文章基本信息

标题：The role of oil prices in the euro area economy since the 1970s
本地全文：下载
作者：Elke Hahn ; Ricardo Mestre
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2011
出版社：European Central Bank
摘要：This􀈱paper􀈱explores􀈱the􀈱role􀈱of􀈱oil􀈱prices􀈱in􀈱the􀈱euro􀈱area􀈱economy􀈱since􀈱the􀈱1970s􀈱by􀈱 applying􀈱a􀈱VAR􀈱framework􀈱with􀈱time􀈱varying􀈱parameters􀈱and􀈱stochastic􀈱volatility􀈱 in􀈱which􀈱oil􀈱supply􀈱and􀈱global􀈱demand􀈱shocks􀈱are􀈱identified.􀈱Our􀈱results􀈱show􀈱that􀈱 both􀈱types􀈱of􀈱shock􀈱contributed􀈱substantially􀈱to􀈱the􀈱oil􀈱price􀈱surges􀈱during􀈱historical􀈱 oil􀈱crises􀈱and􀈱likewise􀈱to􀈱those􀈱over􀈱the􀈱past􀈱decade.􀈱Counterfactual􀈱histories􀈱of􀈱the􀈱 price􀈱and􀈱activity􀈱variables,􀈱moreover,􀈱reveal􀈱much􀈱larger􀈱adverse􀈱contributions􀈱of􀈱 both􀈱 shocks􀈱 to􀈱HICP􀈱 inflation􀈱and􀈱GDP􀈱 in􀈱 the􀈱 first􀈱 half􀈱 of􀈱 the􀈱sample􀈱than􀈱 in􀈱 the􀈱 second,􀈱which􀈱suggests􀈱that􀈱changes􀈱related􀈱to􀈱these􀈱shocks􀈱have􀈱contributed􀈱to􀈱the􀈱 Great􀈱 Moderation.􀈱 Impulse􀈱 responses,􀈱 moreover,􀈱show􀈱 that􀈱 a􀈱 decline􀈱 in􀈱 the􀈱 pass􀈬 through􀈱 of􀈱 the􀈱 two􀈱 shocks􀈱 has􀈱 added􀈱 to􀈱 the􀈱 moderating􀈱 contribution􀈱 over􀈱 time,􀈱 while􀈱variance􀈱decompositions􀈱indicate􀈱no􀈱change􀈱in􀈱the􀈱relative􀈱importance􀈱of􀈱the􀈱 two􀈱shocks􀈱over􀈱time.
关键词：Oil􀈱prices;􀈱Great􀈱Moderation;􀈱time􀈬varying􀈱parameter􀈱VAR􀈱model;􀈱;stochastic􀈱volatility;􀈱euro􀈱area.