Monetary Policy Trade‐Offs with a Dominant Oil Producer

Nákov, Antón; Pescatori, Andrea

doi:10.1111/j.1538-4616.2009.00276.x

Cited by 58 publications

(35 citation statements)

References 37 publications

(42 reference statements)

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“…23 Our assumption greatly simplies the oil mark-up function. The numerical simulation of the model with this approximated oil mark-up matches closely the original Nakov and Pescatori (2010b) …”

supporting

confidence: 59%

Practical Tools for Policy Analysis in DSGE Models with Missing Channels

2012

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In this paper we analyze the propagation of shocks originating in sectors that are not present in a baseline dynamic stochastic general equilibrium (DSGE) model. Specifically, we proxy the missing sector through a small set of factors, that feed into the structural shocks of the DSGE model to create correlated disturbances. We estimate the factor structure by matching impulse responses of the augmented DSGE model to those generated by an auxiliary model. We apply this methodology to track the eects of oil shocks and housing demand shocks in models without energy and housing sectors.JEL Classication: C51, C53.

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confidence: 59%

Practical Tools for Policy Analysis in DSGE Models with Missing Channels

2012

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“…26 The CPI inflation increases on impact, up to almost 0.2 annualized percentage points, and then quickly falls. The initial increase is mainly driven by its fuel component, as the pass-through of the price of oil into the price of fuel is quick and complete.…”

Section: Oil Supply Shockmentioning

confidence: 99%

“…The real exchange rate depreciation, necessary to guarantee the equilibrium in the goods and bonds' markets, generates a negative wealth effect whose size depends, among 26 All figures in this section report the mean (solid line) and the 95 percent equal-tail uncertainty bands. The results are based on 5,000 draws from the posterior distribution of the model's parameters.…”

Section: Oil Supply Shockmentioning

confidence: 99%

Euro Area and Global Oil Shocks: An Empirical Model-Based Analysis

et al. 2012

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We assess the impact of oil shocks on euro-area macroeconomic variables by estimating a new-Keynesian small open economy model with Bayesian methods. Oil price is determined according to supply and demand conditions in the world oil market. We find that the impact of an increase in the price of oil depends upon the underlying sources of variation: when the driver of higher oil prices is an increase in the rest of the world's aggregate demand, both euro-area GDP and CPI inflation increase, whereas negative oil supply shocks and positive worldwide oil-specific demand shocks have stagflationary effects on the euro-area economy. Moreover, the increase in oil prices during the 2004-2008 period did not induce stagflationary effects on the euro-area economy because it was associated with positive aggregate demand shocks in the rest of the world. Similarly, a drop in world aggregate demand helps to explain the recent (2008) simultaneous drop in oil prices, euroarea GDP and inflation -particularly its fuel component.JEL Classification: C11, C51, E32, F41.

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“…Similar to Nakov and Pescatori (2010a), the dominant producer acts as a monopolist supplier of the residual oil demand, picking pro…t maximizing points on its residual demand curve. We add further realism by allowing for capital accumulation by oil producers subject to investment adjustment costs.…”

Section: Introductionmentioning

confidence: 99%

Oilgopoly: A General Equilibrium Model of the Oil-Macroeconomy Nexus

Nákov

Nuño²

2009

SSRN Journal

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Saudi Arabia is the largest player in the world oil market. It maintains ample spare capacity, restricts investment in developing reserves, and its output is negatively correlated with other OPEC producers. While this behavior does not …t into the perfect competition paradigm, we show that it can be rationalized as that of a dominant producer with competitive fringe. We build a quantitative general equilibrium model along these lines which is capable of matching the historical volatility of the oil price, competitive and non-competitive oil output, and of generating the observed comovement among the oil price, oil quantities, and U.S. GDP.We use our framework to answer questions on which available models are silent: (1) What are the proximate determinants of the oil price and how do they vary over the cycle? (2) How large are oil pro…ts and what losses do they imply for oil-importers? (3) What do di¤erent fundamental shocks imply for the comovement of oil prices and GDP? (4) What are the general equilibrium e¤ects of taxes on oil consumption or oil production? We …nd, in particular, that the existence of an oil production distortion does not necessarily justify an oil consumption tax di¤erent from zero.

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Monetary Policy Trade‐Offs with a Dominant Oil Producer

Cited by 58 publications

References 37 publications

Practical Tools for Policy Analysis in DSGE Models with Missing Channels

Practical Tools for Policy Analysis in DSGE Models with Missing Channels

Euro Area and Global Oil Shocks: An Empirical Model-Based Analysis

Oilgopoly: A General Equilibrium Model of the Oil-Macroeconomy Nexus

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