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Nonlinearities and the Macroeconomic Effects of Oil Prices

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  • James D. Hamilton

Abstract

This paper reviews some of the literature on the macroeconomic effects of oil price shocks with a particular focus on possible nonlinearities in the relation and recent new results obtained by Kilian and Vigfusson (2009).

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Bibliographic Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 16186.

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Date of creation: Jul 2010
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Publication status: published as Hamilton, James D., 2011. "Nonlinearities And The Macroeconomic Effects Of Oil Prices," Macroeconomic Dynamics, Cambridge University Press, vol. 15(S3), pages 364-378, November.
Handle: RePEc:nbr:nberwo:16186

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  1. John Elder & Apostolos Serletis, 2010. "Oil Price Uncertainty," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 42(6), pages 1137-1159, 09.
  2. Leduc, Sylvain & Sill, Keith, 2004. "A quantitative analysis of oil-price shocks, systematic monetary policy, and economic downturns," Journal of Monetary Economics, Elsevier, Elsevier, vol. 51(4), pages 781-808, May.
  3. Kiseok Lee & Shawn Ni & Ronald A. Ratti, 1995. "Oil Shocks and the Macroeconomy: The Role of Price Variability," The Energy Journal, International Association for Energy Economics, International Association for Energy Economics, vol. 0(Number 4), pages 39-56.
  4. Kim, In-Moo & Loungani, Prakash, 1992. "The role of energy in real business cycle models," Journal of Monetary Economics, Elsevier, Elsevier, vol. 29(2), pages 173-189, April.
  5. Francesco Ravazzolo & Philip Rothman, 2010. "Oil and US GDP: A real-time out-of-sample examination," Working Paper, Norges Bank 2010/18, Norges Bank.
  6. Kristie M. Engemann & Kevin L. Kliesen & Michael T. Owyang, 2010. "Do oil shocks drive business cycles? some U.S. and international evidence," Working Papers, Federal Reserve Bank of St. Louis 2010-007, Federal Reserve Bank of St. Louis.
  7. Davis, Steven J., 1987. "Fluctuations in the pace of labor reallocation," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 27(1), pages 335-402, January.
  8. Herrera, Ana María & Lagalo, Latika Gupta & Wada, Tatsuma, 2011. "Oil Price Shocks And Industrial Production: Is The Relationship Linear?," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 15(S3), pages 472-497, November.
  9. Valerie A. Ramey & Daniel J. Vine, 2010. "Oil, Automobiles, and the U.S. Economy: How Much have Things Really Changed?," NBER Working Papers 16067, National Bureau of Economic Research, Inc.
  10. Juncal Cuñado & Fernando Pérez de Gracia, 2001. "Do oil price shocks matter? Evidence for some European countries," Working Papers, Asociación Española de Economía y Finanzas Internacionales 01-02, Asociación Española de Economía y Finanzas Internacionales.
  11. James D. Hamilton, 2000. "What is an Oil Shock?," NBER Working Papers 7755, National Bureau of Economic Research, Inc.
  12. Edelstein, Paul & Kilian, Lutz, 2009. "How sensitive are consumer expenditures to retail energy prices?," Journal of Monetary Economics, Elsevier, Elsevier, vol. 56(6), pages 766-779, September.
  13. Lutz Kilian & Robert J. Vigfusson, 2011. "Are the responses of the U.S. economy asymmetric in energy price increases and decreases?," Quantitative Economics, Econometric Society, Econometric Society, vol. 2(3), pages 419-453, November.
  14. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, Elsevier, vol. 74(1), pages 119-147, September.
  15. Loungani, Prakash, 1986. "Oil Price Shocks and the Dispersion Hypothesis," The Review of Economics and Statistics, MIT Press, vol. 68(3), pages 536-39, August.
  16. Nathan S. Balke & Stephen P.A. Brown & Mine K. Yucel, 2002. "Oil Price Shocks and the U.S. Economy: Where Does the Asymmetry Originate?," The Energy Journal, International Association for Energy Economics, International Association for Energy Economics, vol. 0(Number 3), pages 27-52.
  17. Bresnahan, Timothy F & Ramey, Valerie A, 1993. "Segment Shifts and Capacity Utilization in the U.S. Automobile Industry," American Economic Review, American Economic Association, American Economic Association, vol. 83(2), pages 213-18, May.
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