Macroeconomic Effects Of Monetary Policy And Oil Price Changes
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Macroeconomic Effects Of Monetary Policy And Oil Price Changes
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Author : Young Koo Lee
language : en
Publisher:
Release Date : 1996
Macroeconomic Effects Of Monetary Policy And Oil Price Changes written by Young Koo Lee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Macroeconomics categories.
This paper examines the relative importance between supply shocks and demand shocks. Examining the F-tests and variance decompositions of several candidate proxies, the federal funds rate and oil shocks dates are chosen as a proxy for monetary policy and oil price changes, respectively. Oil shocks dates variable has a stronger predictive power on real GNP growth than normalized oil shocks or normalized real oil price movements. The Federal funds rate has a stronger predictive power on real GNP growth than three-month Treasury bill rate or Romers dates. Results obtained from the reduced-form benchmark VAR system reveal that oil shocks account for 15-19 percent while the Federal funds rate accounts for 3-9 percent of the variance of the eight quarters ahead forecast errors of real GNP growth, for the sample period 1957:4-1995:2. The predictive power of oil shocks dates on real GNP growth is around twice larger than that of the Federal funds rate. Results of the structural benchmark VAR system, however, show that oil shocks account for 69.4 percent while the Federal funds rate accounts for 1.7 percent of the variance of the eight quarters ahead forecast errors of real GNP growth, for the sample period 1957:4-1995:2. Examining the structural VAR systems shows that the dynamic effects of labor or productivity shocks on outputs are roughly consistent with the Keynesian model in that increases in productivity or labor supply increase both output and unemployment in the short-run while Blanchard's (1989) results that a favorable supply shock brings the temporary decrease in output in the quarter. In conclusion, both oil (supply) shocks and monetary policy (demand) shocks have somewhat affected on the United States postwar economy. However, oil price shocks have affected business cycle fluctuations at least about twice more strongly than policy shocks. Moreover, the results obtained from the benchmark structural VAR show that oil price shocks have a very strong effect while monetary policy shocks have a negligible effect on real GNP growth after two quarters.
The Macroeconomic Effects Of Higher Oil Prices
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Author : Ben Hunt
language : en
Publisher:
Release Date : 2001
The Macroeconomic Effects Of Higher Oil Prices written by Ben Hunt and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Inflation (Finance) categories.
Monetary Policy And Crude Oil
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Author : Basil Oberholzer
language : en
Publisher: Edward Elgar Publishing
Release Date : 2017-07-28
Monetary Policy And Crude Oil written by Basil Oberholzer and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-07-28 with categories.
The global crude oil market is critically important in many respects. It is the fuel that drives the global economy and, as such, is the focus of climate policies. Moreover, crude oil is the basis of a tradable financial asset. It is therefore connected to several outstanding macroeconomic developments of recent years, including financial market fluctuations, the financial crisis and the exceptional conduct of monetary policy. This book investigates the impacts of monetary policy and the financial system on the global crude oil market. Furthermore, it outlines how monetary policy may also be used to guarantee stability and to contribute to ecological sustainability.
Monetary Policy And The Oil Market
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Author : Naoyuki Yoshino
language : en
Publisher: Springer
Release Date : 2016-03-04
Monetary Policy And The Oil Market written by Naoyuki Yoshino and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-03-04 with Business & Economics categories.
While oil price fluctuations in the past can be explained by pure supply factors, this book argues that it is monetary policy that plays a significant role in setting global oil prices. It is a key factor often neglected in much of the earlier literature on the determinants of asset prices, including oil prices. However, this book presents a framework for modeling oil prices while incorporating monetary policy. It also provides a complete theoretical basis of the determinants of crude oil prices and the transmission channels of oil shocks to the economy. Moreover, using several up-to-date surveys and examples from the real world, this book gives insight into the empirical side of energy economics. The empirical studies offer explanations for the impact of monetary policy on crude oil prices in different periods including during the subprime mortgage crisis of 2008–2009, the impact of oil price variations on developed and emerging economies, the effectiveness of monetary policy in the Japanese economy incorporating energy prices, and the macroeconomic impacts of oil price movements in trade-linked cases. This must-know information on energy economics is presented in a reader-friendly format without being overloaded with excessive and complicated calculations. enUsed="false" QFormat="true" Name="Subtle Emphasis"/>
International Dimensions Of Monetary Policy
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Author : Jordi Galí
language : en
Publisher: University of Chicago Press
Release Date : 2010-03-15
International Dimensions Of Monetary Policy written by Jordi Galí and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-03-15 with Business & Economics categories.
United States monetary policy has traditionally been modeled under the assumption that the domestic economy is immune to international factors and exogenous shocks. Such an assumption is increasingly unrealistic in the age of integrated capital markets, tightened links between national economies, and reduced trading costs. International Dimensions of Monetary Policy brings together fresh research to address the repercussions of the continuing evolution toward globalization for the conduct of monetary policy. In this comprehensive book, the authors examine the real and potential effects of increased openness and exposure to international economic dynamics from a variety of perspectives. Their findings reveal that central banks continue to influence decisively domestic economic outcomes—even inflation—suggesting that international factors may have a limited role in national performance. International Dimensions of Monetary Policy will lead the way in analyzing monetary policy measures in complex economies.
On The Sources Of Oil Price Fluctuations
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Author : Deren Unalmis
language : en
Publisher: International Monetary Fund
Release Date : 2009-12-01
On The Sources Of Oil Price Fluctuations written by Deren Unalmis and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-12-01 with Business & Economics categories.
Analyzing macroeconomic impacts of oil price changes requires first to investigate different sources of these changes and their distinct effects. Kilian (2009) analyzes the effects of an oil supply shock, an aggregate demand shock, and a precautionary oil demand shock. The paper's aim is to model macroeconomic consequences of these shocks within a new Keynesian DSGE framework. It models a small open economy and the rest of the world together to discover both accompanying effects of oil price changes and their international transmission mechanisms. Our results indicate that different sources of oil price fluctuations bring remarkably diverse outcomes for both economies.
Measuring Oil Price Shocks Using Market Based Information
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Author : Tao Wu
language : en
Publisher: DIANE Publishing
Release Date : 2010-10
Measuring Oil Price Shocks Using Market Based Information written by Tao Wu and has been published by DIANE Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-10 with Technology & Engineering categories.
The authors study the effects of oil-price shocks on the U.S economy combining narrative and quantitative approaches. After examining daily oil-related events since 1984, they classify them into various event types. They then develop measures of exogenous shocks that avoid endogeneity and predictability concerns. Estimation results indicate that oil-price shocks have had substantial and statistically significant effects during the last 25 years. In contrast, traditional vector auto-regression (VAR) approaches imply much weaker and insignificant effects for the same period. This discrepancy stems from the inability of VARs to separate exogenous oil-supply shocks from endogenous oil-price fluctuations driven by changes in oil demand. Illustrations.
Monetary Policy Response To Oil Price Shocks
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Author : Jean-Marc Natal
language : en
Publisher: DIANE Publishing
Release Date : 2010
Monetary Policy Response To Oil Price Shocks written by Jean-Marc Natal and has been published by DIANE Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.
How should monetary authorities react to an oil price shock? A trade-off between stabilizing inflation and the welfare relevant output gap arises in a distorted economy once one recognizes: (1) that oil (energy) cannot be easily substituted by other factors in the short-run; (2) that there is no fiscal transfer available to policymakers to neutralize the steady-state distortion due to monopolistic competition; and (3) that increases in oil prices also directly affect consumption by raising the price of fuel, heating oil, and other energy sources. The author derives an interest rate feedback rule that mimics the optimal plan in all relevant dimensions but that depends only on observables, namely core inflation, oil price inflation, and the growth rate of output. Illus.
Macroeconomic Impacts Of Energy Shocks
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Author : H.G. Huntington
language : en
Publisher: Elsevier
Release Date : 2016-10-19
Macroeconomic Impacts Of Energy Shocks written by H.G. Huntington and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-10-19 with Business & Economics categories.
Large-scale macroeconomic models have been used extensively to analyze a wide range of important economic issues. They were originally developed to study the economy's response to monetary and fiscal policies. During the 1970s these models were expanded and revised to track the inflationary processes and to incorporate key energy variables so that they could be used to examine the impacts of energy price shocks.This study compares the responses of 14 prominent macroeconomic models to supply-side shocks in the form of sudden energy price increases or decreases and to policies for lessening the impacts of price jumps. Four energy price shocks were examined: oil price increases of 50 and 20 percent, an oil price reduction of 20 percent, and an 80 percent increase in domestic natural gas prices. Five policy responses were considered for offsetting the GNP impacts of the larger oil price increase: monetary accommodation, an income tax rate reduction, an increase in the investment tax credit for equipment, a reduction in the employer's payroll tax rate, and an oil stockpile release.The study was conducted by a working group comprised of about 40 modelers and potential model users from universities, business, and government. As in previous EMF studies, the group pursued two broad goals. Firstly, they sought to understand the models themselves by identifying important similarities as well as structural differences. Secondly, they sought to use the models to sharpen their understanding of energy shocks and of the related policy issues. Their conclusions appear as the first chapter in this volume, the remaining chapters providing more technical treatment of the key structural differences among the participating models as well as their use for evaluating energy policies.This volume is addressed particularly to those interested in the energy shock issue, as well as to those with a broader interest in macroeconomic models and policies.
Macroeconomic Effects Of Reforms On Three Diverse Oil Exporters Russia Saudi Arabia And The Uk
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Author : Samya Beidas-Strom
language : en
Publisher: International Monetary Fund
Release Date : 2019-10-11
Macroeconomic Effects Of Reforms On Three Diverse Oil Exporters Russia Saudi Arabia And The Uk written by Samya Beidas-Strom and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-10-11 with Business & Economics categories.
We build and estimate open economy two-bloc DSGE models to study the transmission and impact of shocks in Russia, Saudi Arabia and the United Kingdom. After accounting for country-specific fiscal and monetary sectors, we estimate their key policy and structural parameters. Our findings suggest that not only has output responded differently to shocks due to differing levels of diversification and structural and policy settings, but also the responses to fiscal consolidation differ: Russia would benefit from a smaller state foot-print, while in Saudi Arabia, unless this is accompanied by structural reforms that remove rigidities, output would fall. We also find that lower oil prices need not be bad news given more oil-intensive production structures. However, lower oil prices have hurt these oil producers as their public finances depend heavily on oil, among other factors. Productivity gains accompanied by ambitious structural reforms, along with fiscal and monetary reforms could support these economies to achieve better outcomes when oil prices fall, including via diversifying exports.