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A weekly structural VAR model of the US crude oil market
Valenti, Daniele; Bastianin, Andrea; Manera, Matteo - 2022
We present a weekly structural Vector Autoregressive (VAR) model of the US crude oil market. Exploiting weekly data we can explain short-run crude oil price dynamics, including those related with the COVID-19 pandemic and with the Russia's invasion of Ukraine. The model is set identified with a...
Persistent link: https://www.econbiz.de/10013254444
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The U.S. Oil Supply Revolution and the Global Economy
Mohaddes, Kamiar - 2017
in commodity exporters, inflation falling in most countries, and equity prices rising worldwide. Overall, our results …
Persistent link: https://www.econbiz.de/10012970152
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Oil price uncertainty and the business cycle : accounting for the influences of global supply and demand within a VAR GARCH-in-mean framework
Thiem, Christopher - 2017
This paper reinvestigates the influence of oil price uncertainty on real economic activity in the U.S. using a four-variable VAR, GARCH-in-mean, asymmetric BEKK model. In contrast to previous studies in this area, the analysis focuses on business cycle fluctuations and we control for global...
Persistent link: https://www.econbiz.de/10011608019
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How are oil supply shocks transmitted to the U.S. economy?
Geiger, Martin; Güntner, Jochen - 2019
We investigate how oil supply shocks are transmitted to U.S. economic activity, consumer prices, and interest rates. Using a structural VAR approach with a combination of sign and zero restrictions, we distinguish between supply and demand channels in the transmission of exogenous changes in...
Persistent link: https://www.econbiz.de/10012009877
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Are the responses of the U.S. economy asymmetric in energy price increases and decreases?
Kilian, Lutz; Vigfusson, Robert J. - In: Quantitative economics : QE ; journal of the … 2 (2011) 3, pp. 419-453
How much does real gross domestic product (GDP) respond to unanticipated changes in the real price of oil? Commonly used censored oil price vector autore- gressive models suggest a substantial decline in real GDP in response to unex- pected increases in the real price of oil, yet no response to...
Persistent link: https://www.econbiz.de/10011756396
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The U.S. Oil Supply Revolution and the Global Economy
Mohaddes, Kamiar - 2016
in commodity exporters, inflation falling in most countries, and equity prices rising worldwide. Overall, our results …
Persistent link: https://www.econbiz.de/10012998782
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Commodity price shocks and the business cycle : structural evidence for the US
Gubler, Matthias; Hertweck, Matthias S. - 2011 - This version: March 28, 2011
particular, we find that commodity price shocks explain a large share of cyclical movements in inflation. Neutral technology …
Persistent link: https://www.econbiz.de/10009008065
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Regime-dependent effects of monetary policy shocks : evidence from threshold vector autoregressions
Mandler, Martin - 2010
autoregressive model. In a high inflation regime the standard results from the literature obtain. In a low inflation regime output … shows no significant response to monetary policy while the inflation response is negative. The paper endogenously determines …
Persistent link: https://www.econbiz.de/10003950519
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Macroeconomic dynamics and inflation regimes in the US : results from threshold vector autoregressions
Mandler, Martin - 2010
model in which endogenous regime switches are triggered by the inflation rate. The model separates a high from a low … inflation regime with both regimes being strongly persistent. Generalized impulse response functions highlight important across …-regime differences in the responses of the economy to monetary policy and inflation shocks. Simulating both regimes with individual …
Persistent link: https://www.econbiz.de/10003950614
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The changing link between labor cost and price inflation in the United States
Bobeica, Elena; Ciccarelli, Matteo; Vansteenkiste, Isabel - 2021
The link between US labor cost and price inflation has weakened notably over the past three decades. In this paper we … economy of late: (i) improved anchoring of inflation expectations; (ii) the changing constellation of shocks hitting the … economy; (iii) increased trade integration and (iv) rising firm market power. We find that the improved anchoring of inflation …
Persistent link: https://www.econbiz.de/10012603076