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Macroeconomic Effects of Oil Prices on US Term Structure and Economic Growth of Oil-Exporting Emerging Economies / EMMANUEL AGBOOLA

Swansea University Author: EMMANUEL AGBOOLA

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DOI (Published version): 10.23889/SUthesis.63346

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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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Published: Swansea, Wales, UK 2023
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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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 &amp;quot;resource curse paradox&amp;quot; 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. 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Agboola, 2023. Distributed under the terms of a Creative Commons Attribution Non Commercial 4.0 License (CC BY-NC 4.0).</documentNotes><copyrightCorrect>true</copyrightCorrect><language>eng</language><licence>https://creativecommons.org/licenses/by-nc/4.0/</licence></document></documents><OutputDurs/></rfc1807>
spelling v2 63346 2023-05-04 Macroeconomic Effects of Oil Prices on US Term Structure and Economic Growth of Oil-Exporting Emerging Economies 3511db0d68e1b3f77c1959f23c88d4a7 EMMANUEL AGBOOLA EMMANUEL AGBOOLA true false 2023-05-04 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 &quot;resource curse paradox&quot; 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. E-Thesis Swansea, Wales, UK Oil Prices, US Term Structure, Economic Growth, Emerging Economies 19 4 2023 2023-04-19 10.23889/SUthesis.63346 COLLEGE NANME COLLEGE CODE Swansea University Chowdhury, Rosen. and Yang, Bo. Doctoral Ph.D 2023-09-28T15:28:32.7939881 2023-05-04T11:37:23.1945860 Faculty of Humanities and Social Sciences School of Social Sciences - Economics EMMANUEL AGBOOLA 1 Under embargo Under embargo 2023-05-11T11:07:20.2388676 Output 2307968 application/pdf E-Thesis - restricted access true 2026-04-19T00:00:00.0000000 Copyright: The Author, Emmanuel O. Agboola, 2023. Distributed under the terms of a Creative Commons Attribution Non Commercial 4.0 License (CC BY-NC 4.0). true eng https://creativecommons.org/licenses/by-nc/4.0/
title Macroeconomic Effects of Oil Prices on US Term Structure and Economic Growth of Oil-Exporting Emerging Economies
spellingShingle Macroeconomic Effects of Oil Prices on US Term Structure and Economic Growth of Oil-Exporting Emerging Economies
EMMANUEL AGBOOLA
title_short Macroeconomic Effects of Oil Prices on US Term Structure and Economic Growth of Oil-Exporting Emerging Economies
title_full Macroeconomic Effects of Oil Prices on US Term Structure and Economic Growth of Oil-Exporting Emerging Economies
title_fullStr Macroeconomic Effects of Oil Prices on US Term Structure and Economic Growth of Oil-Exporting Emerging Economies
title_full_unstemmed Macroeconomic Effects of Oil Prices on US Term Structure and Economic Growth of Oil-Exporting Emerging Economies
title_sort Macroeconomic Effects of Oil Prices on US Term Structure and Economic Growth of Oil-Exporting Emerging Economies
author_id_str_mv 3511db0d68e1b3f77c1959f23c88d4a7
author_id_fullname_str_mv 3511db0d68e1b3f77c1959f23c88d4a7_***_EMMANUEL AGBOOLA
author EMMANUEL AGBOOLA
author2 EMMANUEL AGBOOLA
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hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Social Sciences - Economics{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Social Sciences - Economics
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description 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 &quot;resource curse paradox&quot; 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.
published_date 2023-04-19T15:28:33Z
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score 11.035765

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