Oil Shocks and the Macroeconomy: The Role of Price Variability

Kiseok Lee, Shawn Ni () and Ronald Ratti

The Energy Journal, 1995, vol. Volume16, issue Number 4, 39-56

Abstract: In this paper we argue that an oil price change is likely to have greater impact on real GNP in an environment where oil prices have been stable, than in an environment where oil price movement has been frequent and erratic. An oil price shock variable reflecting both the unanticipated component and the time-varying conditional variance of oil price change (forecasts) is constructed and found to be highly significant in explaining economic growth across different sample periods, even when matched against various economic variables and other functions of oil price. We find that positive normalized shocks have a powerful effect on growth while negative normalized shocks do not.

JEL-codes: F0 (search for similar items in EconPapers)
Date: 1995
References: Add references at CitEc
Citations: View citations in EconPapers (558)

Downloads: (external link)
http://www.iaee.org/en/publications/ejarticle.aspx?id=1209 (text/html)
Access to full text is restricted to IAEE members and subscribers.

Related works:
Journal Article: Oil Shocks and the Macroeconomy: The Role of Price Variability* (1995)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aen:journl:1995v16-04-a02

Ordering information: This journal article can be ordered from
http://www.iaee.org/en/publications/ejsearch.aspx

Access Statistics for this article

More articles in The Energy Journal from International Association for Energy Economics Contact information at EDIRC.
Bibliographic data for series maintained by David Williams ().