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The Effects of Crude Oil Price Volatility on Economic Growth in Major Oil-Producing Countries: A Panel VAR Approach
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Ali Rezazadeh *1   , Khalil Jahangiri2 |
1- Urmia University , alirezazadeh63@gmail.com
2- Urmia University |
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Abstract: (5759 Views) |
The main purpose of this study is to investigate the effects of crude oil prices and its volatility on economic growth in oil-exporting countries over the period 1980 to 2014 by using the Panel VAR approach. The sample is divided into two groups: OPEC and non-OPEC oil-producing countries. In this study, the crude oil price volatility index is derived by using the GARCH(1,0) model. We then investigate the impact of volatility together with inflation, real exchange rate and crude oil prices on economic growth in the framework of Panel VAR. The results indicate that GDP growth is increasingly influenced by crude oil price shocks and its volatility in OPEC countries, while non-OPEC countries do not show a significant response to oil price shocks. Analysis of variance decomposition also confirmed these findings. Finally, the causality test between variables indicated the existence of causality from crude oil prices volatility to economic growth in OPEC countries, while such a relationship in non-OPEC countries is not statistically significant.
JEL Classification: C33, F13, O47 |
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| Keywords: crude oil, crude oil prices volatility, economic growth, OPEC, Panel VAR |
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Full-Text [PDF 396 kb]
(3267 Downloads)
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Type of Study: Research |
Subject:
Energy Economic
Received: 2015/12/23 | Accepted: 2017/02/27 | Published: 2017/06/24 | ePublished: 2017/06/24
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