Fukunaga, Ichiro; Hirakata, Naohisa; Sudo, Nao - Institute for Monetary and Economic Studies, Bank of Japan - 2009
In this paper, we decompose oil price changes into their component parts following Kilian (2009) and estimate the dynamic effects of each component on industry-level production and prices in the U.S. and Japan using identified VAR models. The way oil price changes affect each industry depends on...