Oil shocks and the zero bound on nominal interest rates

Journal of International Money and Finance

Volumn 32, Issue 1, 2013, Pages 941-967

  Bodenstein, Martin ^a   Guerrieri, Luca ^a   Gust, Christopher J ^a  

^a FEDERAL RESERVE BOARD   (United States)

Author keywords

DSGE models; Oil shocks; Zero lower bound

Indexed keywords

EID: 84874782088     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2012.08.002     Document Type: Article

References (40)

1. Adam K., Billi R.M. Optimal monetary policy under commitment with a zero bound on nominal interest rates. Journal of Money, Credit, and Banking 2006, 7:1877-1905.
2. Adam K., Billi R.M. Discretionary monetary policy and the zero lower bound on nominal interest rates. Journal of Monetary Economics 2007, 3:728-752.
3. Anderson G., Moore G. A linear Algebraic procedure for solving linear perfect foresight models. Economic Letters 1985, 17:247-252.
4. Backus D., Crucini M. Oil prices and the terms of trade. Journal of International Economics 1998, 50:185-213.
5. Bernanke B., Gertler M., Watson M. Systematic monetary policy and the effects of oil price shocks. Brookings Papers on Economics Activity 1997, 1:91-142.
6. Blanchard O.J., Galì J. The macroeconomic effects of oil price shocks: Why are the 2000s so different from the 1970s?. International Dimensions of Monetary Policy, NBER 2007, April, 373-421. National Bureau of Economic Research, Inc.
7. Bodenstein M. Closing large open economy models. Journal of International Economics 2011, 84(2):160-177.
8. Bodenstein M., Erceg C., Guerrieri L. Optimal monetary policy with distinct core and headline inflation rates. Journal of Monetary Economics 2008, 55:S18-S33.
9. Bodenstein, M., Erceg, C., Guerrieri, L., 2009. The Effects of Foreign Shocks when Interest Rates Are at Zero. International Finance Discussion Papers 983, Board of Governors of the Federal Reserve System (U.S.).
10. Bodenstein M., Erceg C., Guerrieri L. Oil shocks and external adjustment. Journal of International Economics 2011, 83(1):168-184.
11. Bodenstein M., Guerrieri L. On the Source of Oil Price Fluctuations and Their Macroeconomic Repurcussions 2011, Mimeo, Board of Governors of the Federal Reserve System, U.S.
12. Bodenstein M., Guerrieri L., Kilian L. Monetary Policy Responses to Oil Price Fluctuations 2010, CEPR Discussion Paper 8928.
13. Calvo G.A. Staggered prices in a utility-maximizing framework. Journal of Monetary Economics 1983, September, 12:383-398.
14. Christiano L., Eichenbaum M., Rebelo S. When Is the Government Spending Multiplier Large? 2009, NBER Working Papers 15394, National Bureau of Economic Research, Inc.
15. Christiano L.J., Eichenbaum M., Evans C.L. Nominal rigidities and the dynamic effects of a shock to monetary policy. Journal of Political Economy 2005, 113(1):1-45.
16. Corsetti G., Dedola L., Leduc S. Handbook of Monetary Economics. Chapter Optimal Monetary Policy in Open Economies 2010, vol. 3. Elsevier, pp. 861-933.
17. Eggertsson G. Was the New Deal Contractionary? 2006, Federal Reserve Bank of New York, Staff Report 264.
18. Eggertsson G.B., Woodford M. The zero bound on interest rates and optimal monetary policy. Brookings Papers on Economic Activity 2003, 1:139-233.
19. Eggertsson G.B., Woodford M. Policy options in a liquidity trap. American Economic Review 2004, 94(2):76-79.
20. Engel C., Wang J. International Trade in Durable Good: Understanding, Volatility, Cyclicality, and Elasticities 2008, NBER Working Paper No. 13814.
21. Erceg C., Guerrieri L., Gust C. SIGMA: a new open economy model for policy analysis. International Journal of Central Banking 2006, 1-50.
22. Fair R., Taylor J.B. Solution and maximum likelihood estimation of dynamic nonlinear rational expectations models. Economectrica 1983, 51:1169-1185.
23. Greenwood J., Hercowitz Z., Huffman G.W. Investment, capacity utilization, and the real business cycle. American Economic Review 1988, 78(3):402-417.
24. Hamilton J. Causes and consequences of the oil shock of 2007-08. Brookings Papers on Economic Activity 2009, 1:215-284.
25. Hamilton J., Herrera C. Oil shocks and aggregate macroeconomic behavior: the role of monetary policy: comment. Journal of Money, Credit, Banking 2004, 36(2):265-286.
26. Jaimovich N., Rebelo S. Can news about the future drive the business cycle?. American Economic Review 2009, September, 99(4):1097-1118.
27. Jeanne O., Svensson L.E. Credible commitment to optimal escape from a liquidity trap: the role of the balance sheet of an independent Central Bank. American Economic Review 2007, 97:474-490.
28. Jones D.W., Leiby P., Paik I.K. Oil price shocks and the macroeconomy: what has been learned since 1996. Energy Journal 2004, 25(2):1-32.
29. Jung T., Teranishi Y., Watanabe T. Zero bound on nominal interest rates and optimal monetary policy. Journal of Money, Credit, and Banking 2005, 37:813-836.
30. Kilian L. The economic effects of energy price shocks. Journal of Economic Literature 2008, 46(4):871-909.
31. Kilian L. Not all price shocks are alike: disentangling demand and supply shocks in the crude oil market. American Economic Review 2009, 99(3):1053-1069.
32. Kilian L., Murphy D. Why Agnostic Restrictions are Not Enough 2010, Manuscript, University of Michigan.
33. Leduc S., Sill K. A quantitative analysis of oil-price shocks, systematic monetary policy, and economic downturns. Journal of Monetary Economics 2004, 51:781-808.
34. Smets F., Wouters R. An estimated dynamic stochastic general equilibrium model of the Euro area. Journal of the European Economic Association 2003, 1:1124-1175.
35. Smets F., Wouters R. Shocks and frictions in US business cycles: a Bayesian DSGE approach. American Economic Review 2007, 97(3):586-606.
36. Svensson L.E., Laséen S. Anticipated Alternative Instrument-Rate Paths in Policy Simulations 2009.
37. Taylor J.B. Discretion versus policy rules in practice. Carnegie-Rochester Conference Series on Public Policy 1993, 39:195-214.
38. Turnovsky S.J. Domestic and foreign disturbances in an optimizing model of exchange-rate determination. Journal of International Money and Finance 1985, 4(1):151-171.
39. Woodford M. Simple analytics of the government expenditure multiplier. American Economic Journal: Macroeconomics 2011, 3(1):1-35.
40. Yun T. Nominal price rigidity, money supply endogeneity, and business cycles. Journal of Monetary Economics 1996, 37:345-370.