Measuring Oil-Price Shocks Using Market-Based Information
Title | Measuring Oil-Price Shocks Using Market-Based Information PDF eBook |
Author | Tao Wu |
Publisher | DIANE Publishing |
Pages | 41 |
Release | 2010-10 |
Genre | Technology & Engineering |
ISBN | 1437935583 |
The authors study the effects of oil-price shocks on the U.S economy combining narrative and quantitative approaches. After examining daily oil-related events since 1984, they classify them into various event types. They then develop measures of exogenous shocks that avoid endogeneity and predictability concerns. Estimation results indicate that oil-price shocks have had substantial and statistically significant effects during the last 25 years. In contrast, traditional vector auto-regression (VAR) approaches imply much weaker and insignificant effects for the same period. This discrepancy stems from the inability of VARs to separate exogenous oil-supply shocks from endogenous oil-price fluctuations driven by changes in oil demand. Illustrations.
Measuring Oil-Price Shocks Using Market-Based Information
Title | Measuring Oil-Price Shocks Using Market-Based Information PDF eBook |
Author | Tao Wu |
Publisher | |
Pages | 42 |
Release | 2015 |
Genre | |
ISBN |
We study the effects of oil-price shocks on the U.S. economy combining narrative and quantitative approaches. After examining daily oil-related events since 1984, we classify them into various event types. We then develop measures of exogenous shocks that avoid endogeneity and predictability concerns. Estimation results indicate that oil-price shocks have had substantial and statistically significant effects during the last 25 years. In contrast, traditional VAR approaches imply much weaker and insignificant effects for the same period. This discrepancy stems from the inability of VARs to separate exogenous oil-supply shocks from endogenous oil-price fluctuations driven by changes in oil demand.
International Dimensions of Monetary Policy
Title | International Dimensions of Monetary Policy PDF eBook |
Author | Jordi Galí |
Publisher | University of Chicago Press |
Pages | 663 |
Release | 2010-03-15 |
Genre | Business & Economics |
ISBN | 0226278875 |
United States monetary policy has traditionally been modeled under the assumption that the domestic economy is immune to international factors and exogenous shocks. Such an assumption is increasingly unrealistic in the age of integrated capital markets, tightened links between national economies, and reduced trading costs. International Dimensions of Monetary Policy brings together fresh research to address the repercussions of the continuing evolution toward globalization for the conduct of monetary policy. In this comprehensive book, the authors examine the real and potential effects of increased openness and exposure to international economic dynamics from a variety of perspectives. Their findings reveal that central banks continue to influence decisively domestic economic outcomes—even inflation—suggesting that international factors may have a limited role in national performance. International Dimensions of Monetary Policy will lead the way in analyzing monetary policy measures in complex economies.
Oil Price Shocks, Market Response, and Contingency Planning
Title | Oil Price Shocks, Market Response, and Contingency Planning PDF eBook |
Author | George Horwich |
Publisher | American Enterprise Institute |
Pages | 248 |
Release | 1984 |
Genre | Business & Economics |
ISBN |
Transitory and Permanent Shocks in the Global Market for Crude Oil
Title | Transitory and Permanent Shocks in the Global Market for Crude Oil PDF eBook |
Author | Mr.Nooman Rebei |
Publisher | International Monetary Fund |
Pages | 41 |
Release | 2020-02-28 |
Genre | Business & Economics |
ISBN | 1513528602 |
This paper documents the determinants of real oil price in the global market based on SVAR model embedding transitory and permanent shocks on oil demand and supply as well as speculative disturbances. We find evidence of significant differences in the propagation mechanisms of transitory versus permanent shocks, pointing to the importance of disentangling their distinct effects. Permanent supply disruptions turn out to be a bigger factor in historical oil price movements during the most recent decades, while speculative shocks became less influential.
On the Sources and Consequences of Oil Price Shocks
Title | On the Sources and Consequences of Oil Price Shocks PDF eBook |
Author | Deren Unalmis |
Publisher | International Monetary Fund |
Pages | 41 |
Release | 2012-11-08 |
Genre | Business & Economics |
ISBN | 1475598432 |
Building on recent work on the role of speculation and inventories in oil markets, we embed a competitive oil storage model within a DSGE model of the U.S. economy. This enables us to formally analyze the impact of a (speculative) storage demand shock and to assess how the effects of various demand and supply shocks change in the presence of oil storage facility. We find that business-cycle driven oil demand shocks are the most important drivers of U.S. oil price fluctuations during 1982-2007. Disregarding the storage facility in the model causes a considerable upward bias in the estimated role of oil supply shocks in driving oil price fluctuations. Our results also confirm that a change in the composition of shocks helps explain the resilience of the macroeconomic environment to the oil price surge after 2003. Finally, speculative storage is shown to have a mitigating or amplifying role depending on the nature of the shock.
The Distributional Implications of the Impact of Fuel Price Increases on Inflation
Title | The Distributional Implications of the Impact of Fuel Price Increases on Inflation PDF eBook |
Author | Mr. Kangni R Kpodar |
Publisher | International Monetary Fund |
Pages | 34 |
Release | 2021-11-12 |
Genre | Business & Economics |
ISBN | 1616356154 |
This paper investigates the response of consumer price inflation to changes in domestic fuel prices, looking at the different categories of the overall consumer price index (CPI). We then combine household survey data with the CPI components to construct a CPI index for the poorest and richest income quintiles with the view to assess the distributional impact of the pass-through. To undertake this analysis, the paper provides an update to the Global Monthly Retail Fuel Price Database, expanding the product coverage to premium and regular fuels, the time dimension to December 2020, and the sample to 190 countries. Three key findings stand out. First, the response of inflation to gasoline price shocks is smaller, but more persistent and broad-based in developing economies than in advanced economies. Second, we show that past studies using crude oil prices instead of retail fuel prices to estimate the pass-through to inflation significantly underestimate it. Third, while the purchasing power of all households declines as fuel prices increase, the distributional impact is progressive. But the progressivity phases out within 6 months after the shock in advanced economies, whereas it persists beyond a year in developing countries.