On the link between current account and oil price fluctuations in diversified economies : The case of Canada
Blaise Gnimassoun
- Fonction : Auteur
- PersonId : 1045075
- ORCID : 0000-0001-8316-4016
- IdRef : 179962671
Tovonony Razafindrabe
- Fonction : Auteur
- PersonId : 173033
- IdHAL : tovonony-razafindrabe
- IdRef : 17565610X
Résumé
This study revisits the important relationship between oil prices and current account for an oil-exporting-country with a diversified economy, namely Canada, by paying particular attention to the time-varying nature of this link. To this end, we rely on an innovative method, the time-varying parameter vector autoregressive (TVP-VAR) model with sign restriction. We find that while an oil supply shock has a non-significant impact on the current account, an oil demand shock has a positive and significant effect, which tends to increase over time. In addition, by studying the economic factors underlying the evolution of this relation, we show that the propensity to spend oil revenues on imports has a significant negative influence on the pass-through of oil demand shocks on current account. However, a deepening of the domestic financial market and an accumulation of foreign exchange reserves have a significant positive effect on this relationship.
Domaines
Economies et financesFormat du dépôt | Notice |
---|---|
Type de dépôt | Article dans une revue |
Titre |
en
On the link between current account and oil price fluctuations in diversified economies : The case of Canada
|
Résumé |
en
This study revisits the important relationship between oil prices and current account for an oil-exporting-country with a diversified economy, namely Canada, by paying particular attention to the time-varying nature of this link. To this end, we rely on an innovative method, the time-varying parameter vector autoregressive (TVP-VAR) model with sign restriction. We find that while an oil supply shock has a non-significant impact on the current account, an oil demand shock has a positive and significant effect, which tends to increase over time. In addition, by studying the economic factors underlying the evolution of this relation, we show that the propensity to spend oil revenues on imports has a significant negative influence on the pass-through of oil demand shocks on current account. However, a deepening of the domestic financial market and an accumulation of foreign exchange reserves have a significant positive effect on this relationship.
|
Auteur(s) |
Blaise Gnimassoun
1, 2
, Marc Joëts
1, 3
, Tovonony Razafindrabe
4
1
EconomiX -
EconomiX
( 2564 )
- Bâtiment G
200 Avenue de la République
92001 NANTERRE CEDEX
- France
2
BETA -
Bureau d'Économie Théorique et Appliquée
( 93745 )
- Université de Lorraine, UFR Droit Sciences Economiques et Gestion, 13 place Carnot CO 70026, 54035 Nancy Cedex
Université de Strasbourg, Faculté des Sciences Economiques et de Gestion, 61 avenue de la Forêt Noire 67085 Strasbourg Cedex
- France
3
Centre de recherche de la Banque de France
( 171776 )
- 31 rue Croix des petits champs 75001 PARIS - France
- France
4
CREM -
Centre de recherche en économie et management
( 894 )
- 7 place Hoche, BP 86514
35065 RENNES CEDEX
- France
|
Volume |
152
|
Page/Identifiant |
63-78
|
Langue du document |
Anglais
|
Nom de la revue |
|
Vulgarisation |
Non
|
Comité de lecture |
Oui
|
Audience |
Internationale
|
Date de publication |
2017-12
|
Date de publication électronique |
2017-07
|
Financement |
|
Domaine(s) |
|
Mots-clés (JEL) |
|
Mots-clés |
en
Current account, Oil prices, Time-varying parameters
|
DOI | 10.1016/j.inteco.2017.07.001 |
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