Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/272794 
Year of Publication: 
2022
Series/Report no.: 
IES Working Paper No. 21/2022
Publisher: 
Charles University in Prague, Institute of Economic Studies (IES), Prague
Abstract: 
We investigate an impact of oil-price shocks on GDP and exchange rate dynamics in resource-heterogeneous economies. We employ a Markov regime-switching version of a vector autoregressive (VAR) model to allow for regime shifts, non-linear effects and timevarying parameters of the VAR process. Empirically we use quarterly data series in oil exporting, metal-exporting, and less-resource-intensive economies. On average, real GDP in oil-exporting economies exhibits substantial contraction, while for metal exporters there is a significant real GDP expansion suggesting an offsetting effect of metal exports on oil imports. We find that currency appreciation state is more persistent in oil- and metal exporting economies while less-resource-intensive economies remain longer in a currency depreciation state. Further evidence suggests existence of the counteracting forces such as foreign exchange interventions by authorities in oil-exporting economies. It also emerges that currency appreciation in oil-exporting economies is driven largely by economic performance rather than oil price movement.
Subjects: 
Emerging economies
Oil shocks
GDP
Markov regime-switching
Exchange rate
Oil exporters
Metal exporters
JEL: 
F44
E37
C11
E32
C22
C58
F31
Q43
Document Type: 
Working Paper

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