The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks
AbstractThis paper introduces a new model of structural breaks which assumes that structural breaks are driven by large economic shocks. The model specifies that both the timing and size of breaks are stochastic and it can be used to investigate the impact of large economic shocks on the stability of economic relationships. An application of the model to the oil-macroeconomy relationship has shown that the apparent instability of this relationship since the oil crisis in year 1973 can be attributed to large oil price shocks.
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Bibliographic InfoPaper provided by Queen Mary, University of London, School of Economics and Finance in its series Working Papers with number 524.
Date of creation: Oct 2004
Date of revision:
Structural breaks; State space model; Oil shocks;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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