The Asymmetric Effects of Oil Shocks on an Oil-exporting Economy*

Omar Mendoza

Central Bank of Venezuela

David Vera

Kent State University

Email: dvera@kent.edu

We estimate the effects of unexpected changes in oil prices on output for the case of Venezuela, an oil-exporting economy. Following Hamilton (2003), Lee et al. (1995), and Mork (1989), we estimate measures of oil shocks and determine the effect of these shocks on the Venezuelan economy. Our results suggest that oil shocks have had positive and significant effects on output growth in Venezuela during the period 1984:1-2008:3. In line with previous findings for other countries, our results suggest that the Venezuelan economy is more responsive to increases in oil prices than to unexpected decreases. Our results are robust to an alternative measure of oil price shocks derived by using Kilian's (2009) exogenous OPEC oil production shock series.

JEL: C22, E32

En este artículo calculamos los efectos que cambios inesperados en los precios del petróleo provocan en la producción de Venezuela, una economía exportadora de petróleo. Siguiendo los trabajos de Hamilton (2003), Lee et al. (1995) y Mork (1989), estimamos distintas medidas de shocks en precios del petróleo y determinamos el efecto de estas perturbaciones sobre la economía venezolana. Encontramos que el mismo es positivo y significativo para el período 1984:1-2008:3. En línea con los hallazgos previos para otros países, nuestros resultados sugieren que la economía venezolana es más sensible a aumentos en los precios del petróleo que a la disminución inesperada en ellos. Nuestros resultados son robustos a una medida alternativa de shocks en precios de petróleo que resulta de utilizar la serie de Kilian (2009) que mide shocks exógenos a la producción de petróleo.

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* Juan Pablo Montero and two anonymous referees have provided very useful suggestions. The Central Bank of Venezuela Research Department provided the data used in this paper. All remaining errors are ours.