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Measuring Business Cycle Stylized Facts in Selected Oil-Producing Economies: A Comparative Study

Chigozie Chukwu et al.

Journal of Business Cycle Research2024https://doi.org/10.1007/s41549-024-00099-3article
ABDC B
Weight
0.52

Abstract

We document the stylized facts relating to the contemporary business cycle in eleven oil-producing economies that account for over 65% of global oil production using a set of macroeconomic aggregates covering the period 1981 to 2021. In the context of Nigeria, a vector autoregression analysis is used to measure a one standard deviation oil price shock on time series such as trade balance, real GDP, inter alia. Our study is unique in that we compared four different detrending techniques, including Hodrick–Prescott (HP), Baxter-King, Christiano–Fitzgerald, and Butterworth filters. This is a departure from the conventional method of relying on the HP filter, which has been known to have limitations, particularly in the context of oil-producing economies. Our findings indicate that the selected oil-producing economies with countercyclical inflation patterns suggest that supply shocks drive the business cycles. Conversely, the oil-producing economies with inflation in sync (procyclical) with the business cycle suggest that demand shocks may be the primary driver of business cycle variations. Additionally, our study shows that oil price innovations lead to higher inflation in Nigeria.

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https://doi.org/https://doi.org/10.1007/s41549-024-00099-3

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@article{chigozie2024,
  title        = {{Measuring Business Cycle Stylized Facts in Selected Oil-Producing Economies: A Comparative Study}},
  author       = {Chigozie Chukwu et al.},
  journal      = {Journal of Business Cycle Research},
  year         = {2024},
  doi          = {https://doi.org/https://doi.org/10.1007/s41549-024-00099-3},
}

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Measuring Business Cycle Stylized Facts in Selected Oil-Producing Economies: A Comparative Study

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Evidence weight

0.52

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.52 × 0.4 = 0.21
M · momentum0.57 × 0.15 = 0.09
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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