The Oil price-Macroeconomy Relationship since the Mid- 1980s: A global perspective

Claudio Morana

No 2012.28, Working Papers from Fondazione Eni Enrico Mattei

Abstract: In this paper the oil price-macroeconomy relationship is investigated from a global perspective, by means of a large scale macro-financial-econometric model. In addition to real activity, fiscal and monetary policy responses and labor and financial markets are considered as well. We find that oil market shocks would have contributed to slowing down economic growth since the first Persian Gulf War episode. Among oil market shocks, supply side disturbances were the largest contributor to macro-financial fluctuations, accounting for up to 12% of real activity variance. The latter shocks would have exercised recessionary effects during the first and second Persian Gulf War and 2008 oil price episodes; preferences, speculative and volatility shocks would have also contributed to exacerbate the recessionary episodes. As long as oil supply will keep expanding at a lower pace than required by demand conditions, a recessionary bias, determined by higher and more uncertain real oil prices, may then be expected to persist also in the near future.

Keywords: Oil Price; Oil Price-Macroeconomy Relationship; Macro-finance Interface; International Business Cycle; Factor Vector Autoregressive Models (search for similar items in EconPapers)
JEL-codes: C22 E32 G12 (search for similar items in EconPapers)
Date: 2012-05
New Economics Papers: this item is included in nep-bec, nep-cwa, nep-ene, nep-mac and nep-opm
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Related works:
Journal Article: The Oil Price-Macroeconomy Relationship Since the Mid-1980s: A Global Perspective (2013)
Journal Article: The Oil Price-Macroeconomy Relationship Since the Mid-1980s: A Global Perspective (2013)
Working Paper: The oil price-macroeconomy relationship since the mid-1980s: A global perspective (2013)
Working Paper: The Oil Price-Macroeconomy Relationship since the Mid- 1980s: A Global Perspective (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:fem:femwpa:2012.28

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