Journal ArticleDOI
Oil and the Macroeconomy since World War II
TLDR
The authors found that all but one of the U.S. recessions since World War II have been preceded, typically with a lag of around three-fourths of a year, by a dramatic increase in the price of crude petroleum.Abstract:
All but one of the U.S. recessions since World War II have been preceded, typically with a lag of around three-fourths of a year, by a dramatic increase in the price of crude petroleum. This does not mean that oil shocks caused these recessions. Evidence is presented, however, that even over the period 1948-72 this correlation is statistically significant and nonspurious, supporting the proposition that oil shocks were a contributing factor in at least some of the U.S. recessions prior to 1972. By extension, energy price increases may account for much of post-OPEC macroeconomic performance.read more
Citations
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Monetary policy rules and macroeconomic stability: Evidence and some theory
TL;DR: In this article, the authors estimate a forward-looking monetary policy reaction function for the postwar United States economy, before and after Volcker's appointment as Fed Chairman in 1979, and compare some of the implications of the estimated rules for the equilibrium properties of ineation and output, using a simple macroeconomic model.
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The Macroeconomic Effects of Tax Changes: Estimates Based on a New Measure of Fiscal Shocks
TL;DR: This paper investigated the impact of tax changes on economic activity and found that tax increases are highly contractionary and that the behavior of output following these more exogenous changes indicates that the effects of tax increases were strongly significant, highly robust, and much larger than those obtained using broader measures of tax change.
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Oil price shocks and stock market activity
TL;DR: This article found that after 1986, oil price movements explained a larger fraction of the forecast error variance in real stock returns than do interest rates, and that oil price volatility shocks have asymmetric effects on the economy.
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This is what happened to the oil price-macroeconomy relationship
TL;DR: Many of the quarterly oil price increases observed since 1985 are corrections to even bigger oil price decreases the previous quarter as mentioned in this paper, and when one looks at the net increase in oil prices over the year, recent data are consistent with the historical correlation between oil shocks and recessions.
Posted Content
What is an Oil Shock
TL;DR: This paper used a flexible approach to characterize the nonlinear relation between oil price changes and GDP growth and reported clear evidence of nonlinearity, consistent with earlier claims in the literature that oil price increases are much more important than oil price decreases, and increases have significantly less predictive content if they simply correct earlier decreases.
References
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Investigating Causal Relations by Econometric Models and Cross-Spectral Methods
TL;DR: In this article, the cross spectrum between two variables can be decomposed into two parts, each relating to a single causal arm of a feedback situation, and measures of causal lag and causal strength can then be constructed.
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Macroeconomics and reality
TL;DR: In this article, the authors argue that the style in which their builders construct claims for a connection between these models and reality is inappropriate, to the point at which claims for identification in these models cannot be taken seriously.
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Tests of Equality Between Sets of Coefficients in Two Linear Regressions: An Expository Note
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Unanticipated Money Growth and Unemployment in the United States
TL;DR: In this article, Small raises a number of questions concerning my 1977 study of money growth and unemployment in the United States, and re-examination of the evidence indicates that his major criticisms are unfounded specifically, the estimated effects of monetary shocks on the unemployment rate are robust to his suggested changes in specification.
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Comparing alternative tests of causality in temporal systems
TL;DR: In this paper, the authors compared eight alternative tests of the absence of casual ordering, all of which are asymptotically valid under the null hypothesis in the sense that their limiting size is known.