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

Research output: Contribution to journalArticle

7 Citations (Scopus)

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 mid1980s is an important explanation for the Great Moderation.
Original languageEnglish
Pages (from-to)143-159
Number of pages17
JournalThe Energy Journal
Volume33
Issue number4
DOIs
Publication statusPublished - 2012

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Industry
Oil
Impulse response
Macroeconomy
Oil prices
Oil shocks
Empirical study
Great moderation
Macroeconomics

Keywords

  • oil prices
  • vector autoregressions
  • rolling impulse responses
  • Great Moderation

Cite this

Oil and the U.S. Macroeconomy : A Reinvestigation Using Rolling Impulse Responses. / Gronwald, Marc.

In: The Energy Journal, Vol. 33, No. 4, 2012, p. 143-159.

Research output: Contribution to journalArticle

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