Oil prices and the macroeconomy

Bachmeier, Lance J.; Plante, Michael

doi:10.4324/9781315459653-4

Cited by 2 publications

(2 citation statements)

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“…In light of the widespread evidence of the role of oil price movements in historically driving a wide-array of macroeconomic and financial variables of the US economy (Fry-McKibbin and Zhu 2021;De et al 2022) 1 , we aim to evaluate the predictive link of oil price to the metric of expected aggregate skewness, obtained from a large database. In this regard, note that oil shocks affect real and financial variables through the channels involving supply (i.e., cost effects with oil being a direct raw material to the production process) and demand (via market allocation and income transfers), asset valuation, monetary and fiscal policies, and uncertainty (Degiannakis et al 2018;Smyth and Narayan 2018;Bachmeier and Plante 2019;Zhang et al 2022).…”

Section: Introductionmentioning

confidence: 99%

The Effects of Disaggregate Oil Shocks on the Aggregate Expected Skewness of the United States

Sheng,

Gupta,

2023

Risks

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We examine the impact of the global economic activity, oil supply, oil-specific consumption demand, and oil inventory demand shocks on the expected aggregate skewness of the United States (US) economy, obtained based on a data-rich environment involving 211 macroeconomic and financial variables in the quarterly period of 1975:Q1 to 2022:Q2. We find that positive oil supply and global economic activity shocks increase the expected macroeconomic skewness in a statistically significant way, with the effects being relatively more pronounced in the lower regime of the aggregate skewness factor, i.e., when the US is witnessing downside risks. Interestingly, oil-specific consumption demand and oil inventory demand shocks contain no predictive ability for the overall expected skewness. With skewness being a metric for policymakers to communicate their beliefs about the path of future risks, our results have important implications for policy decisions.

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Section: Introductionmentioning

confidence: 99%

The Effects of Disaggregate Oil Shocks on the Aggregate Expected Skewness of the United States

Sheng,

Gupta,

2023

Risks

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“…The identification of the causes and sources of oil price fluctuations and the relationship between oil price movements and the macroeconomy are among the most relevant. The list of issues is very long, and we refer the reader to Kilian (2008Kilian ( , 2014, Kilian (2014), Kallis and Sager (2017), Herrera et al (2019), Bachmeier and Plante (2019), and Lang and Auer (2020) for extended reviews.…”

Section: Introductionmentioning

confidence: 99%

The US banks’ balance sheet transmission channel of oil price shocks

Gelain

Lorusso

2022

Working Paper (Federal Reserve Bank of Cleveland)

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We document the existence of a quantitative relevant banks' balance-sheet transmission channel of oil price shocks by estimating a dynamic stochastic general equilibrium model with banking and oil sectors. The associated amplification mechanism implies that those shocks explain a non-negligible share of US GDP growth fluctuations, up to 17 percent, instead of 6 percent absent the banking sector. Also, they mitigated the severity of the Great Recession’s trough. GDP growth would have been 2.48 percentage points more negative in 2008Q4 without the beneficial effect of low oil prices. The estimate without the banking sector is only 1.30 percentage points.

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Oil prices and the macroeconomy

Cited by 2 publications

References 57 publications

The Effects of Disaggregate Oil Shocks on the Aggregate Expected Skewness of the United States

The Effects of Disaggregate Oil Shocks on the Aggregate Expected Skewness of the United States

The US banks’ balance sheet transmission channel of oil price shocks

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