| Macroeconomic Impact of Oil Shocks: A Large-Scale Bayesian SVAR Approach in South Korea |
Salima Arsalane, Young Min Kim, |
| Jeonbuk National University, Jeonju, Republic of Korea |
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Corresponding Author:
Young Min Kim ,Email: kimym.econ@gmail.com |
| Copyright ©2024 The Journal of Economic Integration |
| ABSTRACT |
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This study employs a Large-Scale Bayesian Vector Autoregression (LS-BVAR) model to examine the impact of oil price shocks on South Korea's economy using monthly data spanning from January 2001 to September 2023. The analysis includes key macroeconomic variables such as industrial production, inflation, interest rates, money supply, exchange rates, imports, exports, and foreign direct investment (FDI) abroad. Our findings indicate that while oil supply shocks have limited effects on these variables, both oil aggregate demand shocks and oil-specific demand shocks significantly impact the Korean economy. The study's findings highlight the importance of leveraging global demand that could potentially boost the economic growth of the country.
JEL Classification
C11: Bayesian Analysis: General
E32: Business Fluctuations; Cycles
Q43: Energy and the Macroeconomy |
| Keywords:
oil shocks | Korean economy | structural VAR | Bayesian estimation | shrinkage prior
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