 Oil price disaster risk, macroeconomic dynamics and monetary policyZongming Liu and Wenhui Shi International Review of Financial Analysis, 2024, vol. 96, issue PA Abstract: Despite extensive research on the impact of oil price shocks, there is a gap in understanding the risk of oil price disaster event. This study addresses this gap by creating a quantitative measure for assessing oil price disaster risk using Bayesian methods and a specially designed Qualitative VAR model with U.S. data spanning from 1973Q1 to 2022Q2. Findings suggest that high oil price risk can lead to prolonged economic downturns and inflation. Furthermore, a DSGE model integrating oil price disaster risk is developed to explore its dynamic effects and align theoretical findings with empirical evidence. Additionally, the research delves into the economic implications of traditional and unconventional monetary policies in the presence of oil price disaster risk, highlighting key contrasts and underscoring the significance of term structure issues related to Federal Reserve guidance. The study's outcomes provide valuable insights for understanding the impact of oil price disaster risk and enhancing the effectiveness of monetary policy interventions. Keywords: Oil price volatility; Disaster risk; Business cycle; Economic dynamics; Monetary policy (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:finana:v:96:y:2024:i:pa:s1057521924005064 DOI: 10.1016/j.irfa.2024.103574 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
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