The Asymmetric Effects of Oil Shocks on Output Growth: A Markov-Switching Analysis for the G-7 Countries
The Asymmetric Effects of Oil Shocks on Output Growth: A Markov-Switching Analysis for the G-7 Countries
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DOI：
10.2139/ssrn.885506
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发表时间：
2006-02
期刊：
影响因子：
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通讯作者：
M. Manera;A. Cologni
中科院分区：
文献类型：
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作者：
M. Manera;A. Cologni
本文对不同的马尔可夫切换(MS)状态自回归模型进行了具体说明和估计。用来描述G7国家不同经济体制之间转换的单变量MS模型的经验表现总体上并不令人满意。我们扩展了这些模型，以验证将不对称石油冲击作为外生变量纳入是否提高了每个规范识别每个受审查国家的不同商业周期阶段的能力。在广泛的文献基础上，我们考虑了石油冲击的六种不同定义：石油价格变化、石油价格变化的不对称转化、石油价格波动和石油供应条件。我们衡量每个经济体制的持续性，以及每个MS模型检测商业周期数据的能力，正如广泛公认的统计机构所描述的那样。我们的经验发现可以总结如下。首先，相对于MS规格的替代方案的线性零假设总是被数据拒绝。这表明，如果研究人员有兴趣获得产出增长过程的统计上的充分描述，就应该使用依赖于制度的模型。其次，在描述每个国家的商业周期特征方面，三种体制的MS模型通常比相应的两种体制的规范要好。第三，推出不同的油震规格从来不会被拒绝。第四，石油价格正向变化、油价净增长和油价波动是石油冲击的定义，有助于更好地描述石油对产出增长的影响。最后，具有外生石油变量的模型通常比相应的将石油排除在分析之外的单变量规范更好。
In this paper we specify and estimate different Markov-switching (MS) regime autoregressive models. The empirical performance of the univariate MS models used to describe the switches between different economic regimes for the G-7 countries is in general not satisfactory. We extend these models to verify if the inclusion of asymmetric oil shocks as an exogenous variable improves the ability of each specification to identify the different phases of the business cycle for each country under scrutiny. Following the wide literature on this topic, we have considered six different definitions of oil shocks: oil price changes, asymmetric transformations of oil price changes, oil price volatility, and oil supply conditions. We measure the persistence of each economic regime, as well as the ability of each MS model to detect the business cycle dates as described by widely acknowledged statistical institutions. Our empirical findings can be summarized as follows. First, the null hypothesis of linearity against the alternative of a MS specification is always rejected by the data. This suggests that regime-dependent models should be used if a researcher is interested in obtaining statistically adequate representations of the output growth process. Second, three-regime MS models typically outperform the corresponding two-regime specifications in describing the business cycle features for each country. Third, the introduction of different oil shock specifications is never rejected. Fourth, positive oil price changes, net oil price increases and oil price volatility are the oil shock definitions which contribute to a better description of the impact of oil on output growth. Finally, models with exogenous oil variables generally outperform the corresponding univariate specifications which exclude oil from the analysis.