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Oil and the U.S. Macroeconomy: A Reinvestigation Using Rolling Impulse Responses

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  • Marc Gronwald

Abstract

This paper investigates the role of extreme oil price increases in empirical studies of the macroeconomics of oil prices. The innovative approach of rolling impulse responses is applied and data on both the aggregate and the industry-level is considered. The results show that the first oil crisis drives long-run results and superimposes both subsample and industry-specifics. Furthermore, there is evidence that the non-occurrence of large oil shocks after the mid-1980s is an important explanation for the Great Moderation.

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  • Marc Gronwald, 2012. "Oil and the U.S. Macroeconomy: A Reinvestigation Using Rolling Impulse Responses," The Energy Journal, , vol. 33(4), pages 142-160, October.
    • Handle: RePEc:sae:enejou:v:33:y:2012:i:4:p:142-160
    DOI: 10.5547/01956574.33.4.7
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    References listed on IDEAS

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    1. James D. Hamilton, 2009. "Causes and Consequences of the Oil Shock of 2007-08," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 40(1 (Spring), pages 215-283.
    2. Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," American Economic Review, American Economic Association, vol. 99(3), pages 1053-1069, June.
    3. Margaret M. McConnell & Gabriel Perez-Quiros, 2000. "Output fluctuations in the United States: what has changed since the early 1980s?," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
    4. Chang-Jin Kim & Charles R. Nelson, 1999. "Has The U.S. Economy Become More Stable? A Bayesian Approach Based On A Markov-Switching Model Of The Business Cycle," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 608-616, November.
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