects of oil price shocks on output and inflation in China

Crude oil price shocks derive from many sources, each of which may bring about different effects on macro-economy variables and require completely different designs in macro-economic policy; thus, distinguishing the sources of oil price fluctuations is crucial when evaluating these effects. This paper establishes an open-economy dynamic stochastic general equilibrium (DSGE) model with two economies: China and the rest of the world. To assess the effects of oil price shocks, the CES production function is extended by adding oil as an input. Based on the model, the effects of four types of oil price fluctuations are evaluated. The four types of oil price shocks are supply shocks driven by political events in OPEC countries, other oil supply shocks, aggregate shocks to the demand for industrial commodities, and demand shocks that are specific to the crude oil market. Simulation results indicate the following: Oil supply shocks driven by political events mainly produce short-term effects on China's output and inflation, while the other three shocks produce relatively long-term effects; in addition, demand shocks that are specific to the crude oil market contribute the most to the fluctuations in China's output and inflation.     

Does the volatility of commodity prices reflect macroeconomic uncertainty?

While there exists numerous studies on the macroeconomic effects of oil and commodity shocks, the literature is quite silent on the impact of macroeconomic uncertainty on oil and commodity prices and, especially, on their volatility. This paper tackles this issue through the estimation of a structural threshold vector autoregressive (TVAR) model on a sample of 19 commodity markets. We aim at (i) assessing whether the effect of macroeconomic uncertainty shocks on commodity price returns depends on the degree of uncertainty, and (ii) investigating the transfer from macroeconomic uncertainty to price uncertainty using a newly developed measure of commodity price uncertainty. Our findings show that both agricultural and industrial markets are highly sensitive to the variability and the level of macroeconomic uncertainty, while the impact on precious metals is more parsimonious given their well-identified safe-haven role in time of economic turmoil. In addition, we find evidence that the recent 2007–09 recession has generated an unprecedented episode of high uncertainty in numerous commodity prices. Interestingly, our analysis further reveals that volatility and uncertainty in prices can be disconnected. This is especially true for the oil market as most important shocks in the 1990s and the beginning of the 2000s that lead to price volatility do not generate price uncertainty, highlighting the relevance of our uncertainty measure in linking uncertainty to predictability rather than to volatility.     

Oil prices,fundamentals and expectations

This paper empirically investigates the relationship between oil prices, traditional fundamentals and expectations. Informational frictions may force a wedge between oil prices and supply and/or demand shocks, especially during periods of elevated risk aversion and uncertainty. In such a context, expectations can be a key driver of oil price movements and their impact can vary over time. Overall, we find that both traditional oil fundamentals and forward-looking expectations matter for oil prices. Our findings show that the real price of oil responds differently to expectations shocks of business leaders, consumers and aggregate markets. Our TVP-VAR approach provides evidence that business leaders' expectations play an important role in terms of oil price fluctuations and the impact is stronger in periods of elevated global oil demand. In terms of traditional oil market fundamentals, we find that oil prices have been significantly affected by the recent US shale oil boom. Moreover, global oil demand had a positive impact upon oil prices, especially from the mid-2000s. Several alternative model specifications prove the robustness of our analysis.     

An empirical analysis of the relationship between oil prices and the Chinese macro-economy

Using the quarterly data from the first quarter of 1996 to the fourth quarter of 2014, this paper studies the relationship between oil prices and the Chinese macro-economy. We find output and interest rate respond significantly to oil price shocks. Further analysis reveals that the positive response of output to oil price shocks is attributed to the influences of oil price shocks on exports. The oil price shocks have both longer and deeper effects on the exports of state-owned enterprises than on those of foreign investment enterprises. Moreover, the response of exports to oil price shocks is symmetric. Finally, oil prices are found to be useful for forecasting the China's exports in the periods shorter than about two years.     

燃气能源销售中“照付不议”合同若干问题研究

“照付不议”合同在法律上有着自身丰富的法律内涵,作为国际能源销售的通行惯例,如何平衡双方的合同权利义务至关重要。随着实践的发展,“照付不议”合同呈现出灵活性、短期性的特点,强调对市场变化的回应。“照付不议”在实践中存在着双方权利、义务失衡、气价定价模糊、计量标准难以确定等诸多难题,如何对上述问题进行制度完善值得深入研究。     

The effects of oil prices on inflation, interest rates and money

Recently, most of the relevant studies (see, e.g. Atukeren [5], Ayadi [6], Roeger [38], Trehan [44], Bermingham [7], Oladosu [34]) have focused on oil price shocks to the economy variables such as GDP, interest rates, inflation, and industrial production, but few studies have focused on external shocks to the possible reaction of monetary policies. Thus, this paper includes money variables in empirical models and investigates the relationships among oil prices, inflation, interest rates and money. The monetary policy might take time to be effective, so the concerns of lag-chosen issues will be vital issues from the aspect of this research. Then, different lag-chosen criteria and symmetric and asymmetric lag-lengths chosen are placed in a stressed situation in this study with regard to monetary lag concerns. We find that the empirical results are quite robust concerning various lag-chosen criteria, symmetric and asymmetric models, and different time series models. So, it implies that monetary policies still matter after accounting for the oil prices, the energetic variable, with the above robustness concerns.     

Country-specific oil supply shocks and the global economy: A counterfactual analysis

This paper investigates the global macroeconomic consequences of country-specific oil-supply shocks. Our contribution is both theoretical and empirical. On the theoretical side, we develop a model for the global oil market and integrate this within a compact quarterly model of the global economy to illustrate how our multi-country approach to modeling oil markets can be used to identify country-specific oil-supply shocks. On the empirical side, estimating the GVAR-Oil model for 27 countries/regions over the period 1979Q2 to 2013Q1, we show that the global economic implications of oil-supply shocks (due to, for instance, sanctions, wars, or natural disasters) vary considerably depending on which country is subject to the shock. In particular, we find that adverse shocks to Iranian oil output are neutralized in terms of their effects on the global economy (real outputs and financial markets) mainly due to an increase in Saudi Arabian oil production. In contrast, a negative shock to oil supply in Saudi Arabia leads to an immediate and permanent increase in oil prices, given that the loss in Saudi Arabian production is not compensated for by the other oil producers. As a result, a Saudi Arabian oil supply shock has significant adverse effects for the global economy with real GDP falling in both advanced and emerging economies, and large losses in real equity prices worldwide.     

The impact of commodity price shocks in the presence of a trading relationship: A GVAR analysis of the NAFTA

This paper investigates the commodity price shocks and monetary shocks in the region covered by the North American Free Trade Agreement (NAFTA), using a global vector autoregression (GVAR) approach. Our focus is on commodity price shocks which impact both directly through the aggregate price level, as well as through monetary policy related aggregates such as short-term interest rates. We first contrast the response of the real economy to commodity price shocks in two periods: 1983Q2–2015Q2 and 1994Q1–2015Q2, where the beginning of the second sample coincides with a statistically identified structural break, as well as the introduction of NAFTA. The results indicate that the commodity price shocks, such as for oil and metal, have a bigger impact on the real economy after NAFTA came into force, with metal prices having a larger quantitative impact on output in comparison to oil prices. Next, we investigate whether these changes have different implications for the impact of domestic monetary shocks in the three countries. We find that while the post-NAFTA period is characterized by a stronger domestic monetary policy response to commodity price shocks, the response to monetary shocks per se varies in the two time periods. In particular U.S. monetary policy, as reflected in shocks to short-term interest rates, has a weaker influence in the post-NAFTA period. Overall, the influence of global, commodity price shocks in the region relative to domestic monetary shocks is greater in the post-NAFTA period.     

Energy price,regulatory price distortion and economic growth: A case study of China

Energy prices are often distorted by government control, which is justified on the grounds that such control will help mitigate the negative impact of price volatility from oil imports, and thus positively affect the domestic economy. In this paper, we show in a two-sector growth model, that regulatory price distortion can negatively affect the economy, and then, based on the model, we empirically estimate the impact of the price distortion on output growth in China, using monthly, time series data from 2005M1 to 2012M12. In contrast to the usual argument for regulatory control to mitigate price volatility, we find that regulatory price distortion negatively affects output growth in China during both the short and long term, because it is robust to different measures of output and price distortion. Hence, the argument that using price regulation to protect economic growth is undermined, and subsequently, this study lends its support to energy price deregulation. A market oriented energy price regime may improve the resilience of the domestic economy to global oil price shocks.     

Oil price fluctuations and their impact on the macroeconomic variables of Kuwait: a case study using a VAR model

In this study, a vector autoregression model (VAR) and a vector error correction model (VECM) were estimated to examine the impact of oil price fluctuations on seven key macroeconomic variables for the Kuwaiti economy. Quarterly data for the period 1984–1998 were utilized. Theoretically and empirically speaking, VECM is superior to the VAR approach. Also, the results corresponding to the VECM model are closer to common sense. However, the estimated models indicate a high degree of interrelation between major macroeconomic variables. The empirical results highlight the causality running from the oil prices and oil revenues, to government development and current expenditure and then towards other variables. For the most part, the empirical evidence indicates that oil price shocks and hence oil revenues have a notable impact on government expenditure, both development and current. However, government development expenditure has been influenced relatively more. The results also point out the significance of the CPI in explaining a notable part of the variations of both types of government expenditure. On the other hand, the variations in value of imports are mostly accounted for by oil revenue fluctuations and then by the fluctuation in government development expenditures. Also, the results from the VECM approach indicate that a significant part of LM2 variance is explained by the variance in oil revenue. It reaches about 46 per cent in the 10th quarter, even more than its own variations. Copyright © 2001 John Wiley & Sons, Ltd.     

Oil price shocks and their short- and long-term effects on the Chinese economy

A considerable body of economic literature shows the adverse economic impacts of oil-price shocks for the developed economies. However, there has been a lack of similar empirical study on China and other developing countries. This paper attempts to fill this gap by answering how and to what extent oil-price shocks impact China's economy, emphasizing on the price transmission mechanisms. To that end, we develop a structural vector auto-regressive model. Our results show that an oil-price increase negatively affects output and investment, but positively affects inflation rate and interest rate. However, with price control policies in China, the impact on real economy, represented by real output and real investment, lasts much longer than that to price/monetary variables. Our decomposition results also show that the short-term impact, namely output decrease induced by the cut in capacity–utilization rate, is greater in the first 6 periods (namely half a year), but the portion of the long-term impact, defined as the impact realized through an investment change, increases steadily and exceeds that of short-term impact in the 7th period. Afterwards, the long-term impact dominates, and maintains for quite some time.     

石油价格冲击对美中日经济非线性影响的比较研究

在Charlesl Weise设计的LSTVAR模型和T-O-O网格点搜索法基础上,分析了油价冲击对美国、中国、日本经济波动的非线性影响,估计了各国LSTVAR模型的门槛参数,发现三国经济对油价冲击的忍耐度依次为中国、美国、日本。利用脉冲响应函数(IRF)分析了石油价格冲击对三国经济波动的反应及对我国的启示。