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Oil and macroeconomic (in)stability

Bjørnland, Hilde C.; Larsen, Vegard H.
Working paper
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URI
http://hdl.handle.net/11250/2364956
Date
2015
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  • Centre for Applied Macro- and Petroleum economics (CAMP) [95]
Abstract
We analyze the role of oil price volatility in reducing U.S. macroeconomic instability. Using a regime-switching structural model we

revisit the timing of the Great Moderation and the sources of changes

in the volatility of macroeconomic variables. We find that smaller or

fewer oil price shocks did not play a major role in explaining the Great

Moderation. Instead oil price shocks are recurrent sources of macroeconomic

fluctuations. The most important factor reducing macroeconomic variability is a decline in the volatility of other structural shocks

(demand and supply). A change to a more responsive monetary policy

regime also played a role.
Publisher
BI Norwegian Business School
Series
CAMP Working Paper Series;7/2015

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