Impact of oil price increases on U.S. economic growth: Causality analysis and study of the weakening effects in relationship

International Journal of Energy Economics and Policy

Volumn 2, Issue 3, 2012, Pages 108-122

  Farhani, Sahbi ^a  

^a UNIVERSITY OF TUNIS EL MANAR   (Tunisia)

Author keywords

Asymmetrical effects; Breakpoints; DRM; GDP growth rate; Oil shocks; SLRM; VAR model

Indexed keywords

EID: 84892403506     PISSN: None     EISSN: 21464553     Source Type: Journal    
DOI: None     Document Type: Article

References (35)

1. Abel, A.B., Bernanke, B.S. (2001), Macroeconomics. 4th Ed., Boston: Addison Wesley Longman.
2. Andrews, D.W.K. (1993), Tests for Parameter Instability and Structural Change with Unknown Change Point. Econometrica, 61(4), 821-856.
3. Barlet, M., Crusson, L. (2009), Quel Impact des Variations du Prix du Pétrole sur la Croissance Française?. Economie & prévision, 2(188), 23-41.
4. Barsky, R.B., Kilian, L. (2004), Oil and the Macroeconomy since the 1970s. Journal of Economic Perspectives, 18(4), 115-134.
5. Bohi, D.R. (1991), On the Macroeconomic Effects of Energy Price Shocks. Resources and Energy, 13(2), 145-162.
6. Brown, S.P.A., Yücel, M.K. (1999), Oil Prices and U.S. Aggregate Economic Activity: A Question of Neutrality. Economic and Financial Policy Review, Federal Reserve Bank of Dallas, Second Quarter, 13-21.
7. Brown, S.P.A., Yücel, M.K. (2002), Energy Prices and Aggregate Economic Activity: An Interpretative Survey.The Quarterly Review of Economics and Finance, 42(2), 193-208.
8. Chow, G.C. (1960), Tests of Equality between Sets of Coefficients in Two Linear Regressions. Econometrica, 28(3), 591-605.
9. Dohner, R.S. (1981), Energy Prices, Economic Activity and Inflation: Survey of Issues and Results, in K.A. Mork (Ed.) Energy Prices, Inflation and Economic Activity. Cambridge, MA: Ballinger.
10. Dickey, D.A., Fuller, W.A. (1979), Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74(366), 427-431.
11. Dickey, D.A., Fuller, W.A. (1981), Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49(4), 1057-1072.
12. Engle, R.F. (1984), Wald, Likelihood Ratio, and Lagrange Multiplier Tests in Econometrics, in M.D. Intriligator & Z. Griliches (Ed.) Handbook of Econometrics, Elsevier, 1st Ed., 2(2), chapter 13, 775-826.
13. Engle, R.F., Granger, C.W.J. (1987), Cointegration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251-276.
14. Glasure, Y.U., Lee, A.R. (2002), The Impact of Oil Prices on Income and Energy. International Advances in Economic Research, 8(3), 148-154.
15. Granger, C.W.J. (1969), Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. Econometrica, 37(3), 424-438.
16. Greene, W.H. (2003), Econometric Analysis. 5th Ed., Upper Saddle River, NJ: Prentice Hall.
17. Hamilton, J.D. (1983), Oil and the Macroeconomy since World War II. Journal of Political Economy, 91(2), 228-248.
18. Hamilton, J.D. (1996), This Is What Happened to the Oil Price-Macroeconomy Relationship. Journal of Monetary Economics, 38(2), 215-220.
19. Hamilton, J.D. (2003), What is an Oil Shock?. Journal of Econometrics, 113(2), 363-398.
20. Hamilton, J.D. (2008), Oil and the Macroeconomy, in S.N. Durlauf & L.E. Blume (Ed.) The New Palgrave Dictionary of Economics, 2nd Ed., Palgrave Macmillan.
21. Hooker, M.A. (1996), What Happened to the Oil Price-Macroeconomy Relationship? Journal of Monetary Economics, 38(2), 195-213.
22. Hooker, M.A. (1999), Oil and the Macroeconomy Revisited. Finance and Economics Discussions Series, Working Paper 43. IEA (2012), International Energy Agency. http://omrpublic.iea.org/currentissues/full.pdf
23. Jiménez-Rodriguez, R., Sanchez, M. (2005), Oil Price Shocks and Real GDP Growth: Empirical Evidence for some OECD Countries. Applied Economics, 37(2), 201-228.
24. Johansen, S. (1988), Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254.
25. Kim, S., Willett, T. (2000), Is The Negative Correlation between Inflation and Economic Growth? An Analysis of the Effect of the Oil Supply Shocks. Applied Economics Letters, 7(3), 141-147.
26. Lardic, S., Mignon, V. (2008), Oil Prices and Economic Activity: An Asymmetric Cointegration Approach. Energy Economics, 30(3), 847-855.
27. Lee, K., Ni, S., Ratti, R.A. (1995), Oil Shocks and the Macroeconomy: The Role of Price Variability. The Energy Journal, 16(4), 39-56.
28. Loungani, P. (1986), Oil Price Shocks and the Dispersion Hypothesis. Review of Economics & Statistics, 68(3), 536-539.
29. Mork, K.A. (1989), Oil and the Macroeconomy when Prices Go Up and Down: An Extension of Hamilton's Results. Journal of Political Economy, 97(3), 740-744.
30. Mork, K.A. (1994), Business Cycles and the Oil Market. Energy Journal, 15(Special Issue), 15-38.
31. Pierce, J.L., Enzler, J.J. (1974), The Effects of External Inflationary Shocks. Brookings Papers on Economic Activity, 5(1), 13-62.
32. Prasad, A., Narayan, P.K., Narayan, J. (2007), Exploring the Oil price and Real GDP Nexus for a Small Island Economy, the Fiji Islands. Energy Policy, 35(12), 6506-6513.
33. Rajhi, T., Benabdallah, M., Hmissi, W. (2005), Impact des Chocs Pétroliers sur les Economies Africaines: Une Enquête Empirique. HOUSTON. Available online at: http://www.afdb.org/fileadmin/uploads/afdb/Documents/Knowledge/09484255-FR-IMPACT-OF-OIL-SHOCKS-ON-AFRICAN-ECONOMIES.PDF (February, 2005).
34. Said, S.E., Dickey, D.A. (1984), Testing for Unit Roots in Autoregressive Moving Average Models of Unknown Order. Biometrika, 71(3), 599-607.
35. Sims, C.A. (1980), Macroeconomics and Reality. Econometrica, 48(1), 1-48.