Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/167749
Authors: 
Sakashita, Yukino
Yoshizaki, Yasunori
Year of Publication: 
2016
Citation: 
[Journal:] Economies [ISSN:] 2227-7099 [Volume:] 4 [Year:] 2016 [Issue:] 4 [Pages:] 1-9
Abstract: 
In this paper, we investigate the effects of oil price shocks on the production and price level in five emerging countries through comparison with the United States, using a two-block structural VAR model of the global crude oil market proposed by Kilian and Park (see International Economic, vol. 50, 2009, pp. 1267-1287). Our main finding is that the effect of oil price shocks on the index of the industrial production (IIP) and consumer price index (CPI) in emerging countries also depends on where the changes fundamentally come from (this is also the case for the United States). We also found that some emerging countries showed unique impulse response patterns, the shapes of which are different from those of the United States and there are differences in impulse response patterns among emerging countries.
Subjects: 
structural VAR
oil price
emerging countries
JEL: 
C32
E30
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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