Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: A Comment

Hamilton, James D.; Herrera, Ana Maria Mantilla

doi:10.1353/mcb.2004.0012

Cited by 636 publications

(395 citation statements)

References 37 publications

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“…To avoid redundant variables, we do not include the spread we use the Brent oil price as a global benchmark for the reason that WTI oil is mainly used in the US, whereas the Brent is used to specify two-thirds of crude oil exchanged world-wide on the ICE futures exchange. 11 We proxy global economic activity by the OECD measure of global industrial production, which covers the OECD countries and the six major non-OECD economies, including e.g. China and India.…”

Section: A Structural Var Modelmentioning

confidence: 99%

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Do Financial Investors Destabilize the Oil Price?

Lombardi

Robays

2011

SSRN Journal

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Section: A Structural Var Modelmentioning

confidence: 99%

“…this is required to allow for enough dynamics in the macroeconomic variables following an oil shock, see Hamilton and Hererra (2004). The start of the sample period is determined by the availabilty of futures price data.…”

Section: Identi…cation Of Di¤erent Types Of Oil Shocksmentioning

confidence: 99%

Do Financial Investors Destabilize the Oil Price?

Lombardi

Robays

2011

SSRN Journal

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“…The findings reported in section 5 are qualitatively similar, irrespective of whether we use h = 4 or h = 8. However, as documented in Hamilton and Herrera (2004), when modeling the oil market, an overly restrictive lag structure might lead to misleading results. Accordingly, we report the results for the h = 8 specification.…”

Section: C1 Model Specificationmentioning

confidence: 99%

Boom or Gloom? Examining the Dutch Disease in a Two-Speed Economy

Bjjrnland

Thorsrud

2013

SSRN Journal

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Traditional studies of the Dutch disease do not typically account for productivity spillovers between the booming energy sector and non-oil sectors. This study identifies and quantifies these spillovers using a Bayesian Dynamic Factor Model (BDFM). The model allows for resource movements and spending effects through a large panel of variables at the sectoral level, while also identifying disturbances to the real oil price, global demand and non-oil activity. Using Norway as a representative case study, we find that a booming energy sector has substantial spillover effects on the non-oil sectors. Furthermore, windfall gains due to changes in the real oil price also stimulates the economy, but primarily if the oil price increase is caused by global demand. Oil price increases due to, say, supply disruptions, while stimulating activity in the technologically intense service sectors and boosting government spending, have small spillover effects on the rest of the economy, primarily because of reduced cost competitiveness. Yet, there is no evidence of Dutch disease. Instead, we find evidence of a two-speed economy, with non-tradables growing at a much faster pace than tradables. Our results suggest that traditional Dutch disease models with a fixed capital stock and exogenous labor supply do not provide a convincing explanation for how petroleum wealth affects a resource rich economy when there are productivity spillovers between sectors.

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“…These distributions are fairly uninformative except for the sign restriction in the γ's to be able to identify the two regimes. The prior distribution for q implies a mean 7 We have used with indicator variables to determine the region of truncation. For example χ |ρ p |<1 takes the value of zero whenever the absolute value of ρ p is greater than one.…”

Section: Econometric Setupmentioning

confidence: 99%

“…We show that the absence of the spill-over effect after 1982:II reduces output volatility by about 34 percent. 5 Given that the actual drop in output volatility after 1982 was about 55 percent, the changing nature of the stochastic process accounts for about 61 percent of the great Hamilton (1983Hamilton ( , 2003 and Hamilton and Herrera (2004) for evidence on the link between energy prices and business cycles. 4 The residential construction activity has dropped sharply from its peak in 2006 but the overall economy is not in a recession according to the NBER definition at the time of writing this paper.…”

Section: Introductionmentioning

confidence: 99%

Productivity, energy prices and the great moderation: A new link

Dhawan¹,

Jeske²,

Silos³

2010

Review of Economic Dynamics

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract: We study how total factor productivity (TFP), energy prices, and the Great Moderation are linked. First we estimate a joint stochastic process for the energy price and TFP and establish that until the second quarter of 1982, energy prices negatively affected productivity. This spillover has since disappeared. Second, we show that within the framework of a dynamic stochastic general equilibrium model, the disappearance of this energy-productivity spillover generates the significantly lower volatility of output and its components. Specifically, the change in the joint stochastic process accounts for close to 70 percent of the moderation in output volatility. Terms of use: Documents inJEL classification: C22, E32, Q43

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Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: A Comment

Cited by 636 publications

References 37 publications

Do Financial Investors Destabilize the Oil Price?

Do Financial Investors Destabilize the Oil Price?

Boom or Gloom? Examining the Dutch Disease in a Two-Speed Economy

Productivity, energy prices and the great moderation: A new link

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