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Adilson de Oliveira, Susan Schommer and Ledson L. G. da Rosa
''Oil price volatility: impacts in the Brazilian economy''
( 2023, Vol. 43 No.1 )
In this article, we analyze the impact of oil price volatility on Brazil's macroeconomic variables. The estimation is made using an autoregressive vector model (VAR) for the period from January 2001 to June 2021. The monthly oil price volatility is calculated utilizing the realized volatility of daily oil prices. The study's main finding is that oil price volatility has a negative and statistically significant impact on Brazilian economic growth and investment. Our results suggest that these impacts take four and twelve months, respectively, to dissipate.
Keywords: Oil price volatility, Economic growth, Brazil, VAR Model
JEL: Q4 - Energy: General
C5 - Econometric Modeling: General
Manuscript Received : Oct 08 2021 Manuscript Accepted : Mar 30 2023

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