Replication data for: Oil and Macroeconomic (In)stability

Principal Investigator(s): View help for Principal Investigator(s) Hilde C. Bjørnland; Vegard H. Larsen; Junior Maih

Version: View help for Version V1

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Project Citation:

Bjørnland, Hilde C., Larsen, Vegard H., and Maih, Junior. Replication data for: Oil and Macroeconomic (In)stability. Nashville, TN: American Economic Association [publisher], 2018. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114121V1

Project Description

Summary: We analyze the role of oil price volatility in reducing U.S. macroeconomic instability. Using a Markov Switching Rational Expectation New-Keynesian 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 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.

Scope of Project

Subject Terms: Oil prices; Great Moderation; Markov Switching

JEL Classification:
      E12 General Aggregative Models: Keynes; Keynesian; Post-Keynesian; Modern Monetary Theory
      E32 Business Fluctuations; Cycles
      E52 Monetary Policy
      Q35 Hydrocarbon Resources
      Q43 Energy and the Macroeconomy

Geographic Coverage: United States

Time Period(s): 1/1965 – 1/2014

Data Type(s): aggregate data

Methodology

Data Source: St. Louis FRED database

Unit(s) of Observation: Quarterly,

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Published Versions

V1 [2019-10-12]

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