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The Shale Oil Boom and the U.S. Economy: Spillovers and Time-Varying Effects

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  • Hilde C. Bjørnland

    ()

  • Julia Zhulanova

    ()

Abstract

We analyze if the transmission of oil price shocks on the U.S. economy has changed as a result of the shale oil boom. To do so we allow for spillovers at the state level, as well as aggregate country level effects. We identify and quantify these spillovers using a factor-augmented vector autoregressive (VAR) model, allowing for time-varying changes. In contrast to previous results, we find considerable changes in the way oil price shocks are transmitted: there are now positive spillovers to non-oil investment, employment and production in many U.S. states from an increase in the oil price - effects that were not present before the shale oil boom.

Suggested Citation

  • Hilde C. Bjørnland & Julia Zhulanova, 2018. "The Shale Oil Boom and the U.S. Economy: Spillovers and Time-Varying Effects," Working Papers No 8/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  • Handle: RePEc:bny:wpaper:0066
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    Cited by:

    1. Hilde C. Bjørnland, 2019. "Supply flexibility in the shale patch: Facts, no fiction," Working Papers No 08/2019, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    2. Lutz Kilian & Xiaoqing Zhou, 2020. "The Econometrics of Oil Market VAR Models," CESifo Working Paper Series 8153, CESifo.
    3. Alqahtani Abdullah & Taillard Michael, 2019. "The Impact of US Economic Policy Uncertainty Shock on GCC Stock Market Performance," Asian Journal of Law and Economics, De Gruyter, vol. 10(2), pages 1-13, August.
    4. Bao H. NGUYEN & OKIMOTO Tatsuyoshi & Trung Duc TRAN, 2019. "Uncertainty-Dependent and Sign-Dependent Effects of Oil Market Shocks," Discussion papers 19042, Research Institute of Economy, Trade and Industry (RIETI).
    5. Ehouman, Yao Axel, 2020. "Volatility transmission between oil prices and banks' stock prices as a new source of instability: Lessons from the United States experience," Economic Modelling, Elsevier, vol. 91(C), pages 198-217.

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    More about this item

    Keywords

    Shale oil boom; FAVAR model; Time-varying changes; Geographical dispersion;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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