Reviewing the oil price–GDP growth relationship: A replication study
Journal
Energy Economics
ISSN
0140-9883
Type
forthcoming
Date Issued
2020-05
Author(s)
Abstract
This paper presents a thorough replication of Hamilton (2003) which in turn replicates and extends the findings of four seminal papers regarding the oil price–GDP growth relationship. Firstly, we replicate the empirical results obtained with the oil price measures of Hamilton (1983), Mork (1989), Lee et al. (1995), Hamilton (1996), and Hamilton (2003) by using an identical data set of real and nominal oil prices. Secondly, we extend the data sets to 2019Q4 and apply the same methodology. We find that for more recent data the explanatory power of the proposed oil price measures on GDP growth rates is still present, albeit on a slightly weaker magnitude. Extending the ARX(4), we only find little evidence that oil price decreases impact GDP growth rates on the full data set. Parameter stability tests suggest that the impact of oil price decreases might be limited to certain periods.
Language
English
HSG Classification
contribution to scientific community
HSG Profile Area
SOF - System-wide Risk in the Financial System
Refereed
Yes
Publisher
Elsevier
Volume
88
Number
104786
Division(s)
Eprints ID
260462