Original Research
Oil Price Shocks and Economic Activity: The Asymmetric Cointegration Approach in South Africa
Journal of Economic and Financial Sciences | Vol 9, No 3 | a65 |
DOI: https://doi.org/10.4102/jef.v9i3.65
| © 2016 Ntokozo Nzimande, Simiso Msomi
| This work is licensed under CC Attribution 4.0
Submitted: 18 December 2017 | Published: 03 December 2016
Submitted: 18 December 2017 | Published: 03 December 2016
About the author(s)
Ntokozo Nzimande, Department of Economics, University of KwaZulu-Natal, South AfricaSimiso Msomi, Department of Economics, University of KwaZulu-Natal, South Africa
Full Text:
PDF (464KB)Abstract
This study examines the link between oil prices and economic activity proxied by gross domestic product in the context of South Africa. The study employs the asymmetric approach proposed by Schorderet (2004) and advanced by Lardic and Mignon (2008). Asymmetric cointegration is used because it is believed that increasing and decreasing oil prices do not have similar or equal impacts on economic activity. In this study we document evidence for an asymmetric response of economic activity to oil price shocks. Further, our findings suggest that negative oil price shocks are important relative to positive oil price shocks.
Keywords
Oil prices; economic activity; asymmetric; cointegration
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Crossref Citations
1. The endogeneity of business cycle synchronisation in SADC: A GMM approach
Ntokozo Patrick Nzimande, Harold Ngalawa, Mariam Camarero
Cogent Economics & Finance vol: 5 issue: 1 first page: 1358914 year: 2017
doi: 10.1080/23322039.2017.1358914