ARTÍCULO
TITULO

Oil Price Shocks and Economic Activity: The Asymmetric Cointegration Approach in South Africa

Ntokozo Nzimande    
Simiso Msomi    

Resumen

AbstractThis study examines the link between oil prices and economic activity proxied by gross domestic product in the context of South Africa. The study employs the asymmetric approach proposed by Schorderet (2004) and advanced by Lardic and Mignon (2008). Asymmetric cointegration is used because it is believed that increasing and decreasing oil prices do not have similar or equal impacts on economic activity. In this study we document evidence for an asymmetric response of economic activity to oil price shocks. Further, our findings suggest that negative oil price shocks are important relative to positive oil price shocks.

 Artículos similares

       
 
Jimoh Sina Ogede,Felix O. Ajayi     Pág. 027 - 037
The determinants of food prices have attracted sizeable debates among scholars over the last three decades. However, many of these studies ignore the possibility that the impact of oil prices on food prices could vary across the food price distribution. ... ver más

 
Hülya Yilmaz,Bülent Ilhan     Pág. 26 - 38
This paper investigates the dynamic relationship between the stock market index and a set of macroeconomic variables in four emerging countries. The dependent variable measures monthly stock exchange points of respective markets from January 2010 to Marc... ver más

 
Talal A. N. M. S. Alotaibi and Lucía Morales    
Global stock markets experienced a dual shock in 2020 due to the impact of the global health crisis, parallel to a simultaneous shock derived from the Saudi Arabia and Russia oil price war. The dual shock fueled oil market volatility with lasting effects... ver más

 
Emmanuel Senyo Fianu    
Because of the non-linearity inherent in energy commodity prices, traditional mono-scale smoothing methodologies cannot accommodate their unique properties. From this viewpoint, we propose an extended mode decomposition method useful for the time-frequen... ver más
Revista: Forecasting

 
Kuan-Chieh Chen     Pág. 96 - 103
Most studies continue to analyze oil shocks. Earlier authors recognize that oil price volatility plays a critical role in the economy. There is accordingly evidence that oil price shocks negatively impact real gross domestic product (GDP) growth rates an... ver más