Metadata record for Replication data for: Oil and Macroeconomic (In)stability
114121
Inter-university Consortium for Political and Social Research
ICPSR metadata records are licensed under a Creative Commons Attribution-Noncommercial 3.0 United States License.
V1
Replication data for: Oil and Macroeconomic (In)stability
114121
http://doi.org/10.3886/E114121V1
Hilde C. Bjørnland
Vegard H. Larsen
Junior Maih
Please see full citation.
This work is licensed under an Other license created by the data depositor. Please refer to the LICENSE file, which should be located alongside the project data and documentation.
Ann Arbor, MI: Inter-university Consortium for Political and Social Research
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
[Oil prices, Great Moderation, Markov Switching]
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
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.
United States
Quarterly
aggregate data
St. Louis FRED database