Oil and macroeconomic (in)stability
Hilde Bjørnland (),
Vegard Larsen and
Junior Maih ()
No No 6/2017, Working Papers from Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
We analyze the role of oil price volatility in reducing U.S. macroeconomic instability. Using a Markov Switching Rational Expectation New-Keynesian model we revisit the timing of the Great Moderation and the sources of changes in the volatilityof macroeconomic variables. We find that smaller or fewer oil price shocks did not play a major role in explaining the Great Moderation. Instead oil price shocksare recurrent sources of economic fluctuations. The most important factor reducing overall variability is a decline in the volatility of structural macroeconomic shocks. A change to a more responsive (hawkish) monetary policy regime also played a role.
Keywords: Oil price; Great Moderation; New-Keynesian model; Markov Switching (search for similar items in EconPapers)
Pages: 52 pages
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https://brage.bibsys.no/xmlui/bitstream/handle/112 ... quence=1&isAllowed=y
Journal Article: Oil and Macroeconomic (In)stability (2018)
Working Paper: Oil and macroeconomic (in)stability (2017)
Working Paper: Oil and macroeconomic (in)stability (2016)
Working Paper: Oil and macroeconomic (in)stability (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:bny:wpaper:0055
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