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The Effects of Oil Price Changes on the Industry-Level Production and Prices in the U.S. and Japan

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Listed:
  • Ichiro Fukunaga
  • Naohisa Hirakata
  • Nao Sudo

Abstract

In this paper, we decompose oil price changes into their component parts following Kilian (2009) and estimate the dynamic effects of each component on industry-level production and prices in the U.S. and Japan using identified VAR models. The way oil price changes affect each industry depends on what kind of underlying shock drives oil price changes as well as on industry characteristics. Unexpected disruptions of oil supply act mainly as negative supply shocks for oil-intensive industries and act mainly as negative demand shocks for less oil-intensive industries. For most industries in the U.S., shocks to the global demand for all industrial commodities act mainly as positive demand shocks, and demand shocks that are specific to the global oil market act mainly as negative supply shocks. In Japan, the oil-specific demand shocks as well as the global demand shocks act mainly as positive demand shocks for many industries.

Suggested Citation

  • Ichiro Fukunaga & Naohisa Hirakata & Nao Sudo, 2010. "The Effects of Oil Price Changes on the Industry-Level Production and Prices in the U.S. and Japan," NBER Working Papers 15791, National Bureau of Economic Research, Inc.
  • Handle: RePEc:nbr:nberwo:15791
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    References listed on IDEAS

    as
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    Citations

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    Cited by:

    1. Abhay Abhyankar, Bing Xu, and Jiayue Wang, 2013. "Oil Price Shocks and the Stock Market: Evidence from Japan," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
    2. Lee, Kiseok & Kang, Wensheng & Ratti, Ronald A., 2011. "Oil Price Shocks, Firm Uncertainty, And Investment," Macroeconomic Dynamics, Cambridge University Press, vol. 15(S3), pages 416-436, November.
    3. Vu, Tuan Khai & Nakata, Hayato, 2014. "The Macroeconomic Effects of Oil Price Fluctuations in ASEAN Countries: Analysis Using a VAR with Block Exogeneity," Discussion Paper Series 619, Institute of Economic Research, Hitotsubashi University.
    4. Castro, César & Jiménez-Rodríguez, Rebeca, 2017. "Oil price pass-through along the price chain in the euro area," Energy Economics, Elsevier, vol. 64(C), pages 24-30.
    5. repec:eee:eneeco:v:67:y:2017:i:c:p:83-90 is not listed on IDEAS
    6. Rigoberto Ariel Yépez-García & Luis San Vicente Portes & Luis Enrique García, 2013. "Planning for Higher Oil Prices : Power Sector Impact in Latin America and the Caribbean," World Bank Other Operational Studies 17547, The World Bank.
    7. Knop, Stephen J. & Vespignani, Joaquin L., 2014. "The sectorial impact of commodity price shocks in Australia," Economic Modelling, Elsevier, vol. 42(C), pages 257-271.
    8. Elstner, Steffen, 2012. "Uncertainty, heterogeneous expectation errors and economic activity: evidence from business survey data," Munich Dissertations in Economics 14037, University of Munich, Department of Economics.
    9. repec:asi:eneclt:2016:p:30-41 is not listed on IDEAS
    10. Kai Carstensen & Steffen Elstner & Georg Paula, 2011. "How Strongly Did the 2007/08 Oil Price Hike Contribute to the Subsequent Recession?," CESifo Working Paper Series 3357, CESifo Group Munich.
    11. Kilian, Lutz, 2010. "Oil price volatility: Origins and effects," WTO Staff Working Papers ERSD-2010-02, World Trade Organization (WTO), Economic Research and Statistics Division.
    12. Yukino Sakashita & Yasunori Yoshizaki, 2016. "The Effects of Oil Price Shocks on IIP and CPI in Emerging Countries," Economies, MDPI, Open Access Journal, vol. 4(4), pages 1-9, September.
    13. H. Rajesh Acharya & C. Anver Sadath, 2016. "Energy Price Uncertainty and Investment: Firm Level Evidence from Indian Manufacturing Sector," International Journal of Energy Economics and Policy, Econjournals, vol. 6(3), pages 364-373.
    14. Nagmi M. Moftah Aimer, 2016. "The Effects of Oil Price Volatility on the Economic Sectors of Libya," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, vol. 6(12), pages 13-24, December.
    15. Rigoberto Ariel Yépez-Garcia & Julie Dana, 2012. "Mitigating Vulnerability to High and Volatile Oil Prices : Power Sector Experience in Latin America and the Caribbean," World Bank Publications, The World Bank, number 9341, July.
    16. Paula, Georg, 2011. "Three Empirical Essays in Economics Using Firm Level Panel Data," Munich Dissertations in Economics 13839, University of Munich, Department of Economics.
    17. Sadath, Anver C. & Acharya, Rajesh H., 2015. "Effects of energy price rise on investment: Firm level evidence from Indian manufacturing sector," Energy Economics, Elsevier, vol. 49(C), pages 516-522.
    18. Valcarcel, Victor J. & Wohar, Mark E., 2013. "Changes in the oil price-inflation pass-through," Journal of Economics and Business, Elsevier, vol. 68(C), pages 24-42.

    More about this item

    JEL classification:

    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)

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