Oil Price Volatility and Industrial Production Nexus in OPEC +Countries

Authors

  • Rasheed O. Alao, Cem Payaslioglu, Abdulkareem Alhassan

Abstract

This study documents the control of oil price volatility on industrial production of emerging oil exporting countries of Mexico, Brazil and the world using ARMA-GARCH(1,1)-cDCCmodel. The Corrected Dynamic Conditional Correlation (cDCC-GARCH)was employed using monthly data of 1990:01-2019:09.The model is opted for due to its greater flexibilities and for allowing the conditional variance-covariance of returns which vary over time. Findings from DCC and cDCC parameters reveal that the dynamic linkages between oil price movement and economic activities in Brazil and Mexico will persist and otherwise forthe world. The study, therefore, recommends the duo of Brazil and Mexico to diversify their oil-economies and heavily venture into non-oil exports for alternate revenues. The study also report that the corrective cDCC-GARCH trulyendorse DCC parameters.

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Published

2020-05-18

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Section

Articles