Do oil shocks drive business cycles? Some U.S. and international evidence

Macroeconomic Dynamics

Volumn 15, Issue SUPPL. 3, 2011, Pages 498-517

  Engemann, Kristie M ^a   Kliesen, Kevin L ^a   Owyang, Michael T ^a  

^a FEDERAL RESERVE BANK OF ST LOUIS   (United States)

Author keywords

Gibbs Sampler; Oil Prices; Probit; Recession; Time Varying Transition Probabilities

Indexed keywords

EID: 84855969622     PISSN: 13651005     EISSN: 14698056     Source Type: Journal    
DOI: 10.1017/S1365100511000216     Document Type: Article

References (31)

1. Blanchard, Olivier J. and Jordi Galí (2008) TheMacroeconomic Effects of Oil Price Shocks:Why Are the 2000s So Different from the 1970s? Working paper 07-21, MIT Department of Economics.
2. Burbidge, John and Alan Harrison (1984) Testing for the effects of oil-price rises using vector autoregressions. International Economic Review 25(2), 459-484.
3. Casella, George and Edward I. George (1992) Explaining the Gibbs sampler. American Statistician 46(3), 167-174.
4. Clements, Michael P. and Hans-Martin Krolzig (2002) Can oil shocks explain asymmetries in the US business cycle? Empirical Economics 27(2), 185-204. (Pubitemid 36405847)
5. Cuñado, Juncal and Fernando Pérez de Gracia (2003) Do oil price shocks matter? Evidence for some European countries. Energy Economics 25(2), 137-154. (Pubitemid 36509079)
6. Estrella, Arturo and Frederic S. Mishkin (1998) Predicting U.S. recessions: Financial variables as leading indicators. Review of Economics and Statistics 80(1), 45-61. (Pubitemid 128071465)
7. Filardo, Andrew J. (1994) Business-cycle phases and their transitional dynamics. Journal of Business and Economic Statistics 12(3), 299-308.
8. Filardo, Andrew J. and Stephen F. Gordon (1998) Business cycle durations. Journal of Econometrics 85(1), 99-123. (Pubitemid 128393744)
9. Gelfand, Alan E., Dipak K. Dey, and Hong Chang (1992) Model determination using predictive distributions with implementation via sampling-based methods. In J. M. Bernardo, J. O. Berger, A. P. Dawid and A.F. Smith (eds.), Bayesian Statistics 4: Proceedings of the Fourth Valencia International Meeting, pp. 147-159. Oxford, UK: Oxford University Press.
10. Gelfand, Alan E. and Adrian F. M. Smith (1990) Sampling-based approaches to calculating marginal densities. Journal of the American Statistical Association 85(410), 398-409.
11. Geweke, John and Michael Keane (2007) Smoothly mixing regressions. Journal of Econometrics 138(1), 252-290. (Pubitemid 46452997)
12. Goldfeld, Stephen M. and Richard E. Quandt (1973) A Markov model for switching regressions. Journal of Econometrics 1(1), 3-15.
13. Hamilton, James D. (1983) Oil and the macroeconomy since World War II. Journal of Political Economy 91(2), 228-248.
14. Hamilton, James D. (1989) A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57(2), 357-384.
15. Hamilton, James D. (1996) This is what happened to the oil price-macroeconomy relationship. Journal of Monetary Economics 38(2), 215-220. (Pubitemid 126162503)
16. Hamilton, James D. (2003) What is an oil shock? Journal of Econometrics 113(2), 363-398.
17. Hamilton, James D. (2008) Oil and the macroeconomy. In Steven N. Durlauf and Lawrence E. Blume (eds.), Palgrave Dictionary of Economics, 2nd ed. Palgrave Macmillan.
18. Hooker, Mark A. (1996) What happened to the oil price-macroeconomy relationship? Journal of Monetary Economics 38(2), 195-213. (Pubitemid 126162502)
19. Jiménez-Rodríguez, Rebeca and Marcelo Sánchez (2005) Oil price shocks and real GDP growth: Empirical evidence for some OECD countries. Applied Economics 37(2), 201-228. (Pubitemid 40171630)
20. Kauppi, Heikki and Pentti Saikkonen (2008) Predicting U.S. recessions with dynamic binary response models. Review of Economics and Statistics 90(4), 777-791.
21. Kilian, Lutz (2008a)Acomparison of the effects of exogenous oil supply shocks on output and inflation in the G7 countries. Journal of the European Economic Association 6(1), 78-121.
22. Kilian, Lutz (2008b) Exogenous oil supply shocks: How big are they and how much do they matter for the U.S. economy? Review of Economics and Statistics 90(2), 216-240.
23. Kilian, Lutz (2009) Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. American Economic Review 99(3), 1053-1069.
24. Kilian, Lutz and Robert J. Vigfusson (2009) Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks. International Finance Discussion Paper, No. 970, Board of Governors of the federal Reserve System.
25. Kliesen, Kevin L. (2008) Oil and the U.S. macroeconomy: An update and a simple forecasting exercise. Federal Reserve Bank of St. Louis Review 90(5), 505-516.
26. Lee, Kiseok, Shawn Ni, and Ronald A. Ratti (1995) Oil shocks and the macroeconomy: The role of price variability. Energy Journal 16(4), 39-56.
27. Mork, Knut Anton (1989) Oil and the macroeconomy when prices go up and down: An extension of Hamilton's results. Journal of Political Economy 97(3), 740-744.
28. Mork, Knut Anton, Oystein Olsen, and Hans Terje Mysen (1994) Macroeconomic responses to oil price increases and decreases in seven oecd countries. Energy Journal 15(4), 19-35.
29. Peersman, Gert and Ine Van Robays (2009) Cross-Country Differences in the Effects of Oil Shocks. Working paper, Ghent University.
30. Raymond, Jennie E. and RobertW. Rich (1997) Oil and the macroeconomy: AMarkov state-switching approach. Journal of Money, Credit and Banking 29(2), 193-213. (Pubitemid 127066211)
31. Wheelock, David C. and Mark E. Wohar (2009) Can the term spread predict output growth and recessions? A survey of the literature. Federal Reserve Bank of St. Louis Review 91(5, Part 1), 419-440.