The Relations between the Oil Price and Economy Growth – An Empirical Study of Panel Quantile Regression

• Main Authors: Chang, Chicheng, 張記誠
• Other Authors: Tsai, Liju
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/90571091335030810699

碩士 === 輔仁大學 === 金融與國際企業學系金融碩士班 === 99 === Crude oil has been one of the most important energies in the world for nearly half of the century. Vigorous volatilities of the oil price and the imbalance between supply and demand of crude oil raise our concerns about whether these factors would intensify the fluctuation of real GDP output. Furthermore, the rapid development of emerging countries will increase the crude oil demand of the world so that we would not just only care about the experience of developed counties but also consider the effects of the oil shocks on the real GDP of emerging countries to see whether there are any different impacts among different countries. Hence, this paper concentrates on discussing the impacts of the oil price shocks on GDP in 39 countries. Most of the famous literatures studying this issue use the model of “Markov State-Switching Approach” or Vector Autoregression Approach. However, these two methodologies are not easy to be applied to compare the coefficient estimates of oil price on economic growth over different growth stages and different countries so that this paper employ the panel quantile regression approach to study this issue. We consider whether the oil price shocks have the unanimous impacts on economic growth rates for different economic growth regimes over 39 countries including the emerging countries and developed countries. In addition, we also consider whether the excess of the demand of crude oil, financial innovation, or the cost of import crude oil adjusted by the exchange rate will enlarge the impacts of the oil price shocks. The conclusions are as follows： 1. In the short-term, the impact of the oil price shock is positive to the output, but the long-term it will change to be negative. Furthermore during the oil price increasing periods, the negative impacts enlarge than the other periods. But the negative effects of oil price shocks do not exist in the countries with high economic growth rate. 2. The countries with different levels of the growth rates also have different effects of oil price shocks. In contrast to the emerging countries, there are smaller effects of oil price shock in OECD countries. Furthermore, the negative impacts of the oil shock are not significant during the highest economic growth periods. 3. In the long-run, the excess of the oil demand might enlarge the effects of the oil price shocks than the excess of oil demand. However, the financial innovation in the short-run instead of the long term will mitigate the impacts of oil price in low growth countries. In the case of the high growth countries, the increase of financial innovation might mitigate the negative impacts of the oil shocks in the long term.