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Oil Price Volatility and U.S. Macroeconomic Activity

Version
v0
Resource Type
Dataset : survey data
Creator
  • Guo, Hui (Federal Reserve Bank of St. Louis)
  • Kliesen, Kevin L. (Federal Reserve Bank of St. Louis)
Other Title
  • Archival Version (Subtitle)
Publication Date
2006-01-31
Funding Reference
  • Federal Reserve Bank of St. Louis. Research Division
Language
English
Free Keywords
oil prices
Description
  • Abstract

    Oil shocks exert influence on macroeconomic activity through various channels, many of which imply a symmetric effect. However, the effect can also be asymmetric. In particular, sharp oil price changes "either increases or decreases" may reduce aggregate output temporarily because they delay business investment by raising uncertainty or induce costly sectoral resource reallocation. Consistent with these asymmetric-effect hypotheses, the authors find that a volatility measure constructed using daily crude oil futures prices has a negative and significant effect on future gross domestic product (GDP) growth over the period 1984-2004. Moreover, the effect becomes more significant after oil price changes are also included in the regression to control for the symmetric effect. The evidence here provides economic rationales for Hamilton's (2003) nonlinear oil shock measure: It captures overall effects, both symmetric and asymmetric, of oil price shocks on output.
  • Table of Contents

    Datasets:

    • DS1: Dataset
Collection Mode
  • (1) The files submitted are the program file 0511hgp.tsp and the data file 0511hgd.XLS. (2) These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.

Availability
Delivery
This version of the study is no longer available on the web. If you need to acquire this version of the data, you have to contact ICPSR User Support (help@icpsr.umich.edu).
Alternative Identifiers
  • 1322 (Type: ICPSR Study Number)
Relations
  • Is previous version of
    DOI: 10.3886/ICPSR01322.v1
Publications
  • Guo, Hui, Kliesen, Kevin L.. Oil Price Volatility and U.S. Macroeconomic Activity. Federal Reserve Bank of St. Louis Review.87, (6), 669-684.2005.

Update Metadata: 2015-08-05 | Issue Number: 6 | Registration Date: 2015-06-15

Guo, Hui; Kliesen, Kevin L. (2006): Oil Price Volatility and U.S. Macroeconomic Activity. Archival Version. Version: v0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/ICPSR01322