Oil price: the nature of the shocks and the impact on the French economy
Since the late 70s and the first two oil shocks, many economic studies have explored the link between changes in oil prices and global economic growth. However, the causes of the variations in oil price have changed over this period. Thus the impact of these shocks on the economy may also differ. Developing a structural VAR model and the bootstrap-after-bootstrap methodology, this paper offers to identify three types of exogenous shocks to explain the dynamic of the real price of oil. This study then analyzes the impact on the French economy of these three shocks by identifying the channels through which these effects transit with a VARX model integrating data on exports and interest rates. We find that the effects of an increase in the real price of oil, and the channels through which it affects the French economy, greatly differ depending on the nature of the shocks. The 80s were mostly dominated by oil supply shocks. Restricting oil production results in a significant decrease in the French Gross Domestic Product (GDP). The shock of the late 2000s can be explained by the development of global activity and the high demand for oil in emerging economies. A positive global activity shock causes a significant increase in French GDP, while the general price level is not impacted by the increase in oil prices.
|Date of creation:||2013|
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- Robert B. Barsky & Lutz Kilian, 2004.
"Oil and the Macroeconomy Since the 1970s,"
Journal of Economic Perspectives,
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- Barsky, Robert & Kilian, Lutz, 2004. "Oil and the Macroeconomy Since the 1970s," CEPR Discussion Papers 4496, C.E.P.R. Discussion Papers.
- Robert Barsky & Lutz Kilian, 2004. "Oil and the Macroeconomy Since the 1970s," NBER Working Papers 10855, National Bureau of Economic Research, Inc.
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- Kilian, Lutz & Chang, Pao-Li, 2000. "How accurate are confidence intervals for impulse responses in large VAR models?," Economics Letters, Elsevier, vol. 69(3), pages 299-307, December.
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- Peter C.B. Phillips, 1995. "Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's," Cowles Foundation Discussion Papers 1102, Cowles Foundation for Research in Economics, Yale University.
- Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," American Economic Review, American Economic Association, vol. 99(3), pages 1053-1069, June.
- Kilian, Lutz, 2006. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," CEPR Discussion Papers 5994, C.E.P.R. Discussion Papers.
- Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-144, January. Full references (including those not matched with items on IDEAS)
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