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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.

Project Description

Summary:  View help for 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:  View help for Subject Terms Oil prices; Great Moderation; Markov Switching
JEL Classification:  View help for 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:  View help for Geographic Coverage United States
Time Period(s):  View help for Time Period(s) 1/1965 – 1/2014
Data Type(s):  View help for Data Type(s) aggregate data


Data Source:  View help for Data Source St. Louis FRED database
Unit(s) of Observation:  View help for Unit(s) of Observation Quarterly,

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