Název: Macroeconomic Responses of Emerging Market Economies to Oil Price Shocks: Analysis by Region and Resource Profile
Autoři: Togonidze, S. ; Kočenda, Evžen
Typ dokumentu: Výzkumné zprávy
Rok: 2020
Jazyk: eng
Edice: IES Working Paper, svazek: 35/2020
Abstrakt: This study employs a vector autoregressive (VAR) model to analyse how oil price shocks affect macroeconomic fundamentals in emerging economies. Findings from existing literature remain inconclusive how macroeconomic variables fare towards shocks, especially in emerging economies. The objective of our study is to uncover if analysis by region (Latin America and the Caribbean, East Asia and the Pacific, Europe, and Central Asia) and resource intensity of economies (oil exporters, oil importers, minerals exporters, and less resource intensive). Our unique approach forms part of our contribution to the literature. We find that Latin America and the Caribbean are least affected by oil price shocks, while in East Asia and the Pacific the response of inflation and interest rate to oil price shocks is positive, and output growth is negative. Our analysis by resource endowment fails to show oil price shocks’ ability to explain huge variations in macroeconomic variables in oil importing economies. Further sensitivity analysis using US interest rates as an alternative source of external shocks to emerging economies establishes a significant response of interest rate responses to US interest rate in Europe and Central Asia, and in inflation in Latin America and the Caribbean. We also find that regardless of resource endowment, the response of output growth and capital to a positive US interest rate shock is negative and significant in EMs. Our results are persuasive that resource intensity and regional factors impact the responsiveness of emerging economies to oil price shocks, thus laying a basis for policy debate.\n
Klíčová slova: Emerging market economies; Oil price shocks; Output growth; Panel VAR

Instituce: Ústav teorie informace a automatizace AV ČR (web)
Informace o dostupnosti dokumentu: Dokument je dostupný na externích webových stránkách.
Externí umístění souboru: http://library.utia.cas.cz/separaty/2022/E/kocenda-0563962.pdf
Původní záznam: https://hdl.handle.net/11104/0336414

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-511837


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