The Effects of Oil Price Shocks on Job Reallocation

Herrera, Ana Maria Mantilla; Karaki, Mohamad B.

doi:10.2139/ssrn.2190575

Cited by 15 publications

(35 citation statements)

References 28 publications

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“…In this section, I compute the effect of typical (δ = 1 SD) and large (δ = 2 SD) oil price 4. See Herrera and Karaki (2015) and Herrera, Karaki, and Rangaraju (2017). Note also that the results are insensitive to ordering job creation before job destruction.…”

Section: Impulse Response Functions and Quantitative Effectsmentioning

confidence: 97%

“…where x t stands for the percentage change in oil prices, x # t refers to any of the two nonlinear transformation of oil prices defined in Section II, POS j, t is the job creation rate in state j, NEG j, t is the job destruction rate in state j, and ϵ t = [ϵ 1 , t , ϵ 2 , t, ϵ 3 , t ] is a vector of contemporaneously and serially uncorrelated innovations. 3 I follow Herrera and Karaki (2015) and impose the following identification restrictions. Oil prices 3.…”

Section: Modelmentioning

confidence: 99%

“…job reallocation, I implement the test for the absence of job reallocation by Herrera and Karaki (2015) where:…”

Section: Figurementioning

confidence: 99%

“…Fourth, while previous work by Davis and Haltiwanger (2001) and Herrera and Karaki (2015) have studied whether oil price shocks operate through costly sectoral reallocation channels, this paper investigates whether positive oil price shocks trigger significant reallocation of jobs across U.S. states. Investigating the transmission mechanism through which oil price shocks affect regional economies directly contributes to the literature interested in studying disparities and commonality of regional U.S. business cycles (see Engermann, Owyang, and Wall 2014;Hamilton and Owyang 2012;Karaki 2017).…”

Section: Introductionmentioning

confidence: 99%

“…Investigating the transmission mechanism through which oil price shocks affect regional economies directly contributes to the literature interested in studying disparities and commonality of regional U.S. business cycles (see Engermann, Owyang, and Wall 2014;Hamilton and Owyang 2012;Karaki 2017). To evaluate whether positive oil price shocks have a significant effect on job reallocation, I follow Herrera and Karaki (2015) and implement a test of the absence of job reallocation. I find no evidence against the null of the absence of job reallocation for a shock of 1 SD.…”

Section: Introductionmentioning

confidence: 99%

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Asymmetries in the Responses of Regional Job Flows to Oil Price Shocks

Karaki

2017

Economic Inquiry

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This paper studies the effect of oil price innovations on manufacturing job flows across U.S. states. First, I estimate a nonlinear structural equation model and compute impulse response functions by Monte Carlo integration. I find asymmetries in the responses of job flows to positive and negative oil price innovations. Yet, these asymmetries do not pass a test of symmetry on the impulse responses, especially after accounting for data mining. Third, I use a test for the absence of job reallocation to evaluate whether an unexpected increase in the real price of oil price triggers an important change in job reallocation. I find that oil price shocks have limited regional allocative effects. (JEL E24, E32, Q43)

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Section: Impulse Response Functions and Quantitative Effectsmentioning

confidence: 97%

Section: Modelmentioning

confidence: 99%

“…job reallocation, I implement the test for the absence of job reallocation by Herrera and Karaki (2015) where:…”

Section: Figurementioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Asymmetries in the Responses of Regional Job Flows to Oil Price Shocks

Karaki

2017

Economic Inquiry

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Large time‐varying parameter VARs: A nonparametric approach

Kapetanios

Marcellino

Venditti

2019

J of Applied Econometrics

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In this paper we introduce a non-parametric estimation method for a large Vector Autoregression (VAR) with time-varying parameters. The estimators and their asymptotic distributions are available in closed form. This makes the method computationally efficient and capable of handling information sets as large as those typically handled by factor models and Factor Augmented VARs (FAVAR). When applied to the problem of forecasting key macroeconomic variables, the method outperforms constant parameter benchmarks and large (parametric) Bayesian VARs with time-varying parameters. The tool can also be used for structural analysis. As an example, we study the time-varying effects of oil price innovations on sectoral U.S. industrial output. We find that durable consumer goods and durable materials (which together account for slightly more than one fifth of total industrial output) play a key role in explaining the changing interaction between unexpected oil price increases and U.S. business cycle fluctuations.

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Dynamic responses to oil price shocks: Conditional vs unconditional (a)symmetry

Malikov

2016

Economics Letters

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The impulse-response-function-based Wald test has been gaining wide popularity among researchers seeking to formally test for (a)symmetries in dynamic responses of various macroeconomic aggregates to oil price shocks. However, because the IRF-based Wald test is conditional on the magnitude of an oil price shock, it can sometimes prove to be impractical, especially when producing contrasting evidence for shocks of different sizes. To circumvent this problem, this paper suggests considering a nonparametric IRF-density-based test in addition to the Wald. The former allows the analysis of (a)symmetries in dynamic impulse responses to positive and negative oil price shocks of a wide range of magnitudes. The test permits inference about a general tendency of (a)symmetries in impulse responses as opposed to (a)symmetries pertinent to a shock of a given size only. The examined (a)symmetry is thus unconditional of the magnitude of a shock. Importantly, the testing procedure allows accounting for the relative likelihood of observing the disturbance of a given size.

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The Effects of Oil Price Shocks on Job Reallocation

Cited by 15 publications

References 28 publications

Asymmetries in the Responses of Regional Job Flows to Oil Price Shocks

Asymmetries in the Responses of Regional Job Flows to Oil Price Shocks

Large time‐varying parameter VARs: A nonparametric approach

Dynamic responses to oil price shocks: Conditional vs unconditional (a)symmetry

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