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The Shale Oil Boom and the U.S. Economy: Spillovers and Time-Varying Effects

Hilde Bjørnland () and Julia Zhulanova ()

No No 8/2018, Working Papers from Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School

Abstract: We analyze if the transmission of oil price shocks on the U.S. economy has changed as a result of the shale oil boom. To do so we allow for spillovers at the state level, as well as aggregate country level effects. We identify and quantify these spillovers using a factor-augmented vector autoregressive (VAR) model, allowing for time-varying changes. In contrast to previous results, we find considerable changes in the way oil price shocks are transmitted: there are now positive spillovers to non-oil investment, employment and production in many U.S. states from an increase in the oil price - effects that were not present before the shale oil boom.

Keywords: Shale oil boom; FAVAR model; Time-varying changes; Geographical dispersion (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ene, nep-ets and nep-mac
Date: 2018-10
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Related works:
Working Paper: The shale oil boom and the U.S. economy: Spillovers and time-varying effects (2019) Downloads
Working Paper: The shale oil boom and the US economy: Spillovers and time-varying effects (2019) Downloads
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