Macroeconomic performance of oil price shocks: Outlier evidence from nineteen major oil-related countries/regions

Abstract

As a special energy commodity, oil price shocks can affect not only the energy market but also the performance of the macroeconomy. This research provides complementary explanations for nineteen major oil-related countries/regions' macroeconomic effects caused by unexpected oil price changes. It focuses on the macroeconomic performance of oil price shocks from outlier perspective, investigating the inner hidden factors of co-movements between oil price shocks and macroeconomy. Three methods called Empirical Covariance (EC) method, Robust Covariance (RC) method and one-class Support Vector Machine (SVM) method are used in the outlier detection. Empirical results show that: (a) one-class SVM method has the best environmental adaptability for detecting the outlier performance of the co-movements between oil price shocks and macroeconomy, followed by EC and RC methods; (b) according to the time axis, the outlier performances of gross domestic production, consumer price index and unemployment rate are all concentrated in 2005–2014, which is highly consistent with the oil price shock process; and (c) according to the spatial axis (countries), four categories with similar outlier performances are obtained. Outlier performance of macroeconomy of oil-related country/region in lower levels seems to be worse than that of the country/region in higher levels, which can be attributed to more attentions paid by higher-leveled oil-related countries on the oil price shock response system to relieve the severe macroeconomic impacts caused by oil price shocks.