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The magnitude of the macroeconomic impact of oil price: the case of BRICS

Ben Lalouna, S. and Pearlman, J. ORCID: 0000-0001-6301-3966 (2018). The magnitude of the macroeconomic impact of oil price: the case of BRICS. International Journal of Monetary Economics and Finance, 11(5), pp. 436-479. doi: 10.1504/ijmef.2018.10016801

Abstract

This paper aims to investigate the importance of the macroeconomic impact of oil prices variations on Brazil, Russia, India, China and South Africa (BRICS). The topic was selected due to the significance of those leading emerging economies in global markets and to the determining role of oil in the current economy of the BRICS. The research was built upon on the Granger causality test, the impulse response function and the Cholesky variance decomposition by fitting both linear and non-linear multivariate vector autoregression (VAR) models. The model includes oil price inflation and consumer price inflation, interest rates, unemployment rates, exchange rates, imports and exports, and total industrial production. The results showed a significant impact of oil prices on the BRICS economies mainly in terms of total industrial production, exports and imports, and evidence of asymmetry was found. The remaining outcomes showed different results depending on whether the country is oil-exporting or oil-importing.

Publication Type: Article
Subjects: H Social Sciences > HB Economic Theory
J Political Science > JZ International relations
Departments: School of Arts & Social Sciences > Economics
URI: http://openaccess.city.ac.uk/id/eprint/21593
[img] Text - Accepted Version
This document is not freely accessible until 10 October 2019 due to copyright restrictions.

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