Macroeconomic impacts of oil price shocks in Asian economies

Juncal Cunado, Soojin Jo, Fernando Perez de Gracia

Research output: Contribution to journalArticlepeer-review

105 Citations (Scopus)


This paper analyzes the macroeconomic impact of structural oil shocks in four of the top oil-consuming Asian economies, using a VAR model. We identify three different structural oil shocks via sign restrictions: an oil supply shock, an oil demand shock driven by global economic activity and an oil-specific demand shock. The main results suggest that economic activity and prices respond very differently to oil price shocks depending on their types. In particular, an oil supply shock has a limited impact, while a demand shock driven by global economic activity has a significant positive effect in all four Asian countries examined. Our finding also includes that policy tools such as interest rates and exchange rates help mitigating the effects of supply shocks in Japan and Korea; however, they can be more actively used in response to demands shocks.

Original languageEnglish
Pages (from-to)867-879
Number of pages13
JournalEnergy Policy
Publication statusPublished - 2015 Nov

Bibliographical note

Funding Information:
The views expressed in this paper are the authors’ and do not necessarily reflect those of the Bank of Canada. All remaining errors are ours. We especially thank James Hamilton for comments and suggestions on a preliminary version of the paper. J. Cunado and F. Perez de Gracia acknowledge financial support from the Spanish Ministry of Education (through Project ECO2011-25422 and ECO2014-55496 ).

Publisher Copyright:
© 2015.

All Science Journal Classification (ASJC) codes

  • Energy(all)
  • Management, Monitoring, Policy and Law


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