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The Effects of Oil Price Shocks in a New-Keynesian Framework with Capital Accumulation

Verónica Acurio Vásconez (), Gaël Giraud (), Florent Mc Isaac () and Ngoc-Sang Pham ()
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Gaël Giraud: PSE - Paris School of Economics - ENPC - École des Ponts ParisTech - ENS Paris - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique - EHESS - École des hautes études en sciences sociales - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Florent Mc Isaac: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: The economic implications of oil price shocks have been extensively studied since the 1970s'. Despite this huge literature, no dynamic stochastic general equilibrium model was available that captures two well-known stylized facts: 1) the stagflationary impact of an oil price shock, together with 2) the influence of the energy productivity of capital on the depth and length of this impact. We build, estimate and simulate a New-Keynesian model with capital accumulation, which takes the case of an economy where oil is imported from abroad, and where these stylized facts can be accounted for. Moreover, the Bayesian estimation of the model on the US economy (1984-2007) suggests that the output elasticity of oil might have been above 10%, stressing the role of oil use in US growth at this time. Finally, our simulations confirm that an increase in energy efficiency significantly attenuates the effects of an oil shock —a possible explanation of why the third oil shock (1999-2008) did not have the same macro-economic impact as the first two ones.

Keywords: New-Keynesian model; DSGE; oil; capital accumulation; stagflation; energy productivity; productivité énergétique; modèle néo-keynesien; équilibre général dynamique stochastique; pétrole; accumulation du capital (search for similar items in EconPapers)
Date: 2014-12
New Economics Papers: this item is included in nep-dge and nep-ene
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-01151642
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Published in 2014

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Related works:
Journal Article: The effects of oil price shocks in a new-Keynesian framework with capital accumulation (2015) Downloads
Working Paper: The effects of oil price shocks in a new-Keynesian framework with capital accumulation (2015)
Working Paper: The effects of oil price shocks in a new-Keynesian framework with capital accumulation (2015)
Working Paper: The Effects of Oil Price Shocks in a New-Keynesian Framework with Capital Accumulation (2014) Downloads
Working Paper: The Effects of Oil Price Shocks in a New-Keynesian Framework with Capital Accumulation (2014) Downloads
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