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The effect of oil price shocks on economic activity: a local projections approach

Mirko Abbritti, Juan Equiza-Goñi, Fernando Pérez de Gracia (fgracia@unav.es) and Tommaso Trani

Journal of Economics and Finance, 2020, vol. 44, issue 4, No 5, 708-723

Abstract: Abstract We examine the impact of oil price shocks on four U.S. macroeconomic variables over the period January 1974 to August 2016. We use local projections and consider different linear and nonlinear model specifications. The results suggest that oil price shocks have a large and significant effect not only on production, interest rates and unemployment, but also on credit spreads. The magnitude of these effects depends on the level of the oil price before the occurrence of the shock.

Keywords: Oil price shocks; Linear and nonlinear specifications; Local projections; Economic activity (search for similar items in EconPapers)
JEL-codes: E32 Q43 (search for similar items in EconPapers)
Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (8)

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DOI: 10.1007/s12197-020-09512-w

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