Time-varying oil price volatility and macroeconomic aggregates
Michael Plante () and
Nora Traum ()
No 1201, Working Papers from Federal Reserve Bank of Dallas
Abstract:
We illustrate the theoretical relation among output, consumption, investment, and oil price volatility in a real business-cycle model. The model incorporates demand for oil by a firm, as an intermediate input, and by a household, used in conjunction with a durable good. We estimate a stochastic volatility process for the real price of oil over the period 1986?2011 and utilize the estimated process in a nonlinear approximation of the model. For realistic calibrations, an increase in oil price volatility produces a temporary decrease in durable spending, while precautionary savings motives lead investment and real GDP to rise. Irreversible capital and durable investment decisions do not overturn this result.
Keywords: time series analysis; Consumption (Economics); Capital investments; Natural resources; Energy consumption (search for similar items in EconPapers)
Pages: 39 pages
Date: 2012
New Economics Papers: this item is included in nep-bec, nep-dge, nep-ene and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed
Downloads: (external link)
http://www.dallasfed.org/assets/documents/research/papers/2012/wp1201.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.dallasfed.org/assets/documents/research/papers/2012/wp1201.pdf [301 Moved Permanently]--> https://www.dallasfed.org/assets/documents/research/papers/2012/wp1201.pdf)
Related works:
Working Paper: Time-Varying Oil Price Volatility and Macroeconomic Aggregates (2012) 
Working Paper: Time-Varying Oil Price Volatility and Macroeconomic Aggregates (2012) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:fip:feddwp:1201
Ordering information: This working paper can be ordered from
DOI: 10.24149/wp1201
Access Statistics for this paper
More papers in Working Papers from Federal Reserve Bank of Dallas Contact information at EDIRC.
Bibliographic data for series maintained by Amy Chapman ().