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Efectos del incremento del precio del petróleo en la economía española: Análisis de cointegración y de la política monetaria mediante reglas de Taylor
[Oil price shocks and the spanish economy: Cointegration analysis and monetary policy under Taylor rules]

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  • Hernandez Martinez, Fernando

Abstract

The main purpose of this paper is to show evidence about the negative impact of oil price shocks in the economy of Spain. Since oil demand is continuously increasing all around the world and OPEC countries use to act having certain power to raise them, it is necessary to study how these price levels affect to inflation rate and output growth. Oil prices, inflation and interest rates and Gross Domestic Product historical data are collected for contegration analysis. Forward-looking and Backward-looking Taylor Rules are also estimated to compare their trend with respect to official interest rates and finally conclude if the European Central Banks takes these rules patterns into account.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 18056.

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Date of creation: Feb 2009
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Handle: RePEc:pra:mprapa:18056

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Keywords: Oil prices; interest rates; inflation; Gross Direct Product; cointegration; Taylor rules;

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  1. Sánchez, Marcelo, 2008. "Oil shocks and endogenous markups: results from an estimated euro area DSGE model," Working Paper Series 0860, European Central Bank.
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  4. Ben S. Bernanke & Mark Gertler & Mark Watson, 1997. "Systematic Monetary Policy and the Effects of Oil Price Shocks," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 28(1), pages 91-157.
  5. Herrera, Ana María & Pesavento, Elena, 2009. "Oil Price Shocks, Systematic Monetary Policy, And The “Great Moderation”," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 13(01), pages 107-137, February.
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  14. Kydland, Finn E & Prescott, Edward C, 1977. "Rules Rather Than Discretion: The Inconsistency of Optimal Plans," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 85(3), pages 473-91, June.
  15. John B. Taylor, 1995. "The monetary transmission mechanism: an empirical framework," Working Papers in Applied Economic Theory 95-07, Federal Reserve Bank of San Francisco.
  16. Bernanke, Ben S & Gertler, Mark & Watson, Mark W, 2004. "Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: Reply," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 36(2), pages 287-91, April.
  17. Juan Pablo Medina & Claudio Soto, 2005. "Oil Shocks and Monetary Policy in an Estimated DSGE Model for a Small Open Economy," Working Papers Central Bank of Chile 353, Central Bank of Chile.
  18. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 49(4), pages 1057-72, June.
  19. Mark W. French, 2001. "Estimating changes in trend growth of total factor productivity: Kalman and H-P filters versus a Markov-switching framework," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2001-44, Board of Governors of the Federal Reserve System (U.S.).
  20. Herrera, Ana Maria & Hamilton, James D., 2001. "Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy," University of California at San Diego, Economics Working Paper Series qt4qp0p0v5, Department of Economics, UC San Diego.
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