نرخ رشد تولید ناخالص داخلی واقعی
Abstract
JEL classification
۱٫ Introduction
۲٫ Motivation
۳٫ Econometric framework
۴٫ Crude oil price variables
۵٫ Out-of-sample analysis
۶٫ Conclusion
Declaration of competing interest
References
Abstract
We evaluate the impact of changes in the price of crude oil on the United Kingdom (U.K.) real gross domestic product (GDP) growth rate by way of an out-of-sample forecasting analysis. We compare the performance of several nonlinear models and determine, which aspects of nonlinearities are most useful for obtaining forecast improvements. Likewise, our approach takes into account the possibility that relative predictive performance can vary over the out-of-sample period. Results based on quarterly data from 1974q1 through 2018q4 illustrate that our conclusions depend on the definition of forecast improvement and whether we rely on pairwise or multiple forecast comparison. For instance, it is very difficult tofind evidence that point forecasts exploiting crude oil price variables are statistically significant more accurate than point forecasts produced under the benchmark. On the other hand, the null hypothesis of no population-level predictability is borderline rejected for certain nonlinear crude oil price variables. We also observe notable differences between using real-time and ex-post revised GDP data with regards to local out-of-sample performance. The predictive power associated with the more successful crude oil price measures appears to concentrate in the early 1990s and around the onset of the Great Recession.
Introduction
The aim of this study is to evaluate the predictive impact of changes in the price of crude oil on the United Kingdom (U.K.) real gross domestic product (GDP) growth rate via an out-of-sample analysis. We are motivated to do so based on several interesting results reported in widely cited studies, such as Bachmeier, Li, and Liu (2008), Carlton (2010), Kilian and Vigfusson (2013), Ravazzolo and Rothman (2013) and Ravazzolo and Rothman (2016) . 1 The central question running through these studies is whether changes in the price of crude oil have a predictive impact on the real U.S. GDP growth rate out-of-sample.2 However, in the context of other countries relatively less is known about whether (a): Changes in the price of crude oil help forecast the country specific real GDP growth rate, (b): If the predictive impact of crude oil price changes on the real GDP growth rate is nonlinear and (c): If so what types of nonlinearities. In fact, in their seminal study, Kilian and Vigfusson (2013) argue that understanding the nonlinear/asymmetric predictive impact of changes in the price of crude oil on the real GDP growth rate deserves further study on non-U.S. data. Arguably, the U.K. can be considered as an interesting case because it is a developed, open economy, which has transitioned from being a net crude oil importer in the 1970s to a net exporter in the 1980s and early 1990s before returning to being a net importer again since the mid 2000s.3 This in turn, provides a very good opportunity to evaluate (a), (b) and (c). Likewise, studies such as Jimenez-Rodríguez and Sanchez (2006), Harrison, Ryland, and de Weymarn (2011), Millard (2011) and Millard and Shakir (2013) focus on the causes and effects of crude oil price changes on the U.K. economy via examination of impulse response functions. However, they do not account for nonlinearities in the relationship between the price of crude oil and the growth rate. Similar to simulations provided by the National Institute for Economic and Social Research (NIESR) and the Bank of England they conclude that a fall in the price of crude oil leads to an increase in the U.K. GDP growth rate. To date, a comprehensive analysis on the predictive impact of crude oil price changes on the U.K. GDP real growth rate has not been conducted. The purpose of this study is to fill this gap. Finally, the increasing financialization of the crude oil market and the important role of crude oil in the context of a developed, open economy, such as the U.K. makes our analysis interesting to a broad audience.