The Effects of Oil Price Uncertainty on Global Real Economic Activity

Journal of Money, Credit and Banking

Volumn 46, Issue 6, 2014, Pages 1113-1135

  Jo, Soojin ^a  

^a Canadian Economic Analysis Bank of Canada   (Canada)

Author keywords

Global business cycle; Oil prices; Stochastic volatility; Uncertainty; Vector autoregression

Indexed keywords

EID: 84906517435     PISSN: 00222879     EISSN: 15384616     Source Type: Journal    
DOI: 10.1111/jmcb.12135     Document Type: Article

References (38)

1. Alquist, Ron, and Lutz Kilian. (2010) "What Do We Learn from the Price of Crude Oil Futures?" Journal of Applied Econometrics, 25, 539-73.
2. Alquist, Ron, Lutz Kilian, and Robert Vigfusson. (2013) "Forecasting the Price of Oil." In Handbook of Economic Forecasting, Vol. 2, edited by Graham Elliott and Allan Timmermann, 427-507. Amsterdam: North-Holland.
3. Andersen, Torben G., Dobrislav Dobrev, and Ernst Schaumburg. (2012) " Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation." Journal of Econometrics, 169, 75-93.
4. Baumeister, Christiane, and Lutz Kilian. (2012) "Real-Time Analysis of Oil Price Risks Using Forecast Scenarios." Bank of Canada Working Papers, 2012-1.
5. Baumeister, Christiane, and Gert Peersman (2013a) "The Role of Time-Varying Price Elasticities in Accounting for Volatility Changes in the Crude Oil Market." Journal of Applied Econometrics, 28, 1087-1109.
6. Baumeister, Christiane, and Gert Peersman. (2013b) "Time-Varying Effects of Oil Supply Shocks on the U.S. Economy." American Economic Journal: Macroeconomics, 5, 1-29.
7. Bernanke, Ben S. (1983) "Irreversibility, Uncertainty, and Cyclical Investment." Quarterly Journal of Economics, 98, 85-106.
8. Bredin, Don, John Elder, and Stilianos Fountas. (2011) "Oil Volatility and the Option Value of Waiting: An Analysis of the G-7." Journal of Futures Markets, 31, 679-702.
9. Cogley, Timothy, and Thomas J. Sargent. (2005) "Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S." Review of Economic dynamics, 8, 262-302.
10. Dobrev, Dobrislav, and Pawel Szerszen. (2010) " The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk." FRB International Finance Discussion Papers No. 1005.
11. Downey, Morgan. (2009) Oil 101. New York, NY: Wooden Table Press.
12. Edelstein, Paul, and Lutz Kilian. (2007) "The Response of Business Fixed Investment to Changes in Energy Prices: A Test of Some Hypotheses about the Transmission of Energy Price Shocks." BE Journal of Macroeconomics, 7. http://www.bepress.com/bejm/vol7/iss1/art35.
13. Edelstein, Paul, and Lutz Kilian. (2009) "How Sensitive Are Consumer Expenditures to Retail Energy Prices?" Journal of Monetary Economics, 56, 766-79.
14. Elder, John, and Apostolos Serletis. (2009) "Oil Price Uncertainty in Canada." Energy Economics, 31, 852-56.
15. Elder, John, and Apostolos Serletis. (2010) "Oil Price Uncertainty." Journal of Money, Credit and Banking, 42, 1137-59.
16. Elder, John, and Apostolos Serletis. (2011) "Volatility in Oil Prices and Manufacturing Activity: An Investigation of Real Options." Macroeconomic Dynamics, 15, 379-95.
17. Engle, Robert F. (1982) "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation." Econometrica, 50, 987-1007.
18. Ferderer, J. Peter. (1996) "Oil Price Volatility and the Macroeconomy." Journal of Macroeconomics, 18, 1-26.
19. Hamilton, James D. (1988) "A Neoclassical Model of Unemployment and the Business Cycle." Journal of Political Economy, 96, 593-617.
20. Hamilton, James D. (2011) "Historical Oil Shocks." NBER Working Paper No. 16790.
21. Herrera, Ana M., and Mohamad Karaki. (2012) "The Effects of Oil Price Shocks on Job Reallocation." Mimeo.
22. Herrera, Ana M., Latika G. Lagalo, and Tatsuma Wada. (2011) "Oil Price Shocks and Industrial Production: Is the Relationship Linear?" 15, 472-97.
23. Herrera, Ana M., Latika G. Lagalo, and Tatsuma Wada. (2012) "Asymmetries in the Oil Price-Industrial Production Relationship? Evidence from 18 OECD Countries." Mimeo.
24. Kellogg, Ryan. (2010) "The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling." NBER Working Paper No. 16541.
25. Kilian, Lutz. (2008) "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, 216-40.
26. Kilian, Lutz. (2009) "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market." American Economic Review, 99, 1053-69.
27. Kilian, Lutz, and Daniel P. Murphy. (2012) "Why Agnostic Sign Restrictions Are Not Enough: Understanding the Dynamics of Oil Market VAR Models." Journal of the European Economic Association, 10, 1166-88.
28. Kilian, Lutz, and Daniel P. Murphy. (2014) "The Role of Inventories and Speculative Trading in the Global Market for Crude Oil." Journal of Applied Econometrics, 29, 71-87.
29. Kilian, Lutz, and Clara Vega. (2011) "Do Energy Prices Respond to Us Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices." Review of Economics and Statistics, 93, 660-71.
30. Kilian, Lutz, and Robert J. Vigfusson. (2011a) "Are the Responses of the U.S. Economy Asymmetric in Energy Price Increases and Decreases?" Quantitative Economics, 2, 419-53.
31. Kilian, Lutz, and Robert J. Vigfusson. (2011b) "Nonlinearities in the Oil Price-Output Relationship." Macroeconomic Dynamics, 15, 337-63.
32. Kim, Sangjoon, Neil Shephard, and Siddhartha Chib. (1998) "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models."Review of Economic Studies, 65, 361-93.
33. Lee, Kiseok, Shawn Ni, and Ronald A. Ratti. (1995) "Oil Shocks and the Macroeconomy: The Role of Price Variability." Energy Journal, 16, 39-56.
34. Pindyck, Robert S. (1991) "Irreversibility, Uncertainty, and Investment." Journal of Economic Literature, 29, 1110-48.
35. Plante, Michael, and Nora Traum. (2012) "Time-Varying Oil Price Volatility and Macroeconomic Aggregates." Center for Applied Economics and Policy Research Working Paper 2012-002.
36. Primiceri, Giorgio E. (2005) "Time-Varying Structural Vector Autoregressions and Monetary Policy." Review of Economic Studies, 72, 821-52.
37. Rahman, Sajjadur, and Apostolos Serletis. (2011) "The Asymmetric Effects of Oil Price Shocks." Macroeconomic Dynamics, 15, 437-71.
38. Rahman, Sajjadur, and Apostolos Serletis. (2012) "Oil Price Uncertainty and the Canadian Economy: Evidence from a VARMA, GARCH-in-Mean, Asymmetric BEKK Model." Energy Economics, 34, 603-10.