Publication detail

Macroeconomic Implications of Oil-Price Shocks to Emerging Economies: A Markov Regime-Switching Approach

Author(s): prof. Ing. Evžen Kočenda Ph.D., DSc.,
Sophio Togonidze ,
Type: IES Working Papers
Year: 2022
Number: 21
ISSN / ISBN:
Published in: IES Working Papers 21/2022
Publishing place: Prague
Keywords: Emerging economies, Oil shocks, GDP, Markov regime-switching, Exchange rate, Oil exporters, Metal exporters
JEL codes: F44, E37, C11, E32, C22, C58, F31, Q43
Suggested Citation: Togonidze, S., Kočenda E. (2022): "Macroeconomic Implications of Oil-Price Shocks to Emerging Economies: A Markov Regime-Switching Approach" IES Working Papers 21/2022. IES FSV. Charles University.
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.
Downloadable: wp_2022_21_togonidze, kocenda

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