首页> 外文学位 >Monetary shocks, oil shocks, and macroeconomic activity: A cointegration analysis.

【24h】

Monetary shocks, oil shocks, and macroeconomic activity: A cointegration analysis.

机译：货币冲击，石油冲击和宏观经济活动：协整分析。

获取原文

获取原文并翻译 | 示例

页面导航

摘要
著录项
相似文献
相关主题

摘要

The research problem is: Using the net increase in the relative oil price as a proxy for oil prices, does the econometric technique of Crowder, et al. (1994) provide any evidence that oil and/or monetary shocks influence U.S. industrial production? Derived from the research problem, four research questions are stated regarding (1) the shifts in monetary policy in early 1980s, (2) the shifts in energy policy of the Texas Railroad Commission, (3) the repercussions of such shifts on the persistence of the eventual impact of these aforementioned variables on the U.S. macroeconomic activities, and (4) the stability of the long-run relationships.;The study has a quantitative form. The approach of vector autoregression takes into account the interdependence of the variables. The variables are the industrial production, the inflation rate, the real money balances (rm1), the 6-month commercial paper rates, and the net increase in the relative oil price. The data on the first four variables are from Citibase whereas those of the net increase of the relative oil price were constructed following Hamilton's method (1996). I employ cointegration analysis to estimate and test the long-run relationships. I conduct basic structural break tests (Chow tests on the first-differenced data) to isolate whether shifts occurred in the long-run relationships in line with Hooker and Hamilton's debate. I conduct stability tests following the procedure of the recursive estimation in cointegrated VAR-models (Hansen and Johansen, 1992) to evaluate the parameter constancy.;The study reveals that the long-run behavior of all 5 variables is determined by two distinct shocks that appear to be real and nominal in origin: the technology and inflation shocks. The remaining transitory shocks were those of money supply, IS and oil. The study revealed no indication of a monocausal explanation of cyclical fluctuations. The impulse response functions of output show no significant effect of an initial shock to oil prices on industrial production, a significant impact of technology, inflation (for 12 months), real money balances (up to 12 months) and IS shocks (for up to 12 months). These findings are consistent across the analyses of forecast-error variances and of historical variances. Historically, technology shocks have a distinct impact on economic performance at all times. The period 1959 to 1973 is largely characterized by the contributions of IS and monetary shocks. Monetary disturbances seem to have played a large role in the 1969-1973 period. The 1973-1979 period is dominated by inflation, monetary and IS shocks. The magnitude of the oil impact on industrial production is low. Oil disturbances contribute to explaining the industrial production's fluctuations during the 1990's only. (Abstract shortened by UMI.).

机译：研究的问题是：用相对石油价格的净增长来代替石油价格，Crowder等人进行了计量经济学。（1994年）提供任何证据表明石油和/或货币冲击会影响美国的工业生产吗？从研究问题出发，提出了四个研究问题：（1）1980年代初货币政策的变化；（2）德克萨斯铁路委员会能源政策的变化；（3）这种变化对持续性的影响。这些变量最终对美国宏观经济活动的影响，以及（4）长期关系的稳定性。向量自回归的方法考虑了变量的相互依赖性。这些变量是工业生产，通货膨胀率，实际货币余额（rm1），6个月商业票据利率以及相对油价的净增长。前四个变量的数据来自Citibase，而相对油价净增长的数据则根据Hamilton的方法（1996）建立。我使用协整分析来估计和测试长期关系。我进行了基本的结构断裂测试（对一阶差分数据进行的Chow测试），以根据Hooker和Hamilton的争论来确定长期关系中是否发生了变化。我按照协整VAR模型（Hansen和Johansen，1992）中的递归估计程序进行稳定性测试，以评估参数的恒定性;该研究表明，所有5个变量的长期行为是由两个不同的冲击决定的似乎是真实和名义上的起源：技术和通胀冲击。其余的短暂冲击是货币供应，IS和石油的冲击。研究表明没有迹象表明周期性波动是单因的。产出的冲激响应函数没有显示出油价最初的冲击对工业生产，技术，通货膨胀（持续12个月），实际货币余额（长达12个月）和IS冲击（持续高达12个月）的重大影响。 12个月）。这些结果在预测误差方差和历史方差的分析中是一致的。从历史上看，技术冲击始终对经济表现产生明显的影响。 1959年至1973年这段时期的主要特征是信息系统和货币冲击的影响。在1969-1973年期间，货币干扰似乎起了很大的作用。 1973-1979年期间，通货膨胀，货币和IS冲击占主导地位。石油对工业生产的影响程度很低。石油的干扰有助于解释工业生产在1990年代的波动。（摘要由UMI缩短。）。

著录项

作者
Sebti, Mourad Mohammed.;
展开▼
作者单位

The University of Texas at Arlington.;

展开▼
授予单位 The University of Texas at Arlington.;
学科 Economics General.;Economics Finance.;Economics Theory.
学位 Ph.D.
年度 1997
页码 104 p.
总页数 104
原文格式 PDF
正文语种 eng
中图分类
关键词

相似文献

外文文献
中文文献
专利

1. Role of oil price shocks on macroeconomic activities: An SVAR approach to the Malaysian economy and monetary responses [J] . Huson Joher Ali Ahmed, I.K.M. Mokhtarul Wadud Energy Policy . 2011,第12期

机译：石油价格冲击在宏观经济活动中的作用：马来西亚经济和货币应对的SVAR方法
2. Oil price shocks and China's economy: Reactions of the monetary policy to oil price shocks [J] . Kim Won Joong, Hammoudeh Shawkat, Hyun Jun Seog, Energy economics . 2017,第FEBa期

机译：石油价格冲击与中国经济：货币政策对石油价格冲击的反应
3. Dynamic effects of monetary policy shocks on macroeconomic volatility in the United Kingdom [J] . Salisu Afees A., Gupta Rangan Applied economics letters . 2021,第16a18期

机译：货币政策冲击对英国宏观经济波动性的动态效应
4. Assent Price, Macroeconomic Variable and Monetary Shock—— Cointegration Analysis of Chinese Market [C] . . 2007

机译：不变价格，宏观经济变量和货币冲击-中国市场的协整分析
5. Effects of oil shocks and monetary shocks on Chinese economy: An empirical analysis. [D] . Le, Viet. 2014

机译：石油冲击和货币冲击对中国经济的影响：一项实证分析。
6. Causality and Cointegration Analysis between Macroeconomic Variables and the Bovespa [O] . Fabiano Mello da Silva, Daniel Arruda Coronel, Kelmara Mendes Vieira 2010

机译：宏观经济变量与Bovespa之间的因果关系和协整分析
7. We analyze, in this paper, a DSGE New Keynesian model with indi- visible labor where firms may belong to two different final goods producing sectors one where wages and employment are determined in competitive labor markets and the orther where wages and employment are the result of a contractual process between unions and firms. Bargaining between firms and monopoly unions implies real wage rigidity in the model and, in turn, an endogenous trade-off between output stabilization and infla- tion stabilization. We show that the negative effect of a productivity shock on inflation and the positive effect of a cost-push shock is crucially determined by the proportion of firms that belong to the competitive sec- tor. The larger is this number, the smaller are these effects. We derive a welfare based objective function as a second order Taylor approxima- tion of the expected utility of the economy's representative agent and we analyze optimal monetary policy. We show that the larger is the num- ber of firms that belong to the competitive sector, the smaller should be the response of the nominal interest rate to exogenous productivity and cost-push shocks. If we consider, however, an instrument rule where the interest rate must react to inflationary expectations, the rule is not af- fected by the structure of the labor market. The results of the model are consistent with a well known empirical regularity in macroeconomics, i.e. that employment volatility is larger than real wage volatility. [O] . Lorenza Rossi, Fabrizio Mattesini 100

机译：在本文中，我们分析了DsGE新凯恩斯主义模型，该模型具有明显的劳动力，其中企业可能属于两个不同的最终产品生产部门，其中工资和就业是在竞争性劳动力市场中确定的，而工资和就业是由工资和就业导致的。工会和公司之间的合同过程。企业和垄断联盟之间的讨价还价意味着模型中的实际工资刚性，反过来，产出稳定和通货膨胀稳定之间的内生权衡。我们表明，生产率冲击对通货膨胀的负面影响以及成本推动冲击的积极影响，主要取决于属于竞争部门的企业比例。这个数字越大，这些效果越小。我们得出一个基于福利的目标函数作为经济代理人的预期效用的二阶泰勒近似，我们分析最优货币政策。我们表明，属于竞争性行业的企业数量越大，名义利率对外生生产率和成本推动冲击的反应就越小。但是，如果我们考虑利率必须对通胀预期作出反应的工具规则，则该规则不受劳动力市场结构的影响。该模型的结果与宏观经济学中众所周知的经验规律一致，即就业波动率大于实际工资波动率。

Monetary shocks, oil shocks, and macroeconomic activity: A cointegration analysis.

摘要

著录项

相似文献

相关主题

期刊订阅