How does oil price uncertainty affect output in the Central and Eastern European economies? – the Bayesian-based approaches

Purpose This paper aims to investigate how oil price uncertainty affects real gross domestic product (GDP) and industrial production in eight Central Eastern European countries (CEEC). Design/methodology/approach In the research process, authors use Bayesian method of inference for two applied methodologies – Markov switching generalized autoregressive conditional heteroscedasticity (GARCH) model quantile regression. Findings The results clearly indicate that has a low effect on output moderate market conditions selected countries. On other hand, phases contraction expansion, which are portrayed by tail quantiles, find negative positive parameters, relatively high magnitude. implies periods deep economic crises, an increase reduces output, amplifying this way recession pressures economy. Contrary, when economy is no influence output. probable reason lies fact volatility not strong enough expansion phase overpower all developments characterize growing Also, evidence suggests increased more than GDP, whereas share GDP plays important role some CEECs impacted uncertainty. Originality/value first one investigates spillover from CEEC.