Nonlinearities in the response of real GDP to oil price shocks

This paper re-examines whether real GDP growth responds asymmetrically to real oil price increases and decreases using a sample that includes the recent oil price declines. I follow Kilian and Vigfusson (2011a) and conduct a test of symmetry. I find no evidence against the null of symmetry using the 3 year net oil price increase specification. Moreover, I find that the results are not stable for different nonlinear transformations of the real price of oil. Finally, evidence of asymmetry vanishes after computing specification robust critical values. (C) 2017 Elsevier B.V. All rights reserved.