| This dissertation empirically assesses the effects of oil price shocks on GDP growth and stock market returns for a select group of developing and developed countries. The history of oil price shocks is discussed along with different ways oil price shocks have been defined in the literature. The dissertation uses two models to analyze the effects of oil price shocks on both developing and developing countries. The first model is a net oil price increase transformation over a one-year and three-year period. The second model is a multivariate VAR analysis which isolates supply, demand, and precautionary demand shocks. Including a model that controls for demand shocks is important given the role strong global growth played in increasing commodity prices from 2002 through mid-2008. This dissertation finds that developing country GDP growth and stock market returns are more affected by oil price shocks compared to developed countries. However, developing countries cannot be treated as a homogeneous group since the effect of oil price shocks vary by country. Lastly, effects of oil price shocks on a select group of oil-importing and oil-exporting developing and developed countries is examined. |
