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Oil price volatility, fiscal policy and economic growth: a panel vector autoregressive (PVAR) analysis of some selected oil-exporting African countries

机译：石油价格波动，财政政策和经济增长：对某些选定的石油出口非洲国家的面板向量自回归（PVAR）分析

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摘要

Fiscal policy in oil-centred economies is facing specific challenges, both in the long run, as regards intergenerational equity and fiscal sustainability, and in the short run, as regards macr-oeconomic stabilisation and fiscal planning. Specifically, fiscal policy in most oil-exporting countries in Africa has been expansionary over the past years in the wake of high oil prices. Fiscal expansion has added to inflationary pressure, and monetary policy has been constrained in tackling inflation as a result of prevailing exchange rate regimes. The sharp fall in oil prices since mid-2008 has brought to the fore a different question-whether oil exporters in Africa can sustain spending levels reached in previous years. The study makes use of quarterly data that span between 1990:ql and 2010:q4. A panel vector autoregressive technique was employed to examine the impact of oil price volatility on economic performance of five oil-exporting countries in Africa. The countries are Algeria, Angola, Egypt, Libya and Nigeria. In order to study the responses of shocks, the study identifies oil price volatility, real gross domestic product (real GDP), fiscal deficit, gross investment and money supply shocks by ordering the variables in this way and using a standard Choleski factorisation. The impulse response function's result shows that of all the macroeconomic variables considered, gross investment respond more effectively to oil price volatility. However, the responses of fiscal deficit, real GDP and money supply are less effective. Overall, these findings suggest that gross investment is the main route through which volatility in oil price influenced the real sector of these economies.
机译：以石油为中心的经济体的财政政策，从长远来看，代际公平和财政可持续性方面都面临着具体的挑战，从短期来看，在宏观经济稳定和财政计划方面都面临着具体的挑战。特别是，在过去的几年中，由于高油价，非洲大多数石油出口国的财政政策都是扩张性的。财政扩张加剧了通货膨胀的压力，由于通行的汇率制度，货币政策在应对通货膨胀方面受到限制。自2008年中以来，石油价格的急剧下跌引起了一个不同的问题，即非洲的石油出口商是否能够维持前几年达到的支出水平。该研究利用了1990：ql和2010：q4之间的季度数据。面板矢量自回归技术被用来检验石油价格波动对非洲五个石油出口国经济表现的影响。这些国家是阿尔及利亚，安哥拉，埃及，利比亚和尼日利亚。为了研究冲击的响应，该研究通过以这种方式对变量进行排序并使用标准的Choleski因子分解来确定油价波动，实际国内生产总值（实际GDP），财政赤字，总投资和货币供应冲击。脉冲响应函数的结果表明，在所有考虑的宏观经济变量中，总投资对油价波动的响应更为有效。但是，财政赤字，实际GDP和货币供应量的响应效果较差。总体而言，这些发现表明，总投资是石油价格波动影响这些经济实体的主要途径。

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  • 来源
    《OPEC energy review》 |2014年第2期|127-148|共22页
  • 作者

    Joseph Ayoola Omojolaibi; Festus O. Egwaikhide;

  • 作者单位

    Department of Economics, College of Social and Management Sciences, Caleb University, Lagos, Nigeria;

    Department of Economics, Faculty of the Social Sciences, University of Ibadan, Ibadan, Nigeria;

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