文章基本信息

标题：Estimating the effects of global oil market shocks on Australian merchandise trade
作者：M-Ali Sotoudeh ; Andrew C. Worthington
期刊名称：Economic Analysis and Policy
印刷版ISSN：0313-5926
出版年度：2016
卷号：50
页码：74-84
DOI：10.1016/j.eap.2016.02.006
出版社：Elsevier B.V.
摘要：Abstract
In this paper, we examine the dynamic responses of Australian merchandise trade to global oil market structural shocks. The analysis employs monthly data over the period June 1986 to January 2013 and vector generalized autoregressive conditional heteroscedasticity (VGARCH), structural vector autoregression (SVAR), and parametric nonlinear models. We find that an increase in the oil price driven by shocks in global economic activity exerts a significant influence on Australian merchandise exports, and thereby merchandise trade as a whole, for periods of more than one year. However, the responses of merchandise imports to oil price shocks are more modest and persist for only a few months. Finally, uncertainty in future global oil prices, as measured by volatility in the 3-month-ahead price, strongly and negatively affects Australian international commodity markets.
JEL classification F14 ; O56 ; Q45 Keywords Oil price volatility ; Merchandise trade ; Structural shocks ; Vector generalised autoregressive conditional heteroscedasticity (VGARCH) ; Structural vector autoregression (SVAR) ; Australia prs.rt("abs_end"); Corresponding author at: Department of Accounting, Finance and Economics, Griffith University, Brisbane, Australia. Tel.: +61 7 3040 8639.
Copyright © 2016 Economic Society of Australia, Queensland. Published by Elsevier B.V. All rights reserved.
关键词：Oil price volatility; Merchandise trade; Structural shocks; Vector generalised autoregressive conditional heteroscedasticity (VGARCH); Structural vector autoregression (SVAR); Australia