Macroeconomic implications of oil-price shocks to emerging economies: A Markov regime-switching approach

Arbeitspapier

We investigate an impact of oil-price shocks on GDP and exchange rate dynamics in resource-heterogeneous economies. We employ a Markov regime-switching version of a vector autoregressive (VAR) model to allow for regime shifts, non-linear effects and timevarying parameters of the VAR process. Empirically we use quarterly data series in oil exporting, metal-exporting, and less-resource-intensive economies. On average, real GDP in oil-exporting economies exhibits substantial contraction, while for metal exporters there is a significant real GDP expansion suggesting an offsetting effect of metal exports on oil imports. We find that currency appreciation state is more persistent in oil- and metal exporting economies while less-resource-intensive economies remain longer in a currency depreciation state. Further evidence suggests existence of the counteracting forces such as foreign exchange interventions by authorities in oil-exporting economies. It also emerges that currency appreciation in oil-exporting economies is driven largely by economic performance rather than oil price movement.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IES Working Paper ; No. 21/2022

Classification and Topics

• Classification: Wirtschaft ; International Business Cycles ; Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications ; Bayesian Analysis: General ; Business Fluctuations; Cycles ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Financial Econometrics ; Foreign Exchange ; Energy and the Macroeconomy
• Subject: Emerging economies ; Oil shocks ; GDP ; Markov regime-switching ; Exchange rate ; Oil exporters ; Metal exporters

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Togonidze, Sophio ; Kočenda, Evžen
• Event: Veröffentlichung
• (who): Charles University in Prague, Institute of Economic Studies (IES)
• (where): Prague
• (when): 2022

Further information

• Handle: http://hdl.handle.net/10419/272794
• Last update: 10.03.2025, 11:44 AM CET