Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171233
Authors: 
Heidorn, Thomas
Van Huellen, Sophie
Ruehl, C.
Woebbeking, F.
Year of Publication: 
2017
Series/Report no.: 
Working Paper Series, Frankfurt School of Finance & Management 225
Abstract: 
In the context of the recent slump in global oil prices, the paper investigates the effect of oil price shocks on the economic performance of 51 individual OECD and OPEC economies. We propose an error correction model which allows us to differentiate between short- and longrun price effects. For robustness, structural breaks and potential asymmetries are incorporated. Our approach is particularly interesting, since economic performance is not only measured by GDP, but also by equity indices from the MSCI family. The equity indices provide valuable insights into financial transmission mechanisms, in addition to macroeconomic channels, at much higher frequency than conventional GDP data. We are able to present robust estimates for the severity of oil price shocks for individual economies and thereby identify winners and losers under the current oil price regime.
JEL: 
C32
E31
F43
Q32
Q43
Document Type: 
Working Paper

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