SciELO - Scientific Electronic Library Online

vol.47 issue135NAFTA and Productivity Convergence between Mexico and the US author indexsubject indexarticles search
Home Pagealphabetic serial listing  

Services on Demand




Related links

  • On index processCited by Google
  • Have no similar articlesSimilars in SciELO
  • On index processSimilars in Google


Cuadernos de economía

On-line version ISSN 0717-6821

Cuad. econ. vol.47 no.135 Santiago May 2010 

Cuadernos de Economía, Vol. 47 (Mayo), pp. 3-13, 2010

The Asymmetric Effects of Oil Shocks on an Oil-exporting Economy*


Omar Mendoza

Central Bank of Venezuela

David Vera

Kent State University


We estimate the effects of unexpected changes in oil prices on output for the case of Venezuela, an oil-exporting economy. Following Hamilton (2003), Lee et al. (1995), and Mork (1989), we estimate measures of oil shocks and determine the effect of these shocks on the Venezuelan economy. Our results suggest that oil shocks have had positive and significant effects on output growth in Venezuela during the period 1984:1-2008:3. In line with previous findings for other countries, our results suggest that the Venezuelan economy is more responsive to increases in oil prices than to unexpected decreases. Our results are robust to an alternative measure of oil price shocks derived by using Kilian's (2009) exogenous OPEC oil production shock series.

JEL: C22, E32

Keywords: Oil Shocks, Output Fluctuations, Nonlinear Estimation

En este artículo calculamos los efectos que cambios inesperados en los precios del petróleo provocan en la producción de Venezuela, una economía exportadora de petróleo. Siguiendo los trabajos de Hamilton (2003), Lee et al. (1995) y Mork (1989), estimamos distintas medidas de shocks en precios del petróleo y determinamos el efecto de estas perturbaciones sobre la economía venezolana. Encontramos que el mismo es positivo y significativo para el período 1984:1-2008:3. En línea con los hallazgos previos para otros países, nuestros resultados sugieren que la economía venezolana es más sensible a aumentos en los precios del petróleo que a la disminución inesperada en ellos. Nuestros resultados son robustos a una medida alternativa de shocks en precios de petróleo que resulta de utilizar la serie de Kilian (2009) que mide shocks exógenos a la producción de petróleo.



Arreaza, A., E. Blanco, and M. Dorta (2003), "A Small Scale Macroeconomic Model for Venezuela". Series de Documento de Trabajo 43, Banco Central de Venezuela.        [ Links ]

Baldini, A. (2005), "Fiscal Policy and Business Cycles in an Oil-Producing Economy: The Case of Venezuela. IMF Working Papers 05/237, International Monetary Fund.        [ Links ]

Cuñado, J. and F.P de Gracia (2003), "Do Oil Price Shocks Matter? Evidence for some European Countries. Energy Economics, 25(2):137-154.        [ Links ]

Davis, SJ. (1987), "Allocative Disturbances and Specific Capital in Real Business Cycle Theories". American Economic Review, 77(2):326-332.        [ Links ]

Hamilton, J.D. (2003), "What is an Oil Shock?". Journal of Econometrics, 113:363-398.        [ Links ]

Jiménez-Rodríguez, R. and M. Sánchez (2005), "Oil Price Shocks and Real GDP Growth: Empirical Evidence for Some OECD Countries". Applied Economics, 32(2):201-228.        [ Links ]

Kilian, L. (2008), "Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?" The Review of Economics and Statistics, 90(2):216-240.        [ Links ]

Kilian, L. (2009), "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market". American Economic Review, 99(3):1053-1069.        [ Links ]

Kilian, L. and R. J. Vigfusson (2009), "Pitf alls in Estimating Asymmetric Effects of Energy Price Shocks". International Finance Discussion Papers 970, Board of Governors of the Federal Reserve System (U.S.).        [ Links ]

Lee, K., N. Shawn, and R. Ratti (1995), "Oil Shocks and the Macroeconomy: The Role of Price Variability". Energy Journal, 16:39-56.        [ Links ]

Loungani, P. (1986), "Oil Price Shocks and the Dispersión Hypothesis". The Review of Economics and Statistics, 68(3):536-539.        [ Links ]

Mork, K.A. (1989), "Oil and the Macroeconomy when Prices Go Up and Down: An Extensión of Hamilton's Results". Journal of Political Economy, 97:740-744.        [ Links ]

Stock, J. H. and M.W. Watson (2002), "Has the Business Cycle Changed and Why?" NBER Working Papers 9127, National Bureau of Economic Research, Inc.10.         [ Links ]

Tazhibayeva, K., A.Ter-Martirosyan, andA.M. Husain (2008), "Fiscal Policy and Economic Cycles in Oil-Exporting Countries". IMF Working Papers 08/253, International Monetary Fund.        [ Links ]

* Juan Pablo Montero and two anonymous referees have provided very useful suggestions. The Central Bank of Venezuela Research Department provided the data used in this paper. All remaining errors are ours.

Creative Commons License All the contents of this journal, except where otherwise noted, is licensed under a Creative Commons Attribution License