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Oil and the asymmetric adjustment of UK output: a Markov-switching approach

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posted on 29.03.2006 by Mark J. Holmes, Ping Wang
This paper examines the role played by oil in influencing the growth in UK GDP. Our particular interest is the possibility that asymmetries might exist in such a relationship. Using Hamilton’s regime-switching estimation, we consider whether oil influences both the deepness and duration of the business cycle. We find that asymmetries arise insofar as positive oil price shocks are most likely to curtail the duration of the expansionary phase of the business cycle. This result is in contrast to existing studies of the oil price-macroeconomy relationship that have largely concerned the US.

Funding

This paper forms part of the ESRC funded project (Award No. L1382511013) “Business Cycle Volatility and Economic Growth: A Comparative Time Series Study”, which itself is part of the Understanding the Evolving Macroeconomy Research programme.

History

School

  • Business and Economics

Department

  • Economics

Pages

85707 bytes

Publisher

© Loughborough University

Publication date

2000

Notes

This is Business Cycle Volatility and Economic Growth Research Paper No. 00/8.

Language

en

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Keyword(s)

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