Time-varying impact of oil shocks on trade balances: Evidence using the TVP-VAR model

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dc.contributor.authorBalli, Esra
dc.contributor.authorCatik, Abdurrahman Nazif
dc.contributor.authorNugent, Jeffrey B.
dc.date.accessioned2021-05-03T20:27:47Z
dc.date.available2021-05-03T20:27:47Z
dc.date.issued2021
dc.departmentEge Üniversitesien_US
dc.description.abstractThis 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.en_US
dc.description.sponsorshipEge University Planning and Monitoring Coordination of Organizational Development; Directorate of Library and Documentationen_US
dc.description.sponsorshipWe are grateful to Ege University Planning and Monitoring Coordination of Organizational Development and Directorate of Library and Documentation for their support in editing and proofreading service of this study.en_US
dc.identifier.doi10.1016/j.energy.2020.119377
dc.identifier.issn0360-5442
dc.identifier.issn1873-6785
dc.identifier.issn0360-5442en_US
dc.identifier.issn1873-6785en_US
dc.identifier.scopus2-s2.0-85097000154en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.urihttps://doi.org/10.1016/j.energy.2020.119377
dc.identifier.urihttps://hdl.handle.net/11454/69651
dc.identifier.volume217en_US
dc.identifier.wosWOS:000611853000003en_US
dc.identifier.wosqualityQ1en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherPergamon-Elsevier Science Ltden_US
dc.relation.ispartofEnergyen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectTrade balanceen_US
dc.subjectCurrent account balanceen_US
dc.subjectOil shocksen_US
dc.subjectTime-varying parameter vector autoregression (TVP-VAR)en_US
dc.subjectStochastic volatilityen_US
dc.subjectChinaen_US
dc.subjectRussiaen_US
dc.titleTime-varying impact of oil shocks on trade balances: Evidence using the TVP-VAR modelen_US
dc.typeArticleen_US

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