Analysis of the Transitional Dynamics of Business Cycles in Algeria and their Reactions to Oil Price Shocks: Markov Switching Model

  • Manel Attouchi Univeristy of Sidi-Bel-Abbes
  • Mohamed Driouche Dahmani Univeristy of Sidi-Bel-Abbes
Keywords: Oil price shocks, Business Cycles, Markov Switching Model, Algeria

Abstract

The aim of this paper is to study the impacts of oil price shocks on business cycles dynamics in Algerian economy (1975-2017) by using non-linear MS model. The results show that positive shocks increase the possibility of staying in a boom phase, and they are also constituted as a way out of recession. However, negative shocks stimulate the duration of the recession and even lead to a shift from an expansion to a contraction phase.

Downloads

Download data is not yet available.

References

Abiyev, V. H., Ceylan, R., & Ilikkan Oezguer, M. (2015). The effects of oil price shocks on Turkish business cycle: A Markov switching approach. International Journal of Business and Economic Sciences Applied Research, 8(2).

Ainas, Y., Ouarem, N., & Souam, S. (2012). « Les hydrocarbures : atout ou frein pour le développement de l’Algérie ? ». Revue Tiers Monde, (2), 69-88.

Balcilar, M., van Eyden, R., Uwilingiye, J., et Gupta, R. (2017). The Impact of Oil Price on South African GDP Growth: A Bayesian Markov Switching-VAR Analysis. African Development Review, 29(2), 319-336.

Hamilton, J. D. (1983). Oil and the Macroeconomy since World War II. Journal of Political Economy, 91(2), 228-248.

Hamilton, J. D. (1996). This is What Happened to the Oil Price-Macroeconomy Relationship. Journal of Monetary Economics, 38(2), 215-220.

Hamilton, J. D. (2003, April). What is an oil shock? Journal of econometrics, 113(2), 363-398.

Hamilton, J. D. (2005). What's real about the business cycle?. Federal Reserve Bank of St. Louis Review, July/August 2005, 87(4), pp. 435-52.

Lee, K., S. Ni, and R.A. Ratti. (1995). Oil Shocks and the Macroeconomy: The Role of Price Variability. Energy Journal, 16(4), 39-56.

Mamipour S, Abdi H. (2019). The Effects of Oil Price Shocks on Transitional Dynamics of Business Cycles in Iran: Markov Switching Model with Time Varying Transition Probabilities (MS-TVTP). jemr. 9 (34) :31-70.

Mork, K. A. (1989). Oil and the macroeconomy when prices go up and down: an extension of Hamilton's results. Journal of political Economy, 97(3), 740-744.

Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica: Journal of the Econometric Society, 57, 1361-1401.

Samadi, A. H., Bahlouli, P., & Sangsefidi, N. (2016). Investigating the Effects of Oil Price Shocks on Gross Domestic Production in Iran: Non-Linear Markov-Switching Approach. (P. o. Proceedings, Éd.) Récupéré sur The University/Research Center Information: Shiraz University.

Zivot, E. and Andrews, D. (1992) Further evidence of the great crash, the oil-price shock and the unit-root hypothesis, Journal of Business and Economic Statistics, 10, 251–70.

Published
2020-06-18
How to Cite
Attouchi, M., & Dahmani, M. D. (2020). Analysis of the Transitional Dynamics of Business Cycles in Algeria and their Reactions to Oil Price Shocks: Markov Switching Model . Dirassat Journal Economic Issue, 11(2), 507-523. https://doi.org/10.5281/zenodo.3899429
Section
Articles