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Oil and macroeconomic (in)stability

Bjørnland, Hilde C.; Larsen, Vegard H.; Maih, Junior
Working paper
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WP_CAMP_6_2017.pdf (2.264Mb)
URI
http://hdl.handle.net/11250/2468574
Date
2017-11
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  • Centre for Applied Macro- and Petroleum economics (CAMP) [140]
Abstract
We analyze the role of oil price volatility in reducing U.S. macroeconomic insta- bility. Using a Markov Switching Rational Expectation New-Keynesian model we revisit the timing of the Great Moderation and the sources of changes in the volatil- ity 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 economic fluctuations. The most important factor reducing overall variability is a decline in the volatility of structural macroeconomic shocks. A change to a more responsive (hawkish) monetary policy regime also played a role.
Publisher
BI Norwegian Business School, Centre for applied macro- and petroleum economics
Series
CAMP Working Paper Series;No. 6/2017

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