E-Thesis 318 views
Macroeconomic Effects of Oil Prices on US Term Structure and Economic Growth of Oil-Exporting Emerging Economies / EMMANUEL AGBOOLA
Swansea University Author: EMMANUEL AGBOOLA
DOI (Published version): 10.23889/SUthesis.63346
Abstract
This dissertation is a combination of three key papers that investigate the impact of oil prices on the US term structure and economic growth of emerging oil-exporting economies. The first paper launches an investigation into the US term structure by examining the impact of a global factor (such as...
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Swansea, Wales, UK
2023
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| Institution: | Swansea University |
| Degree level: | Doctoral |
| Degree name: | Ph.D |
| Supervisor: | Chowdhury, Rosen. and Yang, Bo. |
| URI: | https://cronfa.swan.ac.uk/Record/cronfa63346 |
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| Abstract: |
This dissertation is a combination of three key papers that investigate the impact of oil prices on the US term structure and economic growth of emerging oil-exporting economies. The first paper launches an investigation into the US term structure by examining the impact of a global factor (such as oil prices) alongside macroeconomic fundamentals (such as drivers of inflation and economic activity). The novelty of this paper lies in its methodological contribution to the macro-finance literature by developing a six-factor Gaussian Affine model that incorporates a global factor to improve both the in-sample t and forecast performance of the US term structure of interest rates. The results show that introducing oil price as a global factor into the term structure model helps t the yield curve better, as the model produces the lowest forecast error compared to competing models. As expected, the macro factor captured in this model plays a significant role in predicting the information of the yield curve in both the short-run and long-run. This chapter motivates future work to look into introducing other global factors, such as economic policy uncertainty, to capture global uncertainty. The second paper focuses on cross-country growth econometrics, based on some competing modelling approaches accounting for regressor endogeneity and individual heterogeneity, as well as period-specic and country-invariant factors associated with cross-country growth regressions. The analysis of this chapter addresses how signicant institution quality, alongside the information in the US bond yields and oil prices, are in determining growth in small open oil-exporting emerging economies. Evidence from our preferred model, which is the corrected least square dummy variable (CLSDV II), where we tested the impact of institutional quality, shows that among the variables investigated, oil prices, the US term structure of interest rates, gross capital formation, and institutional quality report a significant impact on the growth rate of these countries. Thus, governments of developing oil-exporting economies will be able to solve the renowned "resource curse paradox" by devoting significant effort into building a strong institutional framework that can efficiently drive other growth determinant variables. The third paper considers the possibility of asymmetries or nonlinear relationships between oil price shocks and GDP growth and fiscal spending. Therefore, the Kilian and Vigfusson (2011b) model nests the linear case and computes the Impulse Response Functions (IRFs) correctly in nonlinear models. Evidence emanating from our VAR process reveals some statistically significant evidence of a negative relationship between oil prices and economic growth, which is further affirmed by our IRFs result. In explaining the disparityin growth patterns witnessed in these emerging oil-exporting countries, we examine the transmission mechanism of oil price shocks to the real economy of emerging countries by investigating the fiscal policy habit adopted by these countries on their level of output. Our findings show some statistically signicant clear evidence (for Bolivia and Brazil) of fiscal co-movement with oil prices. |
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| Keywords: |
Oil Prices, US Term Structure, Economic Growth, Emerging Economies |
| College: |
Faculty of Humanities and Social Sciences |