The impact of oil price volatility on economic growth with emphasis on regime changes: evidence from OPEC and OECD

In this study, effect of oil price volatility on economic growth in OECD and OPEC countries group have been investigated with emphasis on regime changes during the period 1972–2011. In this regard, the EGARCH model to modeling and calculate the oil prices volatility and the Markov-Switching models to effect of oil price volatility on economic growth in both countries group is used.

The result show that positive oil price shocks increase of oil price volatility and the negative price shocks reduce its, and this volatility have negative effect on economic growth under three different regimes of behavior. But this effect in OPEC countries group is more than of OECD countries group. With oil prices volatility, economic growth in both countries will constantly transfer from a regime to other regime. The difference is that with this regime transition, the economics of the OPEC countries group set in status of low economic growth, but the OECD countries group only don't able to keeping continuation of the high economic growth status and it more likely fixed in status of moderate economic growth.