Oil shocks and external balances

• 成果类型: Article
• 署名作者: Kilian, Lutz; Rebucci, Alessandro; Spatafora, Nikola
• 署名单位: University of Michigan System; University of Michigan; Inter-American Development Bank; International Monetary Fund
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2009.01.001
• 发表日期: 2009
• 页码: 181-194
• 关键词: Oil prices; External adjustment; Oil demand; Oil supply; International financial integration; Valuation effects

摘要

We provide estimates of the effects of demand and supply shocks in the global crude oil market on several measures of oil exporters' and oil importers' external balances, including the oil trade balance, the non-oil trade balance, the current account, capital gains, and changes in net foreign assets (NFA). First, we show that the effect of oil demand and supply shocks on the merchandise trade balance and the current account, which depending on the source of the shock can be large, depends critically on the response of the non-oil trade balance. Our results provide evidence of an intermediate degree of international financial integration. Second, we document the presence of large and systematic valuation effects in response to these shocks. Valuation effects overall tend to cushion the effect of oil demand and supply shocks on the NFA positions of oil exporters and oil importers. Third, we quantify the overall importance of global business cycle demand shocks as well as oil-market specific demand and supply shocks for external balances. (C) 2009 Elsevier B.V. All rights reserved.