PUB - Publikationen an der Universität Bielefeld

The paper estimates the effect of oil price fluctuations on GDP growth, using linear and nonlinear VAR models with data from 12 countries. By using an IVAR approach, it reports strong significance for the existence of non-linear moderator effects caused by a decline in the oil-to-energy share, which weakens the causal effect of oil prices on economic growth. A consideration of the relationship of oil prices and GDP over 44 years confirms the exclusion of symmetry of previous studies. Moreover, the paper indicates that the effect of negative oil price movements is causal for more countries than has been suggested so far.