OIL AND THE MACROECONOMY: A QUANTITATIVE STRUCTURAL ANALYSIS

• 成果类型: Article
• 署名作者: Lippi, Francesco; Nobili, Andrea
• 署名单位: University of Sassari
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1111/j.1542-4774.2012.01079.x
• 发表日期: 2012
• 页码: 1059-1083
• 关键词: monetary-policy; price shocks; supply shocks; TECHNOLOGY; matter; fluctuations; EMPLOYMENT; terms; TRADE; MODEL

摘要

We model an open economy where macroeconomic variables fluctuate in response to oil supply shocks, as well as aggregate demand and supply shocks generated domestically and abroad. We use several robust predictions of the model to identify five fundamental shocks underlying the fluctuations of the (real) oil price, the US activity and the global business cycle. The estimates show that supply shocks generated in the global economy explain the largest fraction of the oil price fluctuations, about four times more than canonical oil supply shocks. The correlation between oil prices and the US activity varies with the type of shock.