Korean Abstract: 이 연구는 유가가 미국 물가연동국채의 손익분기인플레이션(BEI)에 미치는 영향을 실증적으로 분석하였다. 추정결과 유가의 변동이 2년·5년· 10년 BEI에 통계적으로 유의한 영향을 미치는 것으로 나타났으며,...

Compared with stocks, bonds are more directly affected by fluctuations in oil prices through the expected inflation component in nominal bond yields. Surprisingly, prior literature finds little predictive power of oil price changes on bond excess returns. This finding is counter intuitive,...

This study analyses the implications of oil prices shocks for the BRICS economies. We employed a time-varying structural vector autoregressive (TV-SVA) framework in which the sources of time variation are the coefficients and variance-covariance matrix of the innovations. The quarter frequency...

This paper employs monthly data to examine the impact of oil price shocks on the domestic inflation rate in Thailand from 1993 to 2017. Both linear and nonlinear cointegration tests are used to examine the long-run relationship between price level, industrial production and the real price of...

This paper investigates the impact of domestic fuel price increases on export growth in a sample of 77 developing countries over the period 2000-2014. Using a fixed-effect estimator and the local projection approach, we find that an increase in domestic gasoline or diesel price adversely affects...

I carry out a business cycle accounting exercise (Chari, Kehoe and McGrattan, 2007) on theU.S. data measured in wage units (Farmer (2010)) for the entire postwar period. In contrast toa conventional approach, this approach preserves common medium-term business cyclefluctuations in GDP, its...

The effect that the recent decline in the price of oil has had on growth is far from clear, with many observers at odds to explain why it does not seem to have provided a significant boost to the world economy. This paper aims to address this puzzle by providing a systematic analysis of the...

The conventional wisdom that inflation expectations respond to the level of the price of oil (or the price of gasoline) is based on testing the null hypothesis of a zero slope coefficient in a static single-equation regression model fit to aggregate data. Given that the regressor in this model...

Consumer inflation expectations are positively correlated with gas prices. The optimal monetary policy response to energy price fluctuations depends on whether inflation expectations are excessively sensitive to gas prices, perhaps due to their high volatility and salience. I use multi-horizon...

According to the macro-econometric literature, the impact of exogenous oil price shocks on Inflation have greatly increased in the last two decades throughout OECD countries while the persistence of those shocks on long-term inflation, namely core inflation, has dramatically decreased. In the...