Purpose

Rising crude oil prices are likely to have an asymmetric and nonlinear negative impact on GDP growth. The purpose of this paper is to ask the following questions: Does the effect of a crude price shock depend on the position of crude price cycle, i.e. is the effect of price shock larger/smaller in periods of already elevated crude price? And, does the effect of crude price shock depend on the position of the economy in the business cycle, i.e. does the crude price shock affect growth differentially in periods of low/high growth?

Design/methodology/approach

The authors use a local linear projection (LLP) model to examine the asymmetric impact of crude price on GDP growth in an environment of high crude price. Next, a quantile regression model is used to account for differential impact on growth around high and low growth periods.

Findings

Results from the LLP model show that when oil price is above $70, each additional percentage point of increase in oil price results in a 20 basis point (bps) drop in quarterly GDP growth rate on average. The impact is felt between the third and sixth quarters. When oil prices rise above $80, the impact is similar, with a sharper drop in growth (30 bps). The exercise with quantile regression shows that the impact of an increase in crude prices on growth is almost double at lowest quantiles of growth compared with the median.

Originality/value

There is a growing literature that evaluates the impact of oil price in developing economies. However, nonlinearities in crude price-GDP growth dynamics have not received enough attention, especially during phases of elevated crude price or a growth downcycle. The authors believe that accounting for such effects is especially relevant in the present economic scenario of high oil prices because of geopolitical crises and a period of vulnerable growth because of supply chain issues arising out of the pandemic. Using recent data from oil-importing emerging market economies such as India, this paper fills a crucial gap in the literature.

中文翻译：

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原油价格冲击对 GDP 增长的影响：使用线性、非线性和极值框架

目的

原油价格上涨可能会对 GDP 增长产生不对称和非线性的负面影响。本文的目的是提出以下问题：原油价格震荡的影响是否取决于原油价格周期的位置，即在原油价格已经上涨的时期，价格震荡的影响更大/更小？而且，原油价格冲击的影响是否取决于经济在商业周期中的位置，即原油价格冲击是否会在低/高增长时期对增长产生不同的影响？

设计/方法/途径

作者使用局部线性投影 (LLP) 模型来检验原油价格在高原油价格环境下对 GDP 增长的不对称影响。接下来，使用分位数回归模型来解释高增长和低增长时期对增长的不同影响。

发现

LLP 模型的结果显示，当油价高于 70 美元时，油价每上涨一个百分点，季度 GDP 增长率平均下降 20 个基点 (bps)。第三和第六季度之间会感受到这种影响。当油价升至 80 美元以上时，影响是相似的，增长会急剧下降（30 个基点）。分位数回归分析表明，与中位数相比，原油价格上涨对增长的最低分位数的影响几乎翻了一番。

原创性/价值

越来越多的文献评估石油价格对发展中经济体的影响。然而，原油价格与 GDP 增长动态之间的非线性并未受到足够的重视，尤其是在原油价格上涨或增长下行阶段。作者认为，考虑到这种影响在当前因地缘政治危机而导致高油价的经济情景以及因大流行病引起的供应链问题而导致增长脆弱的时期尤其重要。本文使用来自印度等石油进口新兴市场经济体的最新数据，填补了文献中的一个重要空白。