We examine the relationship between oil price fluctuations and economic activity in Azerbaijan using vector autoregressive models for the period 2002Q1–2018Q4. Our key results are as follows. First, growth in the gross domestic product (GDP) decreases after oil price innovations in the oil and gas sector and in the remainder of the economy. Downturns (upswings) in the oil and gas sector also prompt downturns (upswings) in the non-oil sector as fluctuations in oil revenues affect the government's capacity to subsidize the rest of the economy. Second, oil price innovations also lead to higher inflation in Azerbaijan. In response to the required tightening of monetary policy, the manat appreciates against the US dollar. Finally, GDP effects are primarily seen after oil price increases, whereas the interest rate and the exchange rate mainly react to decreases. Inflation increases after both types of shocks, due to either the accommodative monetary policy stance in the case of oil price decreases or the shock itself in the case of increases.

我们使用向量自回归模型研究了2002年1季度至2018年4季度期间阿塞拜疆的石油价格波动与经济活动之间的关系。我们的主要结果如下。首先，石油和天然气行业以及其他经济部门的油价创新之后，国内生产总值（GDP）的增长下降。石油和天然气行业的低迷（上升）也促使非石油行业的低迷（上升），因为石油收入的波动影响了政府对其他经济体进行补贴的能力。其次，石油价格创新也导致阿塞拜疆的通货膨胀率上升。为应对必需的紧缩货币政策，马纳特对美元升值。最后，国内生产总值的影响主要体现在油价上涨之后，利率和汇率主要是对下降做出反应。在两种类型的冲击之后，通货膨胀都会增加，这是由于在油价下跌的情况下采取宽松的货币政策立场，或者在上涨的情况下由于这种冲击本身。