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150 Years of the Oil Price-Macroeconomy Relationship

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  • Apostolos Serletis

    (University of Calgary)

Abstract

We use the longest span data that have ever been studied before (from 1870 to 2014) to investigate the relationship between the price of oil and the level of economic activity in the United States. In the context of a bivariate (identified) structural generalized autoregressive conditional heteroscedasticity (GARCH)-in-Mean VAR in real output growth and the change in the real price of oil, we find that uncertainty about oil prices has had a negative and significant effect on real output. We also find that the responses of real output growth to positive and negative shocks are not very informative of whether they are symmetric or asymmetric, and that accounting for oil price uncertainty tends to amplify the negative dynamic response of real output growth to unfavorable (positive) oil price shocks.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Apostolos Serletis, "undated". "150 Years of the Oil Price-Macroeconomy Relationship," Working Papers 2017-01, Department of Economics, University of Calgary.
    • Handle: RePEc:clg:wpaper:2017-01
    as

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    Cited by:

    1. Apostolos Serletis & Libo Xu, 2019. "Markov Switching Oil Price Uncertainty," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(5), pages 1045-1064, October.
    2. Dąbrowski, Marek A. & Papież, Monika & Rubaszek, Michał & Śmiech, Sławomir, 2022. "The role of economic development for the effect of oil market shocks on oil-exporting countries. Evidence from the interacted panel VAR model," Energy Economics, Elsevier, vol. 110(C).

    More about this item

    Keywords

    Oil price volatility; Real options; Multivariate GARCH-in-Mean VAR;
    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
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies

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