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Investigating effects of oil price changes on the US, the UK and Japan

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  • Yasunori Yoshizaki

    ()
    (Graduate School of Economics, Kobe University)

Abstract

Based on the structural VAR model of the global crude oil market proposed by Kilian(2009), this article investigates the causes for wild fluctuations in oil prices since the mid-2000s. A main contribution of the study is to compare the effects of changes in oil price on three major economies, the US, the UK, and Japan. I find oil-specific demand shocks as well as aggregate demand shocks played an important role in the rise in the real price of oil since early 2002 and the subsequent sharp drops after the failure of Lehman Brothers Holdings Inc.. Moreover I have found that oil-specific demand shocks increase real GDP in Japan, which is very different from the US and the UK where oil-specific demand shocks lead to reduction in real GDP. This difference possibly comes from the oil efficiency of Japanese products.

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File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I3-P237.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 31 (2011)
Issue (Month): 3 ()
Pages: 2641-2652

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Handle: RePEc:ebl:ecbull:eb-11-00614

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Keywords: SVAR; Oil price;

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  1. Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," American Economic Review, American Economic Association, vol. 99(3), pages 1053-69, June.
  2. Alquist, Ron & Kilian, Lutz, 2007. "What Do We Learn from the Price of Crude Oil Futures?," CEPR Discussion Papers 6548, C.E.P.R. Discussion Papers.
  3. Robert B. Barsky & Lutz Kilian, 2004. "Oil and the Macroeconomy Since the 1970s," Journal of Economic Perspectives, American Economic Association, vol. 18(4), pages 115-134, Fall.
  4. Robert B. Barsky & Lutz Kilian, 2002. "Do We Really Know that Oil Caused the Great Stagflation? A Monetary Alternative," NBER Chapters, in: NBER Macroeconomics Annual 2001, Volume 16, pages 137-198 National Bureau of Economic Research, Inc.
  5. Hamilton, James D & Herrera, Ana Maria, 2004. "Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: Comment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(2), pages 265-86, April.
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