Oil and Macroeconomic (In)Stability

• 成果类型: Article
• 署名作者: Bjornland, Hilde C.; Larsen, Vegard H.; Maih, Junior
• 署名单位: BI Norwegian Business School; Norges Bank; BI Norwegian Business School
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20150171
• 发表日期: 2018
• 页码: 128-151
• 关键词: us monetary-policy; world-war-ii; price shocks; Great Moderation; regime switches; business-cycle; dsge approach; crude-oil; economies; fluctuations

摘要

We analyze the role of oil price volatility in reducing US macroeconomic instability. Using a Markov Switching Rational Expectation New Keynesian model we revisit the timing of the Great Moderation and the sources of changes in the volatility of macroeconomic variables. We find that smaller or fewer oil price shocks did not play a major role in explaining the Great Moderation. Instead oil price shocks are recurrent sources of economic fluctuations. The most important factor reducing overall variability is a decline in the volatility of structural macroeconomic shocks. A change to a more responsive (hawkish) monetary policy regime also played a role.