Oil price shocks and industrial production: Is the relationship linear?

Ana María Herrera, Latika Gupta Lagalo, Tatsuma Wada

研究成果: Article査読

95 被引用数 (Scopus)

抄録

This paper tests the three leading specifications of asymmetric and possibly nonlinear feedback from the real price of oil to U.S. industrial production and its sectoral components. We show that the evidence for such feedback is sensitive to the estimation period. Support for a nonlinear model is strongest for samples starting before 1973. Instead, using post-1973 data only, the evidence against symmetry becomes considerably weaker. For example, at the aggregate level, there is no evidence against the hypothesis of symmetric responses to oil price innovations of typical magnitude, consistent with results of Kilian and Vigfusson [Quantitative Economics, 2(3), 419-453 (2011)] for U.S. real GDP. There is strong evidence of asymmetries at the disaggregate level, however, especially for industries that are energy-intensive in production (such as chemicals) or that produce goods that are energy-intensive in use (such as transportation equipment). Our analysis suggests that these asymmetries may be obscured in the aggregate data and highlights the importance of developing multisector models of the transmission of oil price shocks.

本文言語English
ページ(範囲)472-497
ページ数26
ジャーナルMacroeconomic Dynamics
15
SUPPL. 3
DOI
出版ステータスPublished - 2011 11
外部発表はい

ASJC Scopus subject areas

  • 経済学、計量経済学

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