| 来源类型 | FEEM working papers "Note di lavoro" series |
| 规范类型 | 论文 |
| Oil Prices, Inflation and Interest Rates in a Structural Cointegrated VAR Model for the G-7 Countries | |
| Matteo Manera; Alessandro Cologni | |
| 发表日期 | 2005 |
| 出处 | Energy: Resources and Markets |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | Sharp increases in the price of oil are generally seen as a major contributor to business cycle asymmetries. Moreover, the very recent highs registered in the world oil market are causing concern about possible slowdowns in the economic performance of the most developed countries. While several authors have considered the direct channels of transmission of energy price increases, other authors have argued that the economic downturns arose from the monetary policy response to the inflation presumably caused by oil price increases. In this paper a structural cointegrated VAR model has been considered for the G-7 countries in order to study the direct effects of oil price shocks on output and prices and the reaction of monetary variables to external shocks. Empirical analysis shows that, for most of the countries considered, there seems to be an impact of unexpected oil price shocks on interest rates, suggesting a contractionary monetary policy response directed to fight inflation. In turn, increases in interest rates are transmitted to real economy by reducing output growth and the inflation rate. |
| 特色分类 | E31,E32,E52,Q41 |
| 关键词 | Oil price shocks,Monetary policy response,Structural VAR models |
| URL | https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/oil-prices-inflation-and-interest-rates-in-a-structural-cointegrated-var-model-for-the-g-7-countries/ |
| 来源智库 | Fondazione Eni Enrico Mattei (Italy) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/117213 |
| 推荐引用方式 GB/T 7714 | Matteo Manera,Alessandro Cologni. Oil Prices, Inflation and Interest Rates in a Structural Cointegrated VAR Model for the G-7 Countries. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| NDL2005-101.pdf（1766KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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