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首页> 外文期刊>OPEC energy review >Crude oil price, exchange rate and gross domestic product nexus in an emerging market: A cointegration analysis
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Crude oil price, exchange rate and gross domestic product nexus in an emerging market: A cointegration analysis

机译：新兴市场中的原油价格，汇率和国内生产总值联系：协整分析

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摘要

Crude oil plays an important role in the economic development of many emerging markets. This study examines the role of global crude oil price on the exchange rate (EXR) and gross domestic product (GDP) of Ghana (a new oil producing country) using the Johansen modelling technique for the period, 1980-2013. Following the cointegration of the variables, the vector error correction model was developed, which revealed that oil price could increase the GDP growth by 3 per cent but can negatively affect the EXR in the long run. The short-term analysis points to Granger causality from oil price and GDP to energy consumption. It further reveals causality from oil price and EXR to GDP, which indicates that development in the global oil price as well as the performance of the currency can impact economic growth. No significant evidence of the oil price role in EXR volatility was found; however, the 'Dutch disease' syndrome was eminent through EXR appreciation. Moreover, the overall response of GDP to oil price shocks for the forecast period is insignificantly positive even though oil price shock tends to retard economic growth in the first 3 years.
机译：原油在许多新兴市场的经济发展中起着重要作用。这项研究使用Johansen建模技术研究了1980-2013年期间全球原油价格对加纳（一个新的产油国）的汇率（EXR）和国内生产总值（GDP）的作用。在变量的协整之后，建立了矢量误差校正模型，该模型显示油价可以使GDP增长3％，但从长远来看会对EXR产生负面影响。短期分析指出，格兰杰因果关系从油价和GDP到能源消耗。它进一步揭示了从石油价格和EXR到GDP的因果关系，这表明全球石油价格的发展以及货币的表现会影响经济增长。没有发现石油价格在EXR波动中发挥重要作用的证据；但是，通过EXR赞赏，“荷兰病”综合症就很突出。此外，在预测期内，GDP对石油价格冲击的总体反应是微不足道的，尽管石油价格冲击往往会阻碍前三年的经济增长。

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  • 来源
    《OPEC energy review》 |2016年第2期|212-231|共20页
  • 作者

    Emmanuel Kwasi Mensah; Umberto Triacca; Eric Amoo Bondzie; Gabriel Obed Fosu;

  • 作者单位

    Department of Economics, University of Insubria, via Monte Generoso 71, 21100, Varese, Italy;

    Department of Information Engineering, Computer Science and Mathematics, University of L'Aquila, L'Aquila, Italy;

    DEFAP, Universita Cattolica del Sacro Cuore, Milan, Italy;

    Department of Mathematics, Kwame Nkrumah University of Science and Technology, Kumasi, Ghana;

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