The DOI matches its Crossref record; 25 of the 25 references it cites were found in a registry or an index.
Oil Shocks and the Macroeconomy: The Role of Price Variability*
Abstract
In this paper we argue that an oil price change is likely to have greater impact on real GNP in an environment where oil prices have been stable, than in an environment where oil price movement has been frequent and erratic. An oil price shock variable reflecting both the unanticipated component and the time-varying conditional variance of oil price change (forecasts) is constructed and found to be highly significant in explaining economic growth across different sample periods, even when matched against various economic variables and other functions of oil price. We find that positive normalized shocks have a powerful effect on growth while negative normalized shocks do not.
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Citations
Cites
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Newey, W. K., & West, K. D. (1987) · Econometrica · doi:10.2307/1913610 · Cited by 16,936
Filders, R. (1992) · International Journal of Forecasting · doi:10.1016/0169-2070(92)90130-2 · Cited by 16,165
A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
Newey, W., & West, K. (1986) · National Bureau of Economic Research · doi:10.3386/t0055 · Cited by 12,278
Moffitt, R. A. (2009) · American Economic Review · doi:10.1257/aer.99.2.660 · Cited by 4,694
Bollerslev, T., Chou, R. Y., & Kroner, K. F. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90064-x · Cited by 4,270
Oil and the Macroeconomy since World War II
Hamilton, J. D. (1983) · Journal of Political Economy · doi:10.1086/261140 · Cited by 3,786
A Capital Asset Pricing Model with Time-Varying Covariances
Bollerslev, T., Engle, R. F., & Wooldridge, J. M. (1988) · Journal of Political Economy · doi:10.1086/261527 · Cited by 3,138
The federal funds rate and the channels of monetary transmissionPreprint
Bernanke, B., & Blinder, A. S. (1989) · RePEc: Research Papers in Economics · Cited by 2,833
Cited by
Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: A Comment
Hamilton, J. D., & Herrera, A. M. (2004) · Journal of Money, Credit, and Banking · doi:10.1353/mcb.2004.0012 · Cited by 734
Crude oil and stock markets: Stability, instability, and bubbles
Miller, J. I., & Ratti, R. A. (2009) · Energy Economics · doi:10.1016/j.eneco.2009.01.009 · Cited by 658
Self-citationKilian, L., & Vigfusson, R. J. (2011) · Quantitative Economics · doi:10.3982/qe99 · Cited by 572
On the dynamic effects of oil price shocks: a study using industry level data
Lee, K., & Ni, S. (2002) · Journal of Monetary Economics · doi:10.1016/s0304-3932(02)00114-9 · Cited by 560
Self-citationDo oil price shocks matter? Evidence for some European countries
Cuñado, J., & Pérez de Gracia, F. (2003) · Energy Economics · doi:10.1016/s0140-9883(02)00099-3 · Cited by 466
Metadata
- Authors
- Lee, K., Ni, S., & Ratti, R. A.
- Venue
- The Energy Journal
- Publisher
- SAGE Publications
- Published
- 1995-10
- Volume
- 16
- Issue
- 4
- Pages
- 39-56
- ISSN
- 0195-6574 (ISSN-L)
- 1944-9089
- OpenAlex
- W2015244104
- Cited by
- 911
- References
- 25
- FWCI
- 10.11
- Type
- journal article
- Language
- en
- Open access
- closed
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- Lee, K., Ni, S., & Ratti, R. A. (1995). Oil Shocks and the Macroeconomy: The Role of Price Variability*. The Energy Journal. https://doi.org/10.5547/issn0195-6574-ej-vol16-no4-2
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
