An Empirical Analysis of Oil Price Shocks in the Interwar Period

W. McMillin () and Randall E Parker

Economic Inquiry, 1994, vol. 32, issue 3, 486-97

Abstract: This paper presents results that indicate that oil price shocks were economically important in explaining movements in industrial production and, to a lesser degree, movements in wholesale prices in the period between World Wars I and II. The framework for analysis is a vector autoregressive model estimated using monthly data over 1924:2-38:6 that employs a financial intermediation variable, a measure of relative oil prices, and other variables typically found in small macroeconomic models. The impact of oil price shocks is evaluated through computation of variance decompositions and an historical decomposition over the 1929:9-38:6 period. Copyright 1994 by Oxford University Press.

Date: 1994
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