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Oil and the Macroeconomy: A Structural VAR Analysis with Sign Restrictions

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Lippi, Francesco
Nobili, Andrea

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Abstract

We consider an economy where the oil price, industrial production, and other macroeconomic variables fluctuate in response to a variety of fundamental shocks. We estimate the effects of different structural shocks using robust sign restrictions suggested by theory using US data for the 1973-2007 period. The estimates show that identifying the shock underlying the oil price change is important to predict the sign and the magnitude of its correlates with the US production. The results offer a natural explanation for the smaller correlation between oil prices and US production in the recent years compared to the seventies.

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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 6830.

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Date of creation: May 2008
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Handle: RePEc:cpr:ceprdp:6830

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Related research
Keywords: Business cycle Oil prices Sign Restrictions Structural VAR

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models
E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

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This page was last updated on 2008-8-19.

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