Time-Varying Effects of Oil Supply Shocks on the US Economy

• 成果类型: Article
• 署名作者: Baumeister, Christiane; Peersman, Gert
• 署名单位: Bank of Canada; Ghent University
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.5.4.1
• 发表日期: 2013
• 页码: 1-28
• 关键词: structural vector autoregressions; monetary-policy; sign restrictions; energy prices; macroeconomy; inflation; identification; demand; matter; output

摘要

Using time-varying BVARs, we find a substantial decline in the short-run price elasticity of oil demand since the mid-1980s. This finding helps explain why an oil production shortfall of the same magnitude is associated with a stronger response of oil prices and more severe macroeconomic consequences over time, while a similar oil price increase is associated with smaller output effects. Oil supply shocks also account for a smaller fraction of real oil price variability in more recent periods, in contrast to oil demand shocks. The overall effects of oil supply disruptions on the US economy have, however, been modest.