Hostname: page-component-586b7cd67f-t7fkt Total loading time: 0 Render date: 2024-11-29T12:23:32.943Z Has data issue: false hasContentIssue false
  • English
  • Français

NONLINEARITIES AND THE MACROECONOMIC EFFECTS OF OIL PRICES

Published online by Cambridge University Press:  09 December 2011

James D. Hamilton
James D. Hamilton*
Affiliation:
University of California, San Diego
*
Address correspondence to: James D. Hamilton, Department of Economics, 0508, University of California, San Diego, 9500 Gilman Drive, La Jolla, CA 92093-0508, USA; e-mail: [email protected].
Get access Rights & Permissions [Opens in a new window]

Abstract

This paper reviews some of the literature on the macroeconomic effects of oil price shocks with a particular focus on possible nonlinearities in the relation and recent new results obtained by Kilian and Vigfusson [http://www-personal.umich/~lkilian/kvsubmission.pdf (2009)].

Keywords

Oil ShocksNonlinear DynamicsAsymmetric Response Oil Prices
Type
Articles
Information
Macroeconomic Dynamics , Volume 15 , Supplement S3: Oil Price Shocks , November 2011 , pp. 364 - 378
Copyright
Copyright © Cambridge University Press 2011

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Atkeson, Andrew and Kehoe, Patrick J. (1999) Models of energy use: Putty–putty versus putty–clay. American Economic Review 89, 1028–1043.CrossRefGoogle Scholar
Balke, Nathan S., Brown, Stephen P.A., and Yücel, Mine (2002) Oil price shocks and the U.S. economy: Where does the asymmetry originate? Energy Journal 23, 27–52.CrossRefGoogle Scholar
Bernanke, Ben S. (1983) Irreversibility, uncertainty, and cyclical investment. Quarterly Journal of Economics 98, 85–106.CrossRefGoogle Scholar
Bresnahan, Timothy F. and Ramey, Valerie A. (1993) Segment shifts and capacity utilization in the U.S. automobile industry. American Economic Review Papers and Proceedings 83, 213–218.Google Scholar
Carlton, Amelie Benear (2010) Oil Prices and Real-Time Output Growth. Working paper, University of Houston.Google Scholar
Clark, Todd E. and West, Kenneth D. (2007) Approximately normal tests for equal predictive accuracy in nested models. Journal of Econometrics 138, 291–311.CrossRefGoogle Scholar
Cuñado, Juncal and de Gracia, Fernando Pérez (2003) Do oil price shocks matter? Evidence for some European countries. Energy Economics 25, 137–154.CrossRefGoogle Scholar
Dahl, Carol A. (1993) A survey of oil demand elasticities for developing countries. OPEC Review 17 (Winter), 399–419.CrossRefGoogle Scholar
Davis, Steven J. (1987a) Allocative disturbances and specific capital in real business cycle theories. American Economic Review Papers and Proceedings 77, 326–332.Google Scholar
Davis, Steven J. (1987b) Fluctuations in the pace of labor reallocation. In Brunner, Karl and Meltzer, Allan H. (eds.), Empirical Studies of Velocity, Real Exchange Rates, Unemployment and Productivity, pp. 335–402. Carnegie–Rochester Conference Series on Public Policy, 24. Amsterdam: North Holland.Google Scholar
Davis, Steven J. and Haltiwanger, John (2001) Sectoral job creation and destruction responses to oil price changes. Journal of Monetary Economics, 48, 465–512.CrossRefGoogle Scholar
Edelstein, Paul and Kilian, Lutz (2009) How sensitive are consumer expenditures to retail energy prices? Journal of Monetary Economics 56, 766–779.CrossRefGoogle Scholar
Elder, John and Serletis, Apostolos (2010) Oil price uncertainty. Journal of Money, Credit and Banking 42, 1138–1159.CrossRefGoogle Scholar
Engemann, Kristie M.Kliesen, Kevin L., and Owyang, Michael T. (this issue; in press) Do oil shocks drive business cycles? Some U.S. and international evidence. Macroeconomic Dynamics.Google Scholar
Ferderer, J. Peter (1996) Oil price volatility and the macroeconomy: A solution to the asymmetry puzzle. Journal of Macroeconomics 18, 1–16.CrossRefGoogle Scholar
Finn, Mary G. (2000) Perfect competition and the effects of energy price increases on economic activity. Journal of Money, Credit and Banking 32, 400–416.CrossRefGoogle Scholar
Gallant, A. Ronald, Rossi, Peter E., and Tauchen, George (1993) Nonlinear dynamic structures. Econometrica 61, 871–908.CrossRefGoogle Scholar
Hamilton, James D. (1983) Oil and the macroeconomy since World War II. Journal of Political Economy 91, 228–248.CrossRefGoogle Scholar
Hamilton, James D. (1988) A neoclassical model of unemployment and the business cycle. Journal of Political Economy 96, 593–617.CrossRefGoogle Scholar
Hamilton, James D. (1996) This is what happened to the oil price macroeconomy relation. Journal of Monetary Economics 38, 215–220.CrossRefGoogle Scholar
Hamilton, James D. (2003) What is an oil shock? Journal of Econometrics 113, 363–398.CrossRefGoogle Scholar
Hamilton, James D. (2005) What's real about the business cycle? Federal Reserve Bank of St. Louis Review 87 (July/August 87, no. 4), 435–452.Google Scholar
Hamilton, James D. (2009) Causes and consequences of the oil shock of 2007–08. Brookings Papers on Economic Activity, Spring 2009, 215–261.CrossRefGoogle Scholar
Hansen, Lars P. and Hodrick, Robert J. (1980) Forward exchange rates as optimal predictors of future spot rates: An econometric analysis. Journal of Political Economy 88, 829–853.CrossRefGoogle Scholar
Herrera, Ana María, Lagalo, Latika Gupta, and Wada, Tatsuma (this issue; in press) Oil price shocks and industrial production: Is the relationship linear? Macroeconomic Dynamics.Google Scholar
Hooker, Mark A. (1996) What happened to the oil price–macroeconomy relationship? Journal of Monetary Economics 38, 195–213.CrossRefGoogle Scholar
Jiménez-Rodrígueza, Rebeca and Sánchez, Marcelo (2005) Oil price shocks and real GDP growth: Empirical evidence for some OECD countries. Applied Economics 37, 201–228.CrossRefGoogle Scholar
Jordá, Òscar (2005) Estimation and inference of impulse responses by local projections. American Economic Review 95, 161–182.CrossRefGoogle Scholar
Kilian, Lutz and Vigfusson, Robert J. (2009) Are the Responses of the U.S. Economy Asymmetric in Energy Price Increases and Decreases? Working Paper, University of Michigan (http://www-personal.umich.edu/~lkilian/kvsubmission.pdf).Google Scholar
Kilian, Lutz and Vigfusson, Robert J. (this issue; in press) Nonlinearities in the oil–output relationship. Macroeconomic Dynamics.Google Scholar
Kim, Dong Heon (in press) What is an oil shock? Panel data evidence. Empirical Economics.Google Scholar
Kim, In-Moo and Loungani, Prakash (1992) The role of energy in real business cycle models. Journal of Monetary Economics 29, 173–189.CrossRefGoogle Scholar
Koop, Gary M., Pesaran, Hashem and Potter, Simon M. (1996) Impulse response analysis in nonlinear multivariate models. Journal of Econometrics 74, 19–147.CrossRefGoogle Scholar
Leduc, Sylvain and Sill, Keith (2004) A quantitative analysis of oil-price shocks, systematic monetary policy, and economic downturns. Journal of Monetary Economics 51, 781–808.CrossRefGoogle Scholar
Lee, Kiseok, Ni, Shawn and Ratti, Ronald A. (1995) Oil shocks and the macroeconomy: The role of price variability. Energy Journal 16, 39–56.CrossRefGoogle Scholar
Loungani, Prakash (1986) Oil price shocks and the dispersion hypothesis. Review of Economics and Statistics 68, 536–539.CrossRefGoogle Scholar
Mork, Knut A. (1989) Oil and the macroeconomy when prices go up and down: An extension of Hamilton's results. Journal of Political Economy 91, 740–744.CrossRefGoogle Scholar
Newey, Whitney K. and West, Kenneth D. (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703–708.CrossRefGoogle Scholar
Potter, Simon M. (2000) Nonlinear impulse response functions. Journal of Economic Dynamics and Control 24, 1425–1446.CrossRefGoogle Scholar
Ramey, Valerie A. and Vine, Daniel J. (in press) Oil, automobiles, and the U.S. economy: How much have things really changed? NBER Macroeconomics Annual.Google Scholar
Ravazzolo, Francesco and Rothman, Philip (2010) Oil and U.S. GDP: A Real-Time Out-of-Sample Examination. Working paper, East Carolina University.CrossRefGoogle Scholar
White, Halbert L. (1980) A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 48, 817–838.CrossRefGoogle Scholar