Oil price fluctuations and their impact on the macroeconomic variables of Kuwait: a case study using a VAR model
By M. N. Eltony, M. Al-Awadi. 2001
134 citations recorded by the source corpus.
In this study, a vector autoregression model (VAR) and a vector error correction model (VECM) were estimated to examine the impact of oil price fluctuations on seven key macroeconomic variables for the Kuwaiti economy. Quarterly data for the period 1984–1998 were utilized. Theoretically and empirically speaking, VECM is superior to the VAR approach. Also, the results corresponding to the VECM model are closer to common sense.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/e859491dc79a3777de5a63c364570662bbf480e3
How researchers see this paper
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In Economics and Econometrics
- Rashid Sbia
- H. Hamdi
- Rangan Gupta
- Mohammad Reza Farzanegan
- Gunther Markwardt
- Mampho P. Modise
- Muhammad Shahbaz
- Mohammad A. Salahuddin
Citations in the corpus
- Does the source of oil price shocks matter for South African stock returns? A structural VAR approach (2013, background): “An extensive macroeconomic literature suggests a strong negative link between oil prices and real variables, especially for oil-importing countries (see e.g,. Hamilton, 1983; Hamilton 2003; Hooker, 1996; Eltony and Al-Awadi, 2001 and Keane and Prasad, 1996, amongst others).”
- Dynamic relationships between oil revenues, government spending and economic growth in an oil-dependent economy (2013, result): “This result is similar to the one conducted by Eltony and Al-Awadi (2001) in which they found that oil price shocks affect macroeconomic variables in Kuwait.”
- The effects of oil price shocks on the Iranian economy (2009, background): “Besides Naka and Tufte (1997), other researchers like Engle and Yoo (1987), Clements and Hendry (1995), and Hoffman and Rasche (1996) showed that an unrestricted VAR is superior (in terms of forecast variance) to a restricted VEC model on short horizons when the restriction is true.”