bcv00-8.pdf (107.3 kB)
Oil and the asymmetric adjustment of UK output: a Markov-switching approach
preprint
posted on 2006-03-29, 10:49 authored by Mark J. Holmes, Ping WangThis 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 bytesPublisher
© Loughborough UniversityPublication date
2000Notes
This is Business Cycle Volatility and Economic Growth Research Paper No. 00/8.Language
- en