Oil price shocks and the effects on Real GDP in the economies of Emerging Markets in Latin America

Oil price shocks and the effects on Real GDP in the economies of Emerging Markets in Latin America

ISSUES: Most recently, there has been a remarkable fall in the energy and commodity prices. Many have been debating the possible explanations for this phenomenon, whether the low prices will persist, and most importantly the possible impact on different countries, in particular commodity exporters. The project may discuss the reasons behind the fall in prices, comment on the possible factors which may push up/down their prices in the future, and using time series models (for instance VARs) assess how economic activity and/or key indicators across different countries depend on the energy/commodity prices, in particular major oil exporters and possibly major importers. Finally, empirical results can be used to discuss which countries are more vulnerable/sensitive and possible impact of prolonged low prices.

You are required to assess empirically the economic effects of oil price shocks price in the context of real economic activity based on gross domestic product (GDP) growth rate of a selected countries in Latina America including Brazil, Chile, Colombia and Mexico. The empirical analysis will be carried out within the framework of multivariate VAR/SVAR models both linear and non-linear. The empirical analysis will be conducted using quarterly data over the period 1990 to 2016. Please add tables, statistical analysis and calculations using EViews, Matlab etc., appendix and bibliography.

Please pay particular attention to the below paper, especially from the ‘Methodology’ onwards.
Jiménez-Rodríguez*, R., & Sánchez, M. (2005). Oil price shocks and real GDP growth: empirical evidence for some OECD countries. Applied Economics, 37(2), 201-228.

Empirical analysis

1) ADF, PP or KPSS (unit root test), Graphs, Descriptive Statistics (all the series should be stationary before you run the VAR model)

2) Lag selection criteria

3) Run the VAR model (check for auto correlation)

4) Produce the Impulse Response Function

5) Generate the Variance Decomposition

6) Check Stability of Coefficients

7) Granger Causality tests

Suggested Material:

1) https://www.youtube.com/watch?v=m8M6Im0pDNA

2) http://www.eviews.com/help/helpintro.html#page/conten t/VAR-Views_and_Procs_of_a_VAR.html

3) http://www.eviews.com/help/helpintro.html#page/conten t/VAR-Views_and_Procs_of_a_VAR.html

4) https://www.youtube.com/watch?v=BwxnMBSEu4o

5) Applied Econometrics by Asteriou and Hall, Chapter 15

6) Introductory Econometrics for Finance by Brooks

7000 words + tables, statistical analysis and calculations using EViews, Matlab etc. appendix

The client is happy for you to decide whether MatLab or eViews is used.

Please note the date is quarterly from 1997-2017. The writer can disregard and correct the original research request from 90-17.

Please see the attached files ‘GDP’ ‘Nominal Brent Oil Price’ and ‘US PPI’ for the data.

Referencing Harvard – standard
Essential Sources Jiménez-Rodríguez*, R., & Sánchez, M. (2005). Oil price shocks and real GDP growth: empirical evidence for some OECD countries. Applied Economics, 37(2), 201-228.
Requested Sources Alom, F., Ward, B. D., & Hu, B. (2013). Macroeconomic effects of world oil and food price shocks in Asia and Pacific economies: application of SVAR models. OPEC Energy Review, 37(3), 327-372.

Jiménez-Rodríguez*, R., & Sánchez, M. (2005). Oil price shocks and real GDP growth: empirical evidence for some OECD countries. Applied Economics, 37(2), 201-228.

Hamilton, J. D. (1983). Oil and the macroeconomy since World War II. The Journal of Political Economy, 228-248.

Taghizadeh-Hesary, F., and N. Yoshino. 2015. Macroeconomic Effects of Oil Price Fluctuations on Emerging and Developed Economies in a Model Incorporating Monetary Variables. ADBI Working Paper 546. Tokyo: Asian Development Bank Institute. Available: http://www.adb.org/publications/macroeconomic-effects-oil-price-fluctuations-emerging-anddeveloped-economies-model/
Structure Structure:
Introduction –
Literature Review
Data
Methodology
Results
Conclusion

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