Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/123761
Authors: 
Cunado, Juncal
Jo, Soojin
Perez de Gracia, Fernando
Year of Publication: 
2015
Series/Report no.: 
Bank of Canada Working Paper 2015-23
Abstract: 
This paper analyzes the macroeconomic impact of oil shocks in four of the largest oil-consuming Asian economies, using a structural vector autoregressive model. We identify three different types of oil shocks via sign restrictions: an oil supply shock, an oil demand shock driven by global economic activity and an oil-specific demand shock. The main results suggest that economic activity and prices respond very differently to oil price shocks depending on their type. In addition, a country's oil-importing and -exporting status in the world oil market affects the transmission of shocks. Finally, subsample analysis shows a possible structural break in Japan and South Korea for all three types of oil shocks.
Subjects: 
Econometric and statistical methods
International topics
JEL: 
E32
Q43
O53
Document Type: 
Working Paper

Files in This Item:
File
Size
411.28 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.