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Oil and the U.S. Macroeconomy: A Reinvestigation Using Rolling Impulse Responses

Abstract:
This paper investigates the role of extreme oil price increases in empirical studies of the macroeconomics of oil prices. The innovative approach of rolling impulse responses is applied and data on both the aggregate and the industry-level is considered. The results show that the first oil crisis drives long-run results and superimposes both subsample and industry-specifics. Furthermore, there is evidence that the non-occurrence of large oil shocks after the mid1980s is an important explanation for the Great Moderation. Keywords: Oil Prices, Vector Autoregressions, Rolling Impulse Responses, Great Moderation

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Energy Specializations: Petroleum – Markets and Prices for Crude Oil and Products; Petroleum – Policy and Regulation; Energy Modeling – Energy Data, Modeling, and Policy Analysis

JEL Codes: Q43: Energy and the Macroeconomy, Q41: Energy: Demand and Supply; Prices, Q31: Nonrenewable Resources and Conservation: Demand and Supply; Prices, Q35: Hydrocarbon Resources

DOI: 10.5547/01956574.33.4.7

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Published in Volume 33, Number 4 of The Quarterly Journal of the IAEE's Energy Economics Education Foundation.