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Investigating the U.S. Oil-Macroeconomy Nexus using Rolling Impulse Responses

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  • Marc Gronwald

Abstract

This paper is concerned with the apparent change in the U.S. oil price-macroeconomy relationship. It is investigated to what extent this change can be accounted for by the large oil price surges witnessed in the 1970s. The innovative approach of rolling impulse responses is applied and both the aggregate and the industry-level is considered. It is found that the first oil crisis has an “persistent” effect in the sense that this incident still dominates long-run results and superimposes both subsample and industry-specifics. The results, furthermore, suggest that the Great Moderation can essentially be explained by the non-occurrence of large oil shocks after the mid 1980s and that oil is less important for the economy than many researchers still believe.

Suggested Citation

  • Marc Gronwald, 2009. "Investigating the U.S. Oil-Macroeconomy Nexus using Rolling Impulse Responses," CESifo Working Paper Series 2702, CESifo.
    • Handle: RePEc:ces:ceswps:_2702
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    References listed on IDEAS

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    Cited by:

    1. Reicher, Christopher Phillip & Utlaut, Johannes Friederich, 2010. "The relationship between oil prices and long-term interest rates," Kiel Working Papers 1637, Kiel Institute for the World Economy (IfW Kiel).
    2. Yu‐Fu Chen & Michael Funke, 2010. "Booms, Recessions And Financial Turmoil: A Fresh Look At Investment Decisions Under Cyclical Uncertainty," Scottish Journal of Political Economy, Scottish Economic Society, vol. 57(3), pages 290-317, July.

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    More about this item

    Keywords

    oil price; vector autoregressions; rolling impulse responses; Great Moderation;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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