https://orcid.org/0000-0001-5747-2023
Figures & data
Table 1. Variable description and data source
Table 2. Summary statistics of variables
Figure 1. Variables in levels.
Figure 2. Variables in log-difference.
Table 3. ADF unit root test results
Table 4. Lag order selection criteria
Table 5. Johansen co-integration test results
Figure 3. Accumulated impulse responses (VAR).
Figure 4. Impulse responses (baseline VECM).
Figure 5. Comparison of the impulse responses (dotted line: VAR and solid line: baseline VEC).
Table 6. Bai-Perron multiple breakpoint tests results
Table 7. Comparison of the impulse responses (results multiplied by 100 to show percentage changes)
Table 8. Granger causality/block exogeneity wald tests results
Table 9. Unresticted long-run and loading matrix
Figure 6. Comparison of the impulse responses (dotted line: oil price VEC and solid line: baseline VEC).
