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首页> 外文期刊>Journal of International Money and Finance >Oil price shocks and their transmission mechanism in an oil-exporting economy: A VAR analysis informed by a DSGE model
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Oil price shocks and their transmission mechanism in an oil-exporting economy: A VAR analysis informed by a DSGE model

机译：石油出口经济体中的油价冲击及其传导机制：DSGE模型提供的VAR分析

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摘要

This paper examines the macroeconomic effects of oil price shocks and the oil shock transmission mechanism in an oil-exporting country, Canada. We use a structural VAR with sign restrictions that comes from a two-country dynamic stochastic general equilibrium (DSGE) model to jointly identify oil price, domestic supply and U.S. and domestic monetary policy shocks. This identification strategy not only controls for reverse causality from the Canadian and U.S. macroeconomic conditions to the real oil prices, but more importantly, it also allows for contemporaneous interactions between the Canadian and U.S. variables. We find that oil shocks have a stimulative effect on Canadian aggregate demand, appreciate the Canadian dollar, improve the terms of trade and reduce real wages. Foreign disturbances, including innovations in oil prices and the U.S. interest rate, have a significant influence on Canadian economic activities. Our counterfactual analysis indicates that the reaction of the U.S. interest rate as an indirect transmission channel for oil price shocks plays a moderate role in explaining the real exchange rate and inflation, but has negligible impacts on the Canadian output and interest rate. (C) 2016 Elsevier Ltd. All rights reserved.
机译：本文探讨了石油价格冲击的宏观经济影响以及加拿大石油输出国的石油冲击传递机制。我们使用来自两个国家的动态随机一般均衡（DSGE）模型的带有符号限制的结构化VAR来共同识别石油价格，国内供应以及美国和本国货币政策的冲击。这种识别策略不仅控制从加拿大和美国宏观经济状况到实际石油价格的反向因果关系，而且更重要的是，它还允许加拿大和美国变量之间同时发生相互作用。我们发现，石油冲击对加拿大的总需求，加拿大元升值，改善贸易条件和降低实际工资具有刺激作用。外国干扰，包括油价和美国利率的创新，对加拿大的经济活动产生重大影响。我们的反事实分析表明，美国利率作为石油价格冲击的间接传递渠道的反应在解释实际汇率和通货膨胀方面起着中等作用，但对加拿大产出和利率的影响可忽略不计。 （C）2016 Elsevier Ltd.保留所有权利。

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