Oil and Macroeconomic (In)Stability

Bjørnland, Hilde C.; Larsen, Vegard H.; Maih, Junior

doi:10.1257/mac.20150171

Cited by 34 publications

(25 citation statements)

References 33 publications

(4 reference statements)

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“…It only has a negligibly negative impact on GDP, inflation and unemployment rate. Another research about the topic is the study by Bjørnland, Larsen, and Maih (2018), where they believe that the reduction of oil price volatility has the effect of stabilizing the American macro economy. The empirical results of Lorusso and Pieroni (2018) show that the impacts of oil price changes on the UK macroeconomic aggregate the dependence on different types of oil shocks.…”

Section: Literature Reviewmentioning

confidence: 99%

The impact of macro economy on the oil price volatility from the perspective of mixing frequency

2020

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In this paper, GARCH-MIDAS model is used to study the influence of macro economy, including the levels and volatilities of macroeconomic variables, on the price fluctuations of crude oil market during the period from 1990 to 2018.The results indicate that, for the levels of macroeconomic variables, economic growth, inflation and total export-import volume have significant negative impacts on oil fluctuations. However, exchange rate has a significant positive impact on oil volatility. And short-run interest rate does not have a significant effect on oil price volatility in most cases. In addition, the responses of oil price volatility to all five macroeconomic fluctuations are significant. More interestingly, the volatilities of economic growth and total import and export reduce oil price fluctuations during the pre-2004 period, but they increase oil price fluctuations during the post-2004 period.

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Section: Literature Reviewmentioning

confidence: 99%

The impact of macro economy on the oil price volatility from the perspective of mixing frequency

2020

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“…To do that, we set up a real business cycle dynamic stochastic general equilibrium (DSGE) model with a banking sector, mainly based on the endogenously determined banks' balance sheet constraints framework as in Gertler and Karadi (2011), and an oil sector that accounts for the different sources of oil price shocks, in line with Bjornland et al (2018). We incorporate a direct channel of oil price shocks in assuming that oil enters the production function as an intermediate input.…”

Section: Introductionmentioning

confidence: 99%

The US banks’ balance sheet transmission channel of oil price shocks

Gelain

Lorusso

2022

Working Paper (Federal Reserve Bank of Cleveland)

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We document the existence of a quantitative relevant banks' balance-sheet transmission channel of oil price shocks by estimating a dynamic stochastic general equilibrium model with banking and oil sectors. The associated amplification mechanism implies that those shocks explain a non-negligible share of US GDP growth fluctuations, up to 17 percent, instead of 6 percent absent the banking sector. Also, they mitigated the severity of the Great Recession’s trough. GDP growth would have been 2.48 percentage points more negative in 2008Q4 without the beneficial effect of low oil prices. The estimate without the banking sector is only 1.30 percentage points.

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“…Third, our TVP framework builds on a growing literature allowing for stochastic volatility when analysing the effect of oil price shocks (i) on the U.S. macroeconomy (e.g. Baumeister and Peersman (2013b) and Bjørnland et al (2018)), (ii) on the inflation passthrough (e.g. Clark and Terry (2010)), (iii) on the U.S. stock market (e.g.…”

Section: Introductionmentioning

confidence: 99%

The Shale Oil Boom and the US Economy: Spillovers and Time-Varying Effects

Bjørnland

Zhulanova

2019

SSRN Journal

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We analyze if the transmission of oil price shocks on the U.S. economy has changed with the shale oil boom. To do so, we put forward a framework that allows for spillovers between industries and learning by doing (LBD) over time. We identify these spillovers using a time-varying parameter factor-augmented vector autoregressive (VAR) model with both state level and country level data. In contrast to previous results, we find considerable changes in the way oil price shocks are transmitted to the U.S economy: there are now positive spillovers to non-oil investment, employment and production from an increase in the oil price-effects that were not present before the shale oil boom.

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Oil and Macroeconomic (In)Stability

Cited by 34 publications

References 33 publications

The impact of macro economy on the oil price volatility from the perspective of mixing frequency

The impact of macro economy on the oil price volatility from the perspective of mixing frequency

The US banks’ balance sheet transmission channel of oil price shocks

The Shale Oil Boom and the US Economy: Spillovers and Time-Varying Effects

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