 The asymmetric effects of oil price and monetary policy shocks: A nonlinear VAR approachSajjadur Rahman and Apostolos Serletis Energy Economics, 2010, vol. 32, issue 6, 1460-1466 Abstract: In this paper we investigate the asymmetric effects of oil price shocks and monetary policy on macroeconomic activity, using monthly data for the United States, over the period from 1983:1 to 2008:12. In doing so, we use a logistic smooth transition vector autoregression (VAR), as detailed in Terasvirta and Anderson (1992) and Weise (1999), and make a distinction between two oil price volatility regimes (high and low), using the realized oil price volatility as a switching variable. We isolate the effects of oil price and monetary policy shocks and their asymmetry on output growth and, following Koop et al. (1996) and Weise (1999), we employ simulation methods to calculate Generalized Impulse Response Functions (GIRFs) to trace the effects of independent shocks on the conditional means of the variables. Our results suggest that in addition to the price of oil, oil price volatility has an impact on macroeconomic activity and that monetary policy is not only reinforcing the effects of oil price shocks on output, it is also contributing to the asymmetric response of output to oil price shocks. Keywords: Crude; oil; Volatility; Non; linear; vector; autoregression (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:32:y:2010:i:6:p:1460-1466 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
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