This paper examines how oil price shocks affect the output growth of selected MENA countries that are considered either net exporters or net importers of this commodity, but are too small to affect oil prices. That an individual country’s economic performance does not affect world oil prices is imposed on the Vector Autoregressive setting as an identifying restriction. The estimates suggest that oil price increases have a statistically significant and positive effect on the outputs of Algeria, Iran, Iraq, Kuwait, Libya, Oman, Qatar, Syria, and the United Arab Emirates. However, oil price shocks do not appear to have a statistically significant effect on the outputs of Bahrain, Djibouti, Egypt, Israel, Jordan, Morocco, and Tunisia. When we further decompose positive oil shocks such as oil demand and oil supply for the latter set of countries, oil supply shocks are associated with lower output growth but the effect of oil demand shocks on output remain positive.
AleisaE. A.DiboogluS. (2002). “Sources of Real Exchange Rate Movements in Saudi Arabia.” Journal of Economics and Finance26(1): 101-110.
2.
AmanoR.Van NordenS. (1995). “Oil Prices and the Rise and Fall of The U.S. Real Exchange Rate.” International Finance, EconWPA # 9502001135/90.
3.
BernankeB. S.GertlerM.WatsonM.(1997). “Systematic Monetary Policy and the Effects of Oil Price Shocks.” Brookings Papers on Economic Activity Vol.1997, No. 1: 91-157.
4.
BerumentH.PasaogullariM. (2003). “Effects of the Real Exchange Rate on Output and Inflation: Evidence From Turkey.” Developing Economies41(4): 401-435.
5.
BerumentH.TasciH. (2002). “Inflationary Effect of Crude Oil Prices in Turkey.” Physica A316: 568-580.
6.
BjϕrnlandH. C. (2008). “Oil Price Shocks and Stock Market Booms in an Oil Exporting Country.” Working Paper from Norges Bank # 16.
7.
BohiD. R. (1989). Energy Price Shocks and Macroeconomic Performance. Washington, D.C.: Resources for the Future.
8.
BoskinMichael J.DulbergerE.R.GordonR.J.GrilichesZ.JorgensonD. (1996). “Toward a More Accurate Measure of the Cost of Living.” Final Report to the Senate Finance Committee from the Advisory Commission to Study the Consumer Price Index, Washington: Senate Finance Committee, December4.
9.
BurbidgeJ.HarrisonA. (1984). “Testing for The Effect of Oil Price Rises Using Vector Autoregressions.” International Economic Review25: 459-484.
10.
BrownS. P. A.YucelM. K. (2000). “Oil Prices and the Economy.” Soutwest Economy, Federal Reserve Bank of Dallas, Issue: 4.
11.
BryanM. F.CecchettiS. G. (1993). “The Consumer Price Index as a Measure of Inflation.” Economic Review, Federal Reserve Bank of Cleveland, Issue Q IV: 15-24.
12.
ChenH.ChenC. (2007). “Oil Prices and Real Exchange Rate.” Energy Economics, 29: 390-404.
13.
CanovaF.De NicoloG. (2002). “Monetary Disturbances Matter for Business Cycle Fluctuations in The G-7.” Journal of Monetary Economics49: 1131-1159.
14.
CordenW. (1984). “Booming Sector and Dutch Disease Economics: Survey and Consolidation.” Oxford Economic Paper36: 359-80.
15.
CuñadoJ.Pérez de GraciaF. (2003). “Do Oil Price Shocks Matter? Evidence for some European countries.” Energy Economics25: 137-154.
16.
CushmanD. O.ZhaT. (1997). “Identifying Monetary Policy in a Small Open Economy under Flexible Exchange Rates.” Journal of Monetary Economics39: 433-448.
17.
DarbyM. R. (1982). “The Price of Oil and World Inflation and Recession.” American Economic Review72: 738-751.
18.
De GrauwePaul (1996). International Money: Postwar-Trends and Theories. Oxford: Oxford University Press.
19.
DedolaL.NeriS. (2006). “What Does a Technology Shock Do? A VAR Analysis with Model-Based Sign Restrictions.” European Central Bank Working Paper Series, No:705.
20.
EndersW. (1995). Applied Econometric Time Series. New York: John Wiley & Sons Inc.
21.
GisserM.GoodwinT. H. (1986). “Crude Oil and the Macroeconomy: Tests of Some Popular Notions.” Journal of Money, Credit and Banking18: 95-103.
22.
GordonR.J.vanGoethemT. (2005). “A Century of Housing Shelter Prices: Is There a Downward Bias in the CPI?” NBER Working Papers # 11776.
23.
GolubStephen (1983). “Oil Prices and Exchange Rates.” Economic Journal93: 576-93.
24.
HamiltonJ. D. (1983). “Oil and the Macroeconomy since World War II.” Journal of Political Economy91: 228-248.
25.
HamiltonJ. D. (1996). “This Is What Happened to the Oil Price-Macroeconomy Relationship.” Journal of Monetary Economics38: 215-220.
26.
HookerMark A. (1996). “What Happened to the Oil Price-Macroeconomy Relationship?” Journal of Monetary Economics38: 195-213.
27.
HuntB. (2005). “Oil Price Shocks: Can They Account for the Stagflation in the 1970s?” IMF Working Paper # 05/215.
28.
HusainT.Ter-Martirosyan(2008). “Fiscal Policy and Economic Cycles in Oil-Exporting Countries.” IMF working Paper # WP/08/253.
29.
Jimenez-RodriguezR. (2008). “The Impact of Oil Price Shocks: Evidence from the Industries of Six OECD Countries.” Energy Economics30(6): 3095-3108.
30.
Jimenez-RodriguezR.SanchezM. (2005). “Oil Price Shocks and Real GDP Growth: Empirical Evidence for Some OECD Countries.” Applied Economics37: 201-228.
31.
KaminS. B.RogersJ. H. (2000). “Output and the Real Exchange Rate in Developing Countries: An Application to Mexico”. Journal of Development Economics 61: 85-109.
LeeK.NiS.RattiR. A. (1995). “Oil Shocks and the Macroeconomy: The Role of Price Variability.” Energy Journal16: 39-56.
34.
LevinA. T.LounganiP. N. (1996). “Oil, Money, and Economic Activity in the G-7 Countries: Implications of the FRB/MCM”. Paper presented at the DOE Conference, International Energy Security: Economic Vulnerability to Oil Price Shocks. October,Washington D.C.
35.
LippiF.NobiliA. (2008). “Oil and the Macroeconomy: A Structural VAR Analysis with Sign Restrictions.” Center for Economic Policy Research, Working Paper # 6830.
36.
Maeso-FernandezFOsbatC.SchnatzB. (2002). “Determinants of the Euro Real Effective Exchange Rate: A BEER/PEER Approach.” Australian Economic Papers41(4): 437-461.
37.
MiguelC. deManzanoB.Martin-MorenoJ. M. (2003). “Oil Price Shocks and Aggregate Fluctuations.” The Energy Journal24(2): 47-61.
38.
MorkK. A. (1989). “Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton’s Results.” Journal of Political Economy91: 740-744.
39.
MorkKOlsenO.MysenH. (1994). “Macroeconomic Responses to Oil Price Increases and Decreases in Seven OECD Countries.” The Energy Journal15: 19-35.
40.
MountfordA. (2005). “Leaning Into the Wind: A Structural VAR Investigation of UK Monetary Policy.” Oxford Bulletin of Economics and Statistics67(5): 597-621.
41.
NordhausW.D. (1980). “Oil and Economic Performance in Industrial Countries.” Brooking Papers on Economic Activity2: 341-388.
42.
OkunA.M. (1975). “A Postmortem of the 1974 Recession.” Brooking Papers on Economic Activity1: 207-221.
43.
PapapetrouE. (2001). “Oil Price Shocks, Stock Market, Economic Activity and Employment in Greece.” Energy Economics23: 511-532.
44.
PerryG.L. (1977). “Potential Output and Productivity.” Brooking Papers on Economic Activity1: 11-47.
45.
RascheR. H.TatomJ. A. (1977). “The Effects of the New Energy Regime on Economic Capacity, Production and Prices.” Federal Reserve Bank of St. Louis Review59(4): 2-12.
46.
RascheR. H.TatomJ. A. (1981). “Energy Price Shocks, Aggregate Supply and Monetary Policy: The Theory and International Evidence.” Carnegie-Rochester Conference Series on Public Policy14: 125-142.
47.
SantiniD. J. (1985). “The Energy-Squeeze Model: Energy Price Dynamics in U.S. Business Cycles.” International Journal of Energy Systems5: 18-25.
48.
UhligH. (2005). “What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure.” Journal of Monetary Economics52: 381-419.
49.
World Fact Book (2007). Available at http://www.flagstore.com/facts/ba.html.
50.
ZhaT. (1999). “Block Recursion and Structural Vector Autoregressions.” Journal of Econometrics90, 291-316.
