View Articals 30.03.2017 07:36

Vol. 24(1), January 2017

Nonlinear effects of oil prices on inflation, growth, budget deficit, and unemployment
Nguyen Thi Ngoc Trang & Dinh Thi Thu Hong
(Xem: 164 | Tải về: 0)
KeywordsOil price impact TVAR model Oil price threshold.
QuoteNguyen Thi Ngoc Trang & Dinh Thi Thu Hong (2017), "Nonlinear effects of oil prices on inflation, growth, budget deficit, and unemployment", Tạp chí Phát triển Kinh tế 24(1), 73-89.
AbstractIn oil-exporting countries such as members of the OPEC, fluctua-tions in oil prices exert a significant impact on the domestic econo-my. Currently, a sharp reduction in oil prices results in several ad-verse effects; however, for such a crude-oil exporter that is also an importer of petroleum products as Vietnam, does a rise or drop in oil prices is beneficial to its development? This paper attempts to de-termine the oil price threshold while analyzing oil price effects on several macro factors, such as inflation, GDP growth, budget deficit, and unemployment rate over the 2000–2015 period. Using TVAR model, we detect an oil price threshold of USD27.6/barrel. Moreover, an increase in the price of oil, which exceeds this threshold, will cause a rise in inflation, budget deficit, and unemployment rate. Still, there is no significant evidence of the impact of oil prices on GDP growth.

Balke, N. S. (2000). Credit and economic activity: Credit regimes and nonlinear propagation of shocks. Review of Economics and Statistics, 82(2), 344–349.

Bernanke, B. (1983). Irreversibility, uncertainty, and cyclical investment. Quarterly Journal of Economics, 98(1), 85–106.

Bernanke, B. (2004). Oil and the economy. Remarks at the Distinguished Series, Darton College, Albany, Georgia, 10/2014.

Bernanke, B., Gertler, M., & Watson, M. (1997). Systematic monetary policy and the effects of oil shocks. Brookings Papers on Economic Activity, 28(1), 91–157.

Bohi, D. R. (1991). On the macroeconomic effects of energy price shocks. Resources and Energy, 13, 145–162.

Brown, S. P. A., & Yucel, M. K. (1999). Oil prices and U.S. aggregate economic activity: A question of neutrality. Federal Reserve Bank of Dallas Economic and Financial Review,(Second Quarter), 16–23.

Brown, S. P. A., & Yucel, M. K. (2002). Energy prices and aggregate economic activity: An interpretative survey. Quarterly Review of Economics and Finance, 42(2), 193–208.

Burbidge, J., & Harrison, A. (1984). Testing for the effects of oil-price rise using vector autoregressions.International EconomicReview, 25(2), 459–484.

Cologni, A., & Manera, M. (2008). Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries. Energy Economics, 30(3), 856–888.

Cunado, J., & Perez de Gracia, F. (2003). Do oil price shocks matter? Evidence for some European countries. Energy Economics, 25(2), 137–154.

Cunado, J., & Perez de Gracia, F. (2005). Oil prices, economic activity and inflation: Evidence for some Asian countries.Quarterly Review of Economics and Finance, 45(1), 65–83.

Ferderer, J. P. (1996). Oil price volatility and the macroeconomy. Journal of Macroeconomics, 18(1), 1–26.

Fried, E. R., & Schultze, C. L. (1975). Higher oil prices and the world economy. Washington, DC: The Brookings Institution.

Gisser, M., & Goodwin, T. (1986). Crude oil and the macroeconomy: Tests of some popular notions. Journal of Money Credit Banking, 18(1), 95–103.

Hamilton, J. D. (1983). Oil and the macroeconomy since World War II. Journal of Political Economy, 92(2), 228–248.

Hamilton, J. D. (1996). This is what happened to the oil price–macroeconomy relationship. Journal of Monetary Economics, 38(2), 215–220.

Hamilton, J. D. (2011). Nonlinearities and the macroeconomic effects of oil prices. Macroeconomic Dynamics, 15(S3), 364–378.

Hooker, M. A. (1996).What happened to the oil price-macroeconomy relationship?Journal of Monetary Economics, 38(2), 195–213.

Huang, B.-N., Hwang, M. J., & Hsiao, P.-P. (2005). The asymmetry of the impact of oil price shocks on economic activities: An application of the multivariate threshold model. Energy Economics,27(3), 455–476.  

Koop, G., Pesaran, M. H., & Potter, S. (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, 74(1), 119–148.

Le, V. T., & Nguyen, T. T. V. (2011). The impact of oil prices, real effective exchange rate and inflation on economic activity: Novel evidence for Vietnam. Discussion paper series, Kobe University, 3/2011.

Loungani, P. (1986). Oil price shocks and the dispersion hypothesis. Review of Economics and Statistics, 58, 536–539.

Mork, K. A. (1994). Business cycles and the oil market. The Energy Journal, (Special Issue), 15–38.

Mork, K. A., Olsen, O., & Mysen, H. T. (1994). Macroeconomic responses to oil price increases and decreases in seven OECD countries. The Energy Journal, 15(4), 19–36.

Narayan, P. K., & Narayan, S. (2010). Modelling the impact of oil prices on Vietnam’s stock prices.Applied Energy, 87(1), 356–361.

Nguyen, D. T., Bui, T., & Dao, N. T. (2009). Effects of increased petroleum and oil prices: Some preliminary quantitative analyses (in Vietnamese). VNU Journal of Science: Economics and Business, 25, 25–38.

Nguyen, T. L. H., & Tran, T. G. (2012). Effects of oil price shocks on the Vietnam’s economy and forecasts for the 2012–2020 period (in Vietnamese). Institutional Research Project 2011–2012. Vietnam: University of Economics Ho Chi Minh City.

Olomola, P. A., & Adejumo, A.V. (2006). Oil price shock and macroeconomic activities in Nigeria. International Research Journal of Finance and Economics, 3, 28–34.


Pham, T. H. A., Chu, K. L., Dao, B. N., Nguyen, M. P., & Tran, H. T. (2015). Oil price fluctuations and their effects on the Vietnam’s economy (in Vietnamese). Research report 2/2015. Vietnam: Banking Academy.

Pindyck, R. S., & Rotemberg, J. J. (1983). Dynamic factor demands and the effects of energy price shocks. American Economic Review, 73(5), 1066–1079.

Pirovano, M. (2012). Monetary policy and stock prices in small open economies: Empirical evidence for the new EU member states. Economic Systems, 36(3), 372–390.

Rafiq, S., Salim, R., & Bloch, H. (2009). Impact of crude oil price volatility on economic activities: An empirical investigation in the Thai economy. Resources Policy, 34, 121–132.

Ran, J., & Voon, J. P. (2012). Does oil price shock affect small open economies? Evidence from Hong Kong, Singapore, South Korea and Taiwan. Applied Economic Letters, 19, 1599–1602.

Tang, W., Wu, L., & Zhang, Z. (2010). Oil price shocks and their short- and long-term effects on the Chinese economy. Energy Economics, 32(1), S3–S14.

Tatom, J. (1988). Are the macroeconomic effects of oil price changes symmetric? Carnegie−Rochester Conference Series on Public Policy, 28(1), 325–368.

  Add: 17 Pham Ngoc Thach St., 6 Ward, 3 District, HCMC, VietNam. Tel: (+84) 8 38295635. Fax: (+84) 8 8295635
Email: -
Developed by Trần Lê Phúc Thịnh