305
Views
0
CrossRef citations to date
0
Altmetric
Finance, Development, and Productivity in Emerging Economies

The Effects of Oil Price on the Korean Economy: A Global VAR Approach

ORCID Icon &

References

  • Anderson, R., H. Qian, and R. Rasche, (2006), “Analysis of panel vector error correction models using maximum likelihood, the bootstrap, and canonical-correlation estimators,” Working Paper 2006-050A, Federal Reserve Bank of St. Louis.
  • Assenmacher-Wesche, K., and S. Gerlach, (2008), “Monetary policy, asset prices and macroeconomic conditions: a panel var study,” Working Paper No. 149, National Bank of Belgium.
  • Baumeister, C., and G. Peersman, (2012), “Time-varying effects of oil supply shocks on the U.S. Economy,” Working Paper No. 2012-2, Bank of Canada.
  • Canova, F., M. Ciccarelli, and E. Ortega. 2007. Similarities and Convergence in G-7 Cycles. Journal of Monetary Economics 54:850–78. doi:10.1016/j.jmoneco.2005.10.022.
  • Cashin, P., K. Mohaddes, M. Raissi, and M. Raissi. 2014. The differential effects of oil demand and supply shocks on the global economy. Energy Economics 44:113–34. doi:10.1016/j.eneco.2014.03.014.
  • Choi, B., D. Kim, and S. Ahn. 2013. Results of the reconstruction of the var model block of the books macroeconomic modelling system. In Bank of Korea Monthly Bulletin, 15–38. (Korean). November 2013. Seoul: Bank of Korea.
  • Ciccarelli, M., E. Ortega, and M. T. Valderrama, (2012), “Heterogeneity and cross-country spillovers in macroeconomic-financial linkages,” Working Paper No. 1498, European Central Bank.
  • Dees, S., F. Di Mauro, M. H. Pesaran, and L. V. Smith. 2007. Exploring the international linkages of the euro area: a global var analysis. Journal of Applied Econometrics 22:1–38. doi:10.1002/(ISSN)1099-1255.
  • Eichengreen, B., A. Mody, M. Nedeljkovic, and L. Sarno. 2012. How the sub-prime crisis went global: evidence form bank credit default swap spreads. Journal of International Money and Finance 31:1299–318. doi:10.1016/j.jimonfin.2012.02.002.
  • Fong, T., and A. Wong. 2012. Gauging potential sovereign risk contagion in Europe. Economics Letters 115:496–99. doi:10.1016/j.econlet.2011.12.112.
  • Goodhart, C., and B. Hofmann. 2008. House prices, money, credit, and the macroeconomy. Oxford Review of Economic Policy 24:180–205. doi:10.1093/oxrep/grn009.
  • Greenwood-Nimmo, M. J., V. H. Nguyen, and Y. Shin. 2012a. Probabilistic forecasting of output growth, inflation and the balance of trade in a gvar framework. Journal of Applied Econometrics 27:554–73. doi:10.1002/jae.1208.
  • Greenwood-Nimmo, M. J., V. H. Nguyen, and Y. Shin. 2012b. International linkages of the Korean economy: the global vector error-correcting macroeconometric modelling approach. Journal of Market Economy 41:15–64.
  • Greenwood-Nimmo, M. J., V. H. Nguyen, and Y. Shin, (2015), “Measuring the Connectedness of the Global Economy,” Working Paper No. 7/15, The University of Melbourne.
  • Kilian, L. 2009. Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market. American Economic Review 99:1053–69. doi:10.1257/aer.99.3.1053.
  • Mohaddes, K., and M. H. Pesaran. 2016. Country-specific oil supply shocks and the global economy: a counterfactual analysis. Energy Economics 59:382–99. doi:10.1016/j.eneco.2016.08.007.
  • Mohaddes, K., and M. Raissi (2015), “The U.S. oil supply revolution and the global economy,” Working Paper No. 15/259, International Monetary Fund. 10.5089/9781513509846.001
  • Park, H., and Y. Shin. 2017. Exploring international linkages using generalised connectedness measures: the case of Korea. International Review of Economics and Finance 50:49–64. doi:10.1016/j.iref.2017.03.029.
  • Peersman, G., and I. V. Robays. 2009. Oil and the Euro Area. Economic Policy 24:603–51. doi:10.1111/j.1468-0327.2009.00233.x.
  • Pesaran, M. H., and Y. Shin. 1998. Generalized impulse response analysis in linear multivariate models. Economics Letters 58:17–29. doi:10.1016/S0165-1765(97)00214-0.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.