| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10040 |
| DP10040 The Role of Oil Price Shocks in Causing U.S. Recessions | |
| Lutz Kilian; Robert J. Vigfusson | |
| 发表日期 | 2014-06-22 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | Although oil price shocks have long been viewed as one of the leading candidates for explaining U.S. recessions, surprisingly little is known about the extent to which oil price shocks explain recessions. We provide the first formal analysis of this question with special attention to the possible role of net oil price increases in amplifying the transmission of oil price shocks. We quantify the conditional recessionary effect of oil price shocks in the net oil price increase model for all episodes of net oil price increases since the mid-1970s. Compared to the linear model, the cumulative effect of oil price shocks over course of the next two years is much larger in the net oil price increase model. For example, oil price shocks explain a 3% cumulative reduction in U.S. real GDP in the late 1970s and early 1980s and a 5% cumulative reduction during the financial crisis. An obvious concern is that some of these estimates are an artifact of net oil price increases being correlated with other variables that explain recessions. We show that the explanatory power of oil price shocks largely persists even after augmenting the nonlinear model with a measure of credit supply conditions, of the monetary policy stance and of consumer confidence. There is evidence, however, that the conditional fit of the net oil price increase model is worse on average than the fit of the corresponding linear model, suggesting much smaller cumulative effects of oil price shocks for these episodes of at most 1%. |
| 主题 | International Macroeconomics |
| 关键词 | Asymmetry Conditional response Nonlinearity Oil price Real gdp Recession Time variation |
| URL | https://cepr.org/publications/dp10040 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538872 |
| 推荐引用方式 GB/T 7714 | Lutz Kilian,Robert J. Vigfusson. DP10040 The Role of Oil Price Shocks in Causing U.S. Recessions. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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