The macroeconomic and financial effects of oil price shocks
The oil price shock is considered as a major contributor to economic fluctuation. In this paper, we investigate whether the impulse responses of different macroeconomic variables and financial variables to the oil price shock and the effect of interest rates change. And we also use Granger Causality Test to evaluate the correlation between oil prices, stock markets and gold prices. Estimation results based on the U.S. data suggest that: (i) The oil price shock has a significant impact on inflation, stock markets and gold prices and it also has a short-term impact on interest rates. (ii) Co-movement of oil prices, stock markets and gold prices exist. (iii) Changing interest rates as monetary policy can induce price puzzle in order to reduce the inflation caused by the oil price shock.
|Date of creation:||02 Nov 2012|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hooker, Mark A., 1996. "What happened to the oil price-macroeconomy relationship?," Journal of Monetary Economics, Elsevier, vol. 38(2), pages 195-213, October.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:43731. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)
If references are entirely missing, you can add them using this form.