This is what happened to the oil price macroeconomy relationship: Reply

• 成果类型: Article
• 署名作者: Hooker, MA
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(96)01283-4
• 发表日期: 1996
• 页码: 221-222
• 关键词: macroeconomic fluctuations; oil price shocks

摘要

James Hamilton argues that oil price changes are still important for the macroeconomy, and that using a filter which screens out drops and measures increases relative to a reference level well represents the effects of price changes when they are 'choppy', While this measure outperforms the oil price transformations considered in my paper, much of its predictive power is coming from the pre-1986 (and pre-1973) part of the sample. With less than 10 years of choppy data, finding the best oil price transformation will likely require analysis with cross-sectional components, Ruling out effects from oil price decreases is also probably counterproductive to uncovering structure.