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The effect of oil price shocks on economic activity: a local projections approach

Author

Listed:
  • Mirko Abbritti

    (Università degli Studi di Perugia)

  • Juan Equiza-Goñi

    (Universidad de Navarra)

  • Fernando Perez Gracia

    (Universidad de Navarra)

  • Tommaso Trani

    (Universidad de Navarra)

Abstract

We examine the impact of oil price shocks on four U.S. macroeconomic variables over the period January 1974 to August 2016. We use local projections and consider different linear and nonlinear model specifications. The results suggest that oil price shocks have a large and significant effect not only on production, interest rates and unemployment, but also on credit spreads. The magnitude of these effects depends on the level of the oil price before the occurrence of the shock.

Suggested Citation

  • Mirko Abbritti & Juan Equiza-Goñi & Fernando Perez Gracia & Tommaso Trani, 2020. "The effect of oil price shocks on economic activity: a local projections approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(4), pages 708-723, October.
    • Handle: RePEc:spr:jecfin:v:44:y:2020:i:4:d:10.1007_s12197-020-09512-w
    DOI: 10.1007/s12197-020-09512-w
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    More about this item

    Keywords

    Oil price shocks; Linear and nonlinear specifications; Local projections; Economic activity;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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