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Oil Price Shocks and the U.S. Economy: Where Does the Asymmetry Originate?

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Author Info
Nathan S. Balke
Stephen P.A. Brown
Mine K. Yucel

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Abstract

Rising oil prices appear to retard aggregate U.S. economic activity by more than falling oil prices stimulate it. Past research suggests adjustment costs, financial stress, and/or monetary policy may be possible explanations for the asymmetric response. This paper uses a near vector autoregressive model of the U.S. economy to examine where the asymmetry might originate. The analysis uses counterfactual experiments to determine that monetary policy alone cannot account for the asymmetry.

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Publisher Info
Article provided by International Association for Energy Economics in its journal The Energy Journal.

Volume (Year): 23 (2002)
Issue (Month): 3 ()
Pages: 27-52
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Handle: RePEc:aen:journl:2002v23-03-a02

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F0 - International Economics - - General

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  1. Stanislav Radchenko, 2004. "Oil price volatility and the asymmetric response of gasoline prices to oil price increases and decreases," Industrial Organization 0408001, EconWPA. [Downloadable!]
    Other versions:
  2. C. Baumeister & G. Peersman, 2008. "Time-Varying Effects of Oil Supply Shocks on the US Economy," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 08/515, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
  3. Stanislav Radchenko, 2004. "Anticipated and unanticipated effects of crude oil prices and oil inventory changes on gasoline prices," Microeconomics 0406001, EconWPA. [Downloadable!]
  4. Mark A. Wynne & John Thompson, 2000. "The new paradigm in Europe: is Goldilocks going global?," The Southwest Economy, Federal Reserve Bank of Dallas, issue Sep, pages 1-6. [Downloadable!]
  5. Katsuya Ito, 2009. "The Russian Economy and the Oil Price: A Co-integrated VAR Approach," Transition Studies Review, Springer, vol. 16(1), pages 220-227, May. [Downloadable!] (restricted)
  6. William C. Gruben, 2000. "US-China trade relations: the best of both worlds," The Southwest Economy, Federal Reserve Bank of Dallas, issue Jul, pages 10. [Downloadable!]
  7. Charles Ka Yui Leung & Nan-Kuang Chen & Chih-Chiang Hsu, 2004. "Structural Break or Asymmetry? An Empirical Study of the Stock Wealth Effect on Consumption," Econometric Society 2004 Far Eastern Meetings 690, Econometric Society. [Downloadable!]
  8. Jason L. Saving & W. Michael Cox, 2000. "Some pleasant economic side effects," The Southwest Economy, Federal Reserve Bank of Dallas, issue Jul, pages 7-9. [Downloadable!]
  9. Stephen P. A. Brown & Mine K. Yücel & John Thompson, 2003. "Business cycles: the role of energy prices," Working Papers 03-04, Federal Reserve Bank of Dallas. [Downloadable!]
  10. Kilian, Lutz, 2005. "The Effects of Exogenous Oil Supply Shocks on Output and Inflation: Evidence from the G7 Countries," CEPR Discussion Papers 5404, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  11. Edelstein, Paul & Kilian, Lutz, 2007. "Retail Energy Prices and Consumer Expenditures," CEPR Discussion Papers 6255, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  12. Parry, Ian W.H. & Walls, Margaret & Harrington, Winston, 2007. "Automobile Externalities and Policies," Discussion Papers dp-06-26, Resources For the Future. [Downloadable!]
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