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Oil price shocks and macroeconomic dynamics in resource-rich emerging economies under regime shifts

Babatunde S. Omotosho, Bo Yang Orcid Logo

Journal of International Money and Finance, Volume: 144, Start page: 103082

Swansea University Author: Bo Yang Orcid Logo

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DOI (Published version): 10.1016/j.jimonfin.2024.103082

Abstract

How do global oil price fluctuations affect macroeconomic activity and monetary policy in resource-rich emerging economies? This paper tackles this question by developing a unified emerging market/rest-of-the-world DSGE framework featuring Ricardian and Non-Ricardian households, an oil-producing sec...

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Published in: Journal of International Money and Finance
ISSN: 0261-5606
Published: Elsevier BV 2024
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URI: https://cronfa.swan.ac.uk/Record/cronfa66075
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first_indexed 2024-04-17T16:27:17Z
last_indexed 2024-04-17T16:27:17Z
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spelling v2 66075 2024-04-17 Oil price shocks and macroeconomic dynamics in resource-rich emerging economies under regime shifts d8e17e56a3b9484ba22c3d43807c83bd 0000-0001-5834-6002 Bo Yang Bo Yang true false 2024-04-17 SOSS How do global oil price fluctuations affect macroeconomic activity and monetary policy in resource-rich emerging economies? This paper tackles this question by developing a unified emerging market/rest-of-the-world DSGE framework featuring Ricardian and Non-Ricardian households, an oil-producing sector, a fuel subsidy programme, and a regime-switching process. The model is estimated using Bayesian methods, allowing us to be agnostic regarding regime shifts in the monetary policy rule and oil price volatility. Using data for Nigeria, we find substantial empirical support for the regime-switching behaviour and discuss how macroeconomic implications of oil price shocks may vary depending on the nature of the shock, monetary policy responses, and the fuel subsidy policy in place. Apart from providing important insights into the monetary policy transmission mechanism, the paper offers a novel, flexible, and functional model for future policy analysis, especially in resource-rich emerging countries. Journal Article Journal of International Money and Finance 144 103082 Elsevier BV 0261-5606 Oil price shocks; Regime-switching DSGE models; Emerging economies; Monetary policy; Bayesian estimation 1 6 2024 2024-06-01 10.1016/j.jimonfin.2024.103082 COLLEGE NANME Social Sciences School COLLEGE CODE SOSS Swansea University SU Library paid the OA fee (TA Institutional Deal) British Academy (GrantNumber(s): SG2122\210952) 2024-05-21T15:15:49.4810155 2024-04-17T17:24:54.1855757 Faculty of Humanities and Social Sciences School of Social Sciences - Economics Babatunde S. Omotosho 1 Bo Yang 0000-0001-5834-6002 2 66075__30075__9a6287d063e9484eba41929665610388.pdf jimf2024.pdf 2024-04-19T17:58:51.4346489 Output 1322536 application/pdf Version of Record true © 2024 The Author(s). This is an open access article under the CC BY license. true eng http://creativecommons.org/licenses/by/4.0/).
title Oil price shocks and macroeconomic dynamics in resource-rich emerging economies under regime shifts
spellingShingle Oil price shocks and macroeconomic dynamics in resource-rich emerging economies under regime shifts
Bo Yang
title_short Oil price shocks and macroeconomic dynamics in resource-rich emerging economies under regime shifts
title_full Oil price shocks and macroeconomic dynamics in resource-rich emerging economies under regime shifts
title_fullStr Oil price shocks and macroeconomic dynamics in resource-rich emerging economies under regime shifts
title_full_unstemmed Oil price shocks and macroeconomic dynamics in resource-rich emerging economies under regime shifts
title_sort Oil price shocks and macroeconomic dynamics in resource-rich emerging economies under regime shifts
author_id_str_mv d8e17e56a3b9484ba22c3d43807c83bd
author_id_fullname_str_mv d8e17e56a3b9484ba22c3d43807c83bd_***_Bo Yang
author Bo Yang
author2 Babatunde S. Omotosho
Bo Yang
format Journal article
container_title Journal of International Money and Finance
container_volume 144
container_start_page 103082
publishDate 2024
institution Swansea University
issn 0261-5606
doi_str_mv 10.1016/j.jimonfin.2024.103082
publisher Elsevier BV
college_str Faculty of Humanities and Social Sciences
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hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Social Sciences - Economics{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Social Sciences - Economics
document_store_str 1
active_str 0
description How do global oil price fluctuations affect macroeconomic activity and monetary policy in resource-rich emerging economies? This paper tackles this question by developing a unified emerging market/rest-of-the-world DSGE framework featuring Ricardian and Non-Ricardian households, an oil-producing sector, a fuel subsidy programme, and a regime-switching process. The model is estimated using Bayesian methods, allowing us to be agnostic regarding regime shifts in the monetary policy rule and oil price volatility. Using data for Nigeria, we find substantial empirical support for the regime-switching behaviour and discuss how macroeconomic implications of oil price shocks may vary depending on the nature of the shock, monetary policy responses, and the fuel subsidy policy in place. Apart from providing important insights into the monetary policy transmission mechanism, the paper offers a novel, flexible, and functional model for future policy analysis, especially in resource-rich emerging countries.
published_date 2024-06-01T15:15:48Z
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score 11.01306

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