MACROECONOMIC IMPLICATIONS OF OIL-PRICE SHOCKS TO EMERGING ECONOMIES: A MARKOV REGIME-SWITCHING APPROACH
MACROECONOMIC IMPLICATIONS OF OIL-PRICE SHOCKS TO EMERGING ECONOMIES: A MARKOV REGIME-SWITCHING APPROACH
| Author(s): | prof. Ing. Evžen Kočenda Ph.D., DSc., Sophio Togonidze , |
|---|---|
| Type: | IES Working Papers |
| Year: | 2022 |
| Number: | 21 |
| ISSN / ISBN: | |
| Published in: | IES Working Papers 21/2022 |
| Place: | Prague |
| Keywords: | Emerging economies, Oil shocks, GDP, Markov regime-switching, Exchange rate, Oil exporters, Metal exporters |
| JEL Codes: | F44, E37, C11, E32, C22, C58, F31, Q43 |
| Suggested citation: | Togonidze, S., Kočenda E. (2022): "Macroeconomic Implications of Oil-Price Shocks to Emerging Economies: A Markov Regime-Switching Approach" IES Working Papers 21/2022. IES FSV. Charles University. |
| Abstract: | 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. |
| Download: | wp_2022_21_togonidze, kocenda.pdf |
