This study assesses empirically the effects of oil price shocks on the real economic activity of the main industrialized countries. Multivariate VAR analysis is carried out using both linear and non-linear models. The latter category includes three approaches employed in the literature, namely,...

This article finds strong evidence of oil-induced stagflation in major G7 economies. Oil shocks provoked output losses and higher inflation on a widespread basis from the mid-1970s to the early 1980s, as well as - to a lesser extent - in the new millennium.

This paper analyses the role of the macroeconomic structure in the response of industrial output to an oil price shock in six OECD countries. The modelling of the macroeconomic structure is important in examining the effect of an oil price shock on the industry-level output, since the analysis...

This paper investigates the impact of international shocks – interest rate, commodity price and industrial production shocks – on key macroeconomic variables in ten Central and Eastern European (CEE) countries by using near-VAR models and monthly data from the early 1990s to 2009. In...

This paper sets up a small open economy model to compare the link between exchange rates and interest rates under full and imperfect information. The informational friction considered here corresponds to the case where the central bank, while failing to observe output and inflation, can extract...

We assess claims that OPEC's ability to influence real oil prices has diminished and that the relationship between real oil prices and OPEC production can be used to test competing hypotheses about OPEC behavior. An econometric analysis indicates that there is a statistically significant...

This paper revisits the relationship between interest rates and exchange rates using a simple model that incorporates the role of exchange rate pass-through into domestic prices and distinguishes between cases of expansionary and contractionary depreciations. The model results show that the...

In our multi-country currency union model, national fiscal authorities free ride on the single monetary authority, which leads to higher interest rate variability. We carry out welfare comparisons between monetary autonomy and currency union, assessing the sensitivity of results around...