nach oben

Journal of Economics and Finance

Erschienen in:

30.05.2020

The effect of oil price shocks on economic activity: a local projections approach

verfasst von: Mirko Abbritti, Juan Equiza-Goñi, Fernando Perez de Gracia, Tommaso Trani

Erschienen in: Journal of Economics and Finance | Ausgabe 4/2020

Einloggen

Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.

search-config

KI-gestützte Suche

Aus

Abstract

We examine the impact of oil price shocks on four U.S. macroeconomic variables over the period January 1974 to August 2016. We use local projections and consider different linear and nonlinear model specifications. The results suggest that oil price shocks have a large and significant effect not only on production, interest rates and unemployment, but also on credit spreads. The magnitude of these effects depends on the level of the oil price before the occurrence of the shock.

Vorheriger Artikel The U.S. term structure and return volatility in emerging stock markets

Nächster Artikel Does what happen in Vegas stay in Vegas? Football gambling and stock market activity

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

über 102.000 Bücher
über 537 Zeitschriften

aus folgenden Fachgebieten:

Automobil + Motoren
Bauwesen + Immobilien
Business IT + Informatik
Elektrotechnik + Elektronik
Energie + Nachhaltigkeit
Finance + Banking
Management + Führung
Marketing + Vertrieb
Maschinenbau + Werkstoffe
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

über 67.000 Bücher
über 340 Zeitschriften

aus folgenden Fachgebieten:

Bauwesen + Immobilien
Business IT + Informatik
Finance + Banking
Management + Führung
Marketing + Vertrieb
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Nur mit Berechtigung zugänglich

See, for example, the initial papers in the 1980s by Rasche and Tatom (1981), Bruno and Sachs (1982), and the influential study by Hamilton (1983). For recent reviews of the literature, see Herrera et al. (2019) or Kilian and Zhou (2020).

See Jordà (2005) and Barnichon and Brownlees (2019), and, for a discussion on efficiency, Ramey (2016). In a recent paper, Plagborg-Møller and Wolf (2019) prove that LPs and VARs estimate the same responses.

Alloza Frutos (2017) and Ramey and Zubairy (2018) investigates using LPs the non-linear effects of government spending shocks; Alpanda and Zubairy (2019) uses the same technique to study monetary policy effectiveness, and Duval et al. (2017) to analyze the effect of job protection deregulation.

The data can be downloaded from Gilchrist’s web page (http://people.bu.edu/sgilchri/Data/data.htm).

An Appendix with further robustness exercises is available upon request.

Linear responses are very similar to those of the normal oil price state therefore they are not reported.

Alloza Frutos M (2017) Is fiscal policy more effective in uncertain times or during recessions? Documentos de trabajo/Banco de España, 1730

Alpanda S, Zubairy S (2019) Household debt overhang and transmission of monetary policy. J Money Credit Bank 51:1265–1307CrossRef

Barnichon R, Brownless C (2019) Impulse response estimation by smooth local projections. Rev Econ Stat 101:522–530CrossRef

Baumeister C, Hamilton JD (2019) Structural interpretation of vector autoregressions with incomplete identification: revisiting the role of oil supply and demand shocks. Am Econ Rev 109:1873–1910CrossRef

Baumeister C, Kilian L (2016) Lower oil prices and the U.S. economy: is this time different? Brook Pap Econ Act 2:287–357CrossRef

Baumeister, C., Peersman, G., and I. Van Robays, (2010) “The economic consequences of oil shocks: differences across countries and time Fry R, Jones S, Kent M Inflation in an era of relative price shocks 91–128. Sydney Reserve Bank of Australia

Blanchard, O. J., and J. Galí (2007) The macroeconomic effects of oil Price shocks: why are the 2000s so different from the 1970s? NBER chapters, in: International Dimensions of Monetary Policy, National Bureau of Economic Research, 373–421

Bruno M, Sachs J (1982) Input price shocks and the slowdown in economic growth: the case of UK manufacturing. Rev Econ Stud 49:679–705CrossRef

Clarida R, Galí J, Gertler M (2000) Monetary policy rules and macroeconomic stability: evidence and some theory. Q J Econ 115:147–180CrossRef

Collin-Dufresne P, Goldstein RS, Martin JS (2001) The determinants of credit spread changes. J Financ 56:2177–2207CrossRef

Cunado J, Perez de Gracia F (2003) Do oil price shocks matter? Evidence for some European countries. Energy Econ 25:137–154CrossRef

Cunado J, Perez de Gracia F (2005) Oil prices, economic activity and inflation: evidence for some Asian countries. Q Rev Econ Financ 45:65–83CrossRef

Cunado J, Jo S, Perez de Gracia F (2015) Macroeconomic impacts of oil price shocks in Asian economies. Energy Policy 86:867–879CrossRef

Davis SJ, Haltiwanger J (2001) Sectoral job creation and destruction responses to oil price changes. J Monet Econ 48:465–512CrossRef

Duval MRA, Furceri D, Jalles JT (2017) Job protection deregulation in good and bad times International Monetary Fund, WP/17/277

Equiza-Goñi J, Perez de Gracia F (2019) Impact of state-dependent oil price on U.S. stock returns using local projections. Appl Econ Lett 26:919–926CrossRef

Gertler M, Karadi P (2011) A model of unconventional monetary policy. J Monet Econ 58:17–34CrossRef

Gilchrist S, Zakrajsek E (2012) Credit spreads and business cycle fluctuations. Am Econ Rev 102:1692–1720CrossRef

Hamilton JD (1983) Oil and the macroeconomy since World War II. J Polit Econ 91:593–617CrossRef

Hamilton JD (1988) A neoclassical model of unemployment and the business cycle. J Polit Econ 96:593–617CrossRef

Hamilton JD (1996) This is what happened to the oil price-macroeconomy relationship. J Monet Econ 38:215–220CrossRef

Hamilton JD (2011) Nonlinearities and the macroeconomic effects of oil prices. Macroecon Dyn 15:364–378CrossRef

Herrera AM, Karaki MB, Rangaraju SK (2019) Oil price shocks and U.S. economic activity. Energy Policy 129:89–99CrossRef

Herrera AM, Lagalo LG, Wada T (2011) Oil price shocks and industrial production: is the relationship linear? Macroecon Dyn 15:472–497CrossRef

Herrera AM, Lagalo LG, Wada T (2015) Asymmetries in the response of economic activity to oil price increases and decreases? J Int Money Financ 50:108–133CrossRef

Jordà O (2005) Estimation and inference of impulse responses by local projections. Am Econ Rev 95:161–182CrossRef

Kang W, Ratti RA (2013) Structural oil price shocks and policy uncertainty. Econ Model 35:314–319CrossRef

Kilian L (2009) Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market. Am Econ Rev 99:1053–1069CrossRef

Kilian L, Vigfusson RJ (2011) Nonlinearities in the oil price-output relationship. Macroecon Dyn 15:337–363

Kilian L, Zhou X (2020) The econometrics of oil market VAR models. CEPR Discussion Paper 14460

Lee K, Ni S, Ratti RA (1995) Oil shocks and the macroeconomy: the role of price variability. Energy J 16:39–56CrossRef

Longstaff FA, Pan J, Pedersen LH, Singleton KJ (2011) How sovereign is sovereign credit risk? Am Econ J Macroecon 3:75–103CrossRef

Mork K (1989) Oil shocks and the macroeconomy when prices go up and down: an extension of Hamilton’s results. J Polit Econ 97:740–744CrossRef

Plagborg-Møller M, Wolf CK (2019) Local projections and VARs estimate the same impulse responses. Working Paper – Princeton University

Ramey VA (2016) Macroeconomic shocks and their propagation. In Uhlig H, Taylor J (eds) Handbook of macroeconomics

Ramey VA, Zubairy S (2018) Government spending multipliers in good times and in bad: evidence from U.S. historical data. J Polit Econ 126:850–901CrossRef

Rasche RH, Tatom JA (1981) Energy price shocks, aggregate supply and monetary policy: the theory and international evidence. Carn-Roch Conf Ser Public Policy 14:125–142

Rotemberg J, Woodford M (1996) Imperfect competition and the effect of energy price increases on economic activity. Journal of Money Credit and Banking 28:550–577CrossRef

Titel: The effect of oil price shocks on economic activity: a local projections approach
verfasst von: Mirko Abbritti
Juan Equiza-Goñi
Fernando Perez de Gracia
Tommaso Trani
Publikationsdatum: 30.05.2020
Verlag: Springer US
Erschienen in: Journal of Economics and Finance / Ausgabe 4/2020
Print ISSN: 1055-0925
Elektronische ISSN: 1938-9744
DOI: https://doi.org/10.1007/s12197-020-09512-w

Springer Professional

Abstract

Bitte loggen Sie sich ein, um Zugang zu Ihrer Lizenz zu erhalten.

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Springer Professional "Wirtschaft"

Weitere Artikel der Ausgabe 4/2020

The U.S. term structure and return volatility in emerging stock markets

Efficient market hypothesis: a ruinous implication for Portugese stock market

Does what happen in Vegas stay in Vegas? Football gambling and stock market activity

Job Movement and Real Wage Flexibility in Eastern and Western Parts of Germany

Gold market price spillover between COMEX, LBMA and SGE

Price Volatility, the Maturity Effect, and Global Oil Prices: Evidence from Chinese Commodity Futures Markets