On the Influence of Oil Price Shocks on Economic Activity, Inflation, and Exchange Rates

Yasunori Yoshizaki and Shigeyuki Hamori

International Journal of Financial Research, 2013, vol. 4, issue 2, 33-41

Abstract: In this paper, we investigate the effects of oil price shocks on the production, price level, and exchange rate of eight important industrialized countries, using a two-step approach based on a structural VAR model of the global crude oil market proposed by Kilian (see American Economic Review, vol. 99, 2009, pp. 1053-1069). Our main finding is that the effect of oil price shocks on exchange rates also depends on where the changes fundamentally come from. We also conclude that the degree of dependency on imported oil is one of the important factors that affect the pattern of impulse responses.

Keywords: structural VAR; oil price; exchange rate; dependency on imported oil (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:jfr:ijfr11:v:4:y:2013:i:2:p:33-41

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