Alao Rasheed O, Alhassan Abdulkareem, Alao Saheed, Olanipekun Ifedolapo O, Olasehinde-Williams Godwin O, Usman Ojonugwa
Department of Economics, University of Abuja, Abuja, Nigeria.
Department of Economics, Federal University of Lafia, Lafia, Nigeria.
Lett Spat Resour Sci. 2023;16(1):5. doi: 10.1007/s12076-023-00325-z. Epub 2023 Feb 25.
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.
原油是一种重要的能源来源。如果无法获取能源，产出增长就不可能实现。由于这种联系，油价波动有能力引发发达经济体和发展中经济体产出的波动。此外，商业周期和政策变化等因素常常给油价冲击的传导机制引入非线性。因此，本研究不仅考察油价波动与产出增长之间的相互联系，还考察油价波动对七国集团成员国产出增长的非线性、非对称影响。为此，使用1990年1月至2019年8月期间西德克萨斯中质原油价格和七国集团国家工业生产指数的月度数据进行实证分析。该研究采用动态条件相关（DCC）和条件动态相关广义自回归条件异方差（cDCC-GARCH）技术进行对称实证分析。非对称实证分析也通过广义自回归条件异方差（GJR-GARCH）、分数整自回归条件异方差（FIEGARCH）、异方差广义自回归条件异方差（HYGARCH）和条件动态相关广义自回归条件异方差（cDCC-GARCH）技术进行。研究结果揭示了油价冲击对产出增长的正向和负向（非对称）影响在幅度上的差异。结果还表明，过去的消息和滞后的波动对七国集团国家产出增长的当前条件波动性有显著影响。该研究得出结论，油价波动对所选经济体产出增长的影响是非对称的，波动性具有高度持续性且呈现聚集性，并且非对称广义自回归条件异方差模型优于对称广义自回归条件异方差模型。
