Time-varying impact of oil shocks on trade balances: Evidence using the TVP-VAR model
Küçük Resim Yok
Tarih
2021
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Pergamon-Elsevier Science Ltd
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This paper investigates the effects of oil supply and demand shocks on the current account balances of China and Russia for the period between the first quarter of 1993 and the third quarter of 2018 using a time-varying parameter vector autoregression (TVP-VAR) model with stochastic volatility. To facilitate comprehension of the results and to anchor them in well-known events, this analysis focuses on two countries with different oil trade characteristics-Russia as an oil exporter and China as an oil importer. We find that identifying their sources plays an important role in understanding the impact of oil price shocks on trade balances. The results indicate that oil demand shocks have a much larger effect on trade balances and are more attributable to oil price shocks than oil supply shocks. Due to their different positions in the global oil market-one an oil exporter and the other, an oil importer-China's and Russia's individual responses differ substantially. in line with findings regarding impulse responses, the time-varying forecast error decompositions demonstrate that both oil supply and demand shocks have their greatest influence during and immediately after periods of crisis. (C) 2020 Elsevier Ltd. All rights reserved.
Açıklama
Anahtar Kelimeler
Trade balance, Current account balance, Oil shocks, Time-varying parameter vector autoregression (TVP-VAR), Stochastic volatility, China, Russia
Kaynak
Energy
WoS Q Değeri
Q1
Scopus Q Değeri
Q1
Cilt
217
