Oil Price Changes and U.S. Real GDP Growth: Is this time different?
Series
School of Finance Working Paper Series
Type
working paper
Date Issued
2018-05-28
Author(s)
Abstract (De)
This paper contributes to the large debate regarding the impact of oil price changes on U.S. GDP growth. Firstly, it replicates empirical findings of prominent studies and finds that the proposed oil price measures have a dissipating effect with recent data up to 2016Q4. Secondly, it re-examines the issue and provides evidence that oil price decreases affect the GDP growth, when taking into consideration mixed data sampling technique. Finally, it puts particular focus on nonlinearity and a possible instability and shows that combining Markov switching and mixed data sampling models allows to identify different regimes permanently changing with the Great Moderation.
Language
English
HSG Classification
contribution to scientific community
HSG Profile Area
SOF - System-wide Risk in the Financial System
Publisher
SoF-HSG
Pages
53
Subject(s)
Division(s)
Eprints ID
254776
File(s)![Thumbnail Image]()
open.access
Name
18_16_Walther et al_Oil Price Changes and US Real GDP Growth.pdf
Size
1.02 MB
Format
Adobe PDF
Checksum (MD5)
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