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Oil and the macroeconomy: a quantitative structural analysis

Lippi, Francesco and Nobili, Andrea (2012) Oil and the macroeconomy: a quantitative structural analysis. Journal of the European Economic Association, Vol. 10 (5), p. 1059-1083. eISSN 1542-4774. Article.

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DOI: 10.1111/j.1542-4774.2012.01079.x


We model an open economy where macroeconomic variables fluctuate in response to oil supply shocks, as well as aggregate demand and supply shocks generated domestically and abroad. We use several robust predictions of the model to identify five fundamental shocks underlying the fluctuations of the (real) oil price, the US activity and the global business cycle. The estimates show that supply shocks generated in the global economy explain the largest fraction of the oil price fluctuations, about four times more than canonical oil supply shocks. The correlation between oil prices and the US activity varies with the type of shock.

Item Type:Article
ID Code:8124
Uncontrolled Keywords:C32, E3, F4
Subjects:Area 13 - Scienze economiche e statistiche > SECS-P/01 Economia politica
Divisions:001 Università di Sassari > 01-a Nuovi Dipartimenti dal 2012 > Scienze economiche e aziendali
Copyright Holders:© 2012 by the European Economic Association
Deposited On:09 Nov 2012 09:28

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