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Asymmetric effects of oil price shocks in oil-exporting countries: the role of institutions

机译：石油出口国中石油价格冲击的不对称影响：机构的作用

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Many empirical studies on the oil price shock effects on the economies of oil-exporting countries have assumed a linear relationship between the shocks and macroeconomic variables, offering no insights on the dynamics of different types of shocks. The literature also assumes a homogeneous response to oil price shocks by oil-exporting countries. This paper investigates the non-linear effects of oil price shock on macroeconomic performance in the context of two groups of oil-exporting countries using a VAR model with price shocks estimated by a GARCH method. The model consists of oil price shocks and economic growth as two major variables of interest as well as intermediate variables such as investment, exchange rate, and inflation rate. The sample includes nine major oil-exporting countries, six developing and three developed countries, for the period 1970-2010. The results indicate that not all oil-exporting countries are alike in responding to oil shocks. While oil shocks have asymmetric effects in oil-exporting developing countries; lower oil prices lead to major revenue cuts and ensuing stagnation in the economy, but higher oil prices and accompanying higher revenues do not translate into sustained economic growth; they do not have significant effect on economic growth in oil-exporting developed countries. The panel data estimation results also suggest that heterogeneous responses to oil price shocks in oil-exporting countries can be explained by differences in their institutional quality, particularly government effectiveness.
机译：关于石油价格冲击对石油输出国经济的影响的许多实证研究都假定冲击与宏观经济变量之间存在线性关系，但没有提供有关不同类型冲击动态的见解。文献还假设对石油出口国的石油价格冲击采取了一致的应对措施。本文研究了两组石油出口国在石油价格冲击对宏观经济绩效的非线性影响下，使用VAR模型，并通过GARCH方法估算了价格冲击。该模型包括石油价格冲击和经济增长这两个主要变量，以及诸如投资，汇率和通货膨胀率之类的中间变量。样本包括1970-2010年期间的9个主要石油出口国，6个发展中国家和3个发达国家。结果表明，并非所有石油输出国在应对石油冲击方面都是一样的。尽管石油冲击在石油出口发展中国家具有不对称的影响；较低的石油价格导致大幅度削减收入并导致经济停滞，但是较高的石油价格和随之而来的较高收入并不能转化为持续的经济增长；它们对石油出口发达国家的经济增长没有重大影响。面板数据估计结果还表明，石油出口国对石油价格冲击的不同反应可以通过其机构质量，特别是政府效力的差异来解释。

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