Euro area, oil and global shocks: An empirical model-based analysis

Forni, Lorenzo; Gerali, Andrea; Notarpietro, Alessandro; Pisani, Massimiliano

doi:10.1016/j.jmacro.2015.09.010

Cited by 17 publications

(18 citation statements)

References 18 publications

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“…The persistence parameters of shocks are denoted by parameters r. Their values are mostly estimated to be between 0.65 and 0.8. While non of the shocks is excessively persistent, but are in-line with the existing literature (for example Forni et al, 2015;Smets and Wouters, 2003). The elasticities of substitution between oil and non-oil products, n OC , and factors, n OL , as expected exhibit low values, suggesting that oil is very inelastic.…”

Section: Estimation and Resultssupporting

confidence: 87%

“…At the same time the inflation increases marginally as it mostly depends on the weight of oil goods in the inflation basket. Comparing the impulse responses of the oil shock to the existing literature, it closely matches the responses to a negative oil shock done by Forni et al (2015) as they estimated the effect of the oil shock to the euro area economy. The excise duty tax rate on oil products immediately decreases as the government acts counter-cyclically to the dynamics of global oil prices.…”

Section: Source: Author's Calculationssupporting

confidence: 69%

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Oil Shocks and the Excise Duty Tax in a DSGE Model Setting

Lenarčič

2018

Zagreb International Review of Economics and Business

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This paper sets up a small open economy general equilibrium model operating in a monetary union. Exogenous oil shocks that hit the modelled economy are alleviated by introducing a pro-cyclical excise duty tax rule on oil prices. It provides a model-based theoretical background for studying a fiscal response of curbing the negative effects of volatile global oil prices on inflation. Against this backdrop, we estimate the key parameters of the DSGE model and simulate different responses of the fiscal policy tax rule, based on different values of the responsiveness of the excise duty parameter.

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Section: Estimation and Resultssupporting

confidence: 87%

Section: Source: Author's Calculationssupporting

confidence: 69%

Oil Shocks and the Excise Duty Tax in a DSGE Model Setting

Lenarčič

2018

Zagreb International Review of Economics and Business

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“…Equally, noted that oil price shocks and raising oil prices seem to slow down economic activity. On the other hand, other researchers argue that current and future supply and demand levels play an important role (Zhang and Wang 2013;Forni et al 2015). These authors noted that it is not an easy task to estimate future demand and supply levels when market conditions are uncertain and affected by frequent oil price changes.…”

Section: Lead-lag Relationshipmentioning

confidence: 99%

The Lead–Lag Relationship between Oil Futures and Spot Prices—A Literature Review

Zavadska

Morales

Coughlan

2018

IJFS

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Crude oil is the dominant energy resource worldwide. The focus of this paper is on its historical behaviour and subsequent implications for the global economy with an emphasis on the lead–lag relationship between spot and future prices. The paper examines the behaviour of oil spot and future prices and their determinants during periods of market uncertainty, particularly in the context of economic and financial crises. The analysis highlights a key controversy within the extant literature, as to whether spot or futures prices are the main crude oil price indicator. The literature review indicates that the lead–lag relationship is a dynamic one, especially during periods of sustained uncertainty, which leads to significant disagreements and incongruities among researchers regarding the price that plays a dominant role.

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“…In an experiment by Jacquinot et al (2009) and Nakov & Pescatori (2010a), they showed that different types of oil shocks engender distinct monetary policy reactions. A number of studies have also employed Bayesian estimation techniques to identify the sources of oil price shocks and to analyze its economic effects (Nakov and Pescatori, 2010b;Balke et al, 2010;Bodenstein and Guerrieri, 2011;Forni et al, 2012).…”

Section: Introductionmentioning

confidence: 99%