Macroeconomic Effects of Precautionary Demand for Oil
Tóm tắt
We evaluate the macroeconomic effects of shocks specific to the oil market, which mainly reflect fluctuations in precautionary demand for oil driven by uncertainty about future supplies. A two‐stage identification procedure is used. First, daily changes in the futures–spot price spread proxy for precautionary demand shocks and the path of oil prices is estimated. This information is then exploited to restrict the oil price response in a vector autoregression. Impulse responses suggest that such shocks reduce output and raise prices. Historical decomposition shows that they contributed significantly to the US recessions in the 1990s and in the early 2000s, but not to the most recent slump. Copyright © 2014 John Wiley & Sons, Ltd.
Từ khóa
Tài liệu tham khảo
Anzuini A, 2013, The impact of monetary policy shocks on commodity prices, International Journal of Central Banking, 9, 119
CavalloM WuT.2012.Measuring oil‐price shocks using market based information IMF working paper 12/19 International Monetary Fund Washington.
ChernenkoSV SchwarzKB WrightJH.2004.The information content of forward and futures prices: market expectations and the price of risk.International Finance Discussion Papers No. 808. Board of Governors of the federal Reserve System.
ChinnM LeBlancM CoibonO.2005.The predictive content of energy futures: an update on petroleum natural gas heating oil and gasoline NBER working paper 11033 National Bureau of Economic Research Inc.
De BockR Carvalho FilhoIE.2013.The behavior of currencies during risk‐off episodes IMF working paper 13/8 International Monetary Fund Washington.
Kilian L, 2010, Inflation in an Era of Relative Price Shocks, 60
KimDH WrightJH.2005.An arbitrage‐free three‐factor term structure model and the recent behavior of long‐term yields and distant‐horizon forward rates Board of Governors of the Federal Reserve System Finance and Economics Discussion Series 2005‐33.