The impact of oil shocks in a small open economy New-Keynesian dynamic stochastic general equilibrium model for an oil-importing country : the case of South Africa

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dc.contributor.author Hollander, Hylton
dc.contributor.author Gupta, Rangan
dc.contributor.author Wohar, Mark E.
dc.date.accessioned 2018-10-12T06:22:22Z
dc.date.issued 2019
dc.description.abstract This article studies the effects of foreign (real) oil price shocks on key macroeconomic variables for South Africa: a net-importer of oil. We develop and estimate a small open economy New-Keynesian dynamic stochastic general equilibrium model with a role for oil in consumption and production. The substitutability of oil for capital and consumption goods is low, import price pass-through is incomplete, domestic and foreign prices and wages are sticky, and the uncovered interest rate parity condition holds imperfectly. Foreign real oil price shocks have a strong and persistent effect on domestic production and consumption activities and, hence, are a fundamental driver of output, inflation, and interest rates in both the short- and long-run. Oil price shocks also generate a trade-off between output and inflation stabilization. As a result, episodes of endogenous tightening of monetary policy slow the recovery of South Africa’s real economy. Our findings go further to suggest an important role for oil prices in predicting South African output during and after the recession that followed the 2008 global financial crisis. en_ZA
dc.description.department Economics en_ZA
dc.description.embargo 2020-03-26
dc.description.librarian hj2018 en_ZA
dc.description.uri http://www.tandfonline.com/loi/mree20 en_ZA
dc.identifier.citation Hylton Hollander, Rangan Gupta & Mark E. Wohar (2019) The Impact of OilShocks in a Small Open Economy New-Keynesian Dynamic Stochastic General Equilibrium Modelfor an Oil-Importing Country: The Case of South Africa, Emerging Markets Finance and Trade,55:7, 1593-1618, DOI: 10.1080/1540496X.2018.1474346. en_ZA
dc.identifier.isbn 10.1080/1540496X.2018.1474346
dc.identifier.issn 1540-496X (print)
dc.identifier.issn 1558-0938 (online)
dc.identifier.uri http://hdl.handle.net/2263/66853
dc.language.iso en en_ZA
dc.publisher Routledge en_ZA
dc.rights © Taylor & Francis Group, LLC. This is an electronic version of an article published in Emerging Markets Finance and Trade, vol. 55, no. 7, pp. 1593-1618, 2019. doi : 10.1080/1540496X.2018.1474346. Emerging Markets Finance and Trade is available online at : http://www.tandfonline.com/loi/mree20. en_ZA
dc.subject Dynamic stochastic general equilibrium (DSGE) model en_ZA
dc.subject Oil shocks en_ZA
dc.subject Small open economy en_ZA
dc.subject South Africa (SA) en_ZA
dc.title The impact of oil shocks in a small open economy New-Keynesian dynamic stochastic general equilibrium model for an oil-importing country : the case of South Africa en_ZA
dc.type Postprint Article en_ZA


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