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Open AccessArticle

Oil Price and Economic Growth: A Long Story?

1
Department of Applied Economics, University of Zaragoza, Zaragoza 50006, Spain
2
Directorate General Economics, Statistics and Research, Bank of Spain, Madrid 28045, Spain
3
Department of Economic Analysis, University of Zaragoza, Zaragoza 50006, Spain
*
Author to whom correspondence should be addressed.
Academic Editor: Pierre Perron
Econometrics 2016, 4(4), 41; https://doi.org/10.3390/econometrics4040041
Received: 30 August 2016 / Revised: 30 September 2016 / Accepted: 7 October 2016 / Published: 28 October 2016
(This article belongs to the Special Issue Unit Roots and Structural Breaks)
This study investigates changes in the relationship between oil prices and the US economy from a long-term perspective. Although neither of the two series (oil price and GDP growth rates) presents structural breaks in mean, we identify different volatility periods in both of them, separately. From a multivariate perspective, we do not observe a significant effect between changes in oil prices and GDP growth when considering the full period. However, we find a significant relationship in some subperiods by carrying out a rolling analysis and by investigating the presence of structural breaks in the multivariate framework. Finally, we obtain evidence, by means of a time-varying VAR, that the impact of the oil price shock on GDP growth has declined over time. We also observe that the negative effect is greater at the time of large oil price increases, supporting previous evidence of nonlinearity in the relationship. View Full-Text
Keywords: oil price; business cycle; structural breaks oil price; business cycle; structural breaks
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Gadea, M.D.; Gómez-Loscos, A.; Montañés, A. Oil Price and Economic Growth: A Long Story? Econometrics 2016, 4, 41.

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