G2TT
来源类型FEEM working papers "Note di lavoro" series
规范类型论文
Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area
Claudio Morana
发表日期2016
出处Energy Scenarios and Policy
出版年2016
语种英语
摘要The paper investigates the macroeconomic and financial effects of oil prices shocks in the euro area since its creation in 1999, with a special focus on the recent slump. The analysis is carried out episode by episode, within a time-varying parameter framework, consistent with the view that "not all the oil price shocks are alike", yet without imposing any a priori identification assumption. We find evidence of recessionary effects triggered not only by oil price hikes, but also by oil price slumps in some cases, likewise for the most recent episode, which is also rising deflation risk and financial distress. In addition through uncertainty effects, the current slump might then be depressing aggregate demand by increasing the real interest rate, as ECB monetary policy is already conducted at the zero lower bound. The increase in real money balances following the slump points to the accommodation of the shock by the ECB, concurrent with the implementation of the Quantitative Easing policy (Q.E.). Yet, in so far as Q.E failed to generate inflationary expectations within the current and expected environment of soft oil prices, the case for a more expansionary use of fiscal policy than in the past would become compelling, in order to counteract the deflationary and recessionary threats to the euro area. *** Suggested citation: Morana, C., (2016), 'Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area', Nota di Lavoro 23.2016, Milan, Italy: Fondazione Eni Enrico Mattei
特色分类E30;E50;C32
关键词Oil Price Shocks Oil Price-macroeconomy Relationship Risk Factors Semiparametric Dynamic Conditional Correlation Model Time-varying Parameter Models
URLhttps://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/macroeconomic-and-financial-effects-of-oil-price-shocks-evidence-for-the-euro-area/
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/118471
推荐引用方式
GB/T 7714
Claudio Morana. Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area. 2016.
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