Oil price shocks and real GDP growth: empirical evidence for some OECD countries

This paper assesses empirically the effects of oil price shocks on the real economic activity of the main industrialised countries. Multivariate VAR analysis is carried out using both linear and nonlinear models. The latter category includes three approaches employed in the literature, namely, the asymmetric, scaled and net specifications. We find evidence of a non-linear impact of oil prices on real GDP. In particular, oil price increases are found to have an impact on GDP growth of a larger magnitude than that of oil price declines, with the latter being statistically insignificant in most cases. Among oil importing countries, oil price increases are found to have a negative impact on economic activity in all cases but Japan. Moreover, the effect of oil shocks on GDP growth differs between the two oil exporting countries in our sample, with the UK being negatively affected by an oil price increase and Norway benefiting from it. JEL Classification: E32, Q43Macroeconomic fluctuations, Non-linear models, Oil price shock

Aggregate Employment Dynamics and (Partial) Labour Market Reforms

European labour markets have undergone several important innovations over the last three decades. Most countries have reformed their labour markets since the mid-1990s, with the liberalization of fixed-term contracts and temporary work agencies being the common elements to such reforms. This paper investigates the existence of a change in the dynamic behaviour of the aggregate employment for major European Union countries - France, Germany, Italy, and Spain. According to our results, partial labour market reforms have made the response of the aggregate employment to output shocks larger and quite comparable to that found for the UK - the most flexible labour market in Europe since the Thatcher reforms.labour market deregulation; dynamic responses

The industrial impact of oil price shocks : evidence from the industries of six OECD countries

Most of the studies existing in theoretical and empirical understanding of the macroeconomic consequences of oil price shocks have been focused on US aggregate data. In contrast to these studies, this paper assesses empirically the dynamic effects of oil price shocks on the output of the main manufacturing industries in six OECD countries using an identified vector autoregression for each economy. The pattern of responses to an oil price shock by industrial output is diverse across the four European Monetary Union (EMU) countries under consideration (France, Germany, Italy, and Spain), but broadly similar in the UK and the US. Evidence on cross-industry heterogeneity of oil shock effects within the EMU countries is also reported. Moreover, our baseline results are quite robust with respect to changes in the number of lags, identification assumptions, and real oil price definitio

Oil Price Shocks: Testing for Non-linearity

This paper presents evidence of a non-linear relationship between GDP growth and oil price changes in the US economy. We also argue that this non-linearity is not merely due to the use of data from the mid-1980s onwards, as most authors, so far, seem to believe. In fact, we find the existence of non-linearity with the use of data earlier than 1984, and even before 1977. Furthermore, we question that the non-linear transformations of oil prices proposed in the literature are the most appropriate indicators for reflecting such non-linearityMacroeconomic fluctuations, Oil price shock, Non-linearity

OIL PRICE SHOCK: A NONLINEAR APPROACH

Nowadays, the importance of crude oil goes beyond simple economic aspects and affects social life in general. As such, it is imperative that we should know what the relationship between GDP growth and oil price changes is like. This paper presents evidence of a nonlinear relationship between the two things. We also argue that this non-linearity is not merely due to the use of data from the mid-1980s onwards, as most authors, so far, seem to believe. In fact, we find the existence of non-linearity with the use of data earlier than 1984, and even before 1977. Furthermore, we question that the nonlinear transformations of oil prices proposed in the Literature are able to reflect such non-linearity. We therefore use a non-linear function that relates GDP growth to oil prices, and estimate this function by means of kernel methods, avoiding any assumptions about its form. This kernel estimation improves on the linear estimation, and also improves on both Hamilton?s (2001b) estimation and those of the nonlinear transformations. Hoy día la importancia del petróleo sobrepasa los aspectos meramenteeconómicos, afectando de manera generalizada a nuestra vida social. Por ello, es muyimportante saber cuál es la relación existente entre el crecimiento del PIB y los cambiosen el precio del petróleo. Este artículo presenta evidencia de la existencia de unarelación no-lineal entre ambos. Esta no-linealidad se debe no solamente al uso de datosdesde mitad de los años ochenta, como la mayoría de los autores parecen creer. Dehecho, se puede encontrar la existencia de no-linealidad con el uso de datos anteriores a1984, e incluso anteriores a 1977. Este artículo adicionalmente cuestiona que lastransformaciones no-lineales propuestas en la literatura sean capaces de capturar dichano-linealidad. Por todo ello, se utiliza una función no-lineal que relaciona el crecimientodel PIB con el precio del petróleo, estimándola a través de métodos ¿kernel¿, evitandoasí cualquier supuesto sobre su forma. Esta estimación ¿kernel¿ mejora la estimaciónlineal, así como aquellas derivadas de las transformaciones no-lineales y aquellapropuesta por Hamilton (2001b).Fluctuaciones macroeconómicas, shock del precio del petróleo. Macroeconomic fluctuations; Oil price shock.

Food price pass-through in the euro area The role of asymmetries and non-linearities

In this paper we analyse the pass-through of a commodity price shock along the food price chain in the euro area. Unlike the existing literature, which mainly focuses on food commodity prices quoted in international markets, we use a novel database that accounts for the role of the Common Agricultural Policy in the European Union. We model several departures from the linear pass-through benchmark and compare alternative specifications with aggregate and disaggregate food data. Overall, when the appropriate dataset and methodology are used, it is possible to identify a significant and longlasting food price pass-through. The results of our regressions are applied to the strong increase in food prices in the 2007-08 period; a simple decomposition exercise shows that commodity prices are the main determinant of the increase in producer and consumer prices, thus solving the pass-through puzzle highlighted in the existing literature for the euro area. JEL Classification: C32, C53, E3, Q17food commodity prices, inflation, non-linearities, Pass-Through

Commodity price pass‑through along the pricing chain

[EN] This paper analyses the commodity price pass-through along the pricing chain for the global commodity price index and the indices of its main categories (i.e., agricultural raw materials, food and beverages, energy and metals) in the world, advanced and emerging economies. To do so, the study considers country-by-country vector autoregression models and pool the results by taking weighted means for 18 advanced economies and 19 emerging countries, as well as for the world (defned as the sum of advanced and emerging economies). The results show the following: (i) there is evidence in favour of partial pass-through from commodity prices to producer prices, although the evidence for the pass-through to consumer prices is less evident; (ii) the pass-through in the world seems to be led by both advanced and emerging countries for producer prices and only by advanced economies for consumer prices; (iii) higher prices in the four categories (agricultural raw materials only in the short-run) induce signifcant higher producer prices in almost all cases, with shocks in the prices of energy and metals showing the largest efects; and (iv) energy prices explain the highest variability of producer and consumer prices.Open Access funding provided thanks to the CRUE-CSIC agreement with Springer Nature.Publicación en abierto financiada por el Consorcio de Bibliotecas Universitarias de Castilla y León (BUCLE), con cargo al Programa Operativo 2014ES16RFOP009 FEDER 2014-2020 DE CASTILLA Y LEÓN, Actuación:20007-CL - Apoyo Consorcio BUCL

New challenges in international economics and finance

This Special Issue brings together 13 papers that examine a variety of central topics in the field of international economics and finance. These papers were presented at the 23rd Conference on International Economics held in Málaga (Spain) on 16th–17th June 2022. The conference was organised by the Spanish Association of International Economics and Finance (AEEFI) and the University of Málaga. The selected papers make up an interesting and revealing set of information to study the new challenges of the international economics and finance in a context especially marked by the aftermath of the 2008 financial crisis, the climate change, the challenge posed by the COVID-19 crisis and the instability unleashed after the invasion of Ukraine in 2022. From different perspectives, the papers analyse how events that have particularly affected the evolution of the world economy have substantially altered the rules of international trade, foreign direct investment, as well as monetary, fiscal or sectoral policy. The conference included two keynote lectures by Per Krusell (Institute for International Economic Studies, Stockholm University) and Fabio Canova (Norwegian Business School and Budapest School for Central Banking Studies), as well as 97 selected contributions

Dynamic interactions between oil price and exchange rate

This paper contributes to better understand the dynamic interactions between effective exchange rate (EER) and oil price for an oil-importing country like the U.S. by considering a Time-Varying Parameter VAR model with the use of monthly data from 1974:01 to 2019:07. Our findings show a depreciation after an oil price shock in the short-run for any period of time, although the pattern of long-run responses of U.S. EER is diverse across time periods, with an appreciation being observed before the mid-2000s and after the mid-2010s, and a depreciation between both periods. This diversity of response should lead policy makers to react differently in order to counteract such shocks. Furthermore, the reaction of oil price to an appreciation of U.S. EER is negative and different over time, which may generate different adverse effects on investment. The knowledge of such effects may help financial investors to diversify their investments in order to optimize the risk-return profile of their portfolios.This work was partially written while the second author was visiting King’s College London, whose kind hospitality is gratefully acknowledge, under the PRX18/00501 Salvador de Madariaga grant from the Spanish Ministry of Science, Innovation and Universities. The second author also acknowledges support from the research grant SA049G19 (Junta de Castilla y León)