Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/217359 
Year of Publication: 
2019
Citation: 
[Journal:] Investigación Económica [ISSN:] 2594-2360 [Volume:] 78 [Issue:] 309 [Publisher:] Universidad Nacional Autónoma de México (UNAM), Faculdad de Economía [Place:] Ciudad de México [Year:] 2019 [Pages:] 80-106
Publisher: 
Universidad Nacional Autónoma de México (UNAM), Faculdad de Economía, Ciudad de México
Abstract (Translated): 
We inquire whether the uncertainty of international oil prices affected Mexico's economic activity during 1983:2-2017:4. To measure such impact we use a bivariate structural vector autoregressive (VAR) model with a generalized autoregressive conditional heteroskedasticity (GARCH) in-mean process that captures the impact of oil price volatility on economic growth and gross fixed capital formation. Our results show that the said uncertainty has a negative influence on Mexico's economic activity. Further, they reveal the presence of asymmetric effects, as the output growth rate increases (decreases) after a negative (positive) oil price shock. These results highlight the importance of adopting public policies aimed at mitigating the effects of oil market uncertainty and help stabilize economic activity.
Subjects: 
Oil price volatility
economic activity
multivariate var-garch in-mean
asymmetric effects
Mexico
JEL: 
E32
C32
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article

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