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The differential effects of oil demand and supply shocks on the global economy /
We employ a set of sign restrictions on the generalized impulse responses of a Global VAR model, estimated for 38 countries/regions over the period 1979Q2-2011Q2, to discriminate between supply-driven and demand-driven oil-price shocks and to study the time profile of their macroeconomic effects for...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor Corporativo: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
©2012.
|
| Colección: | IMF working paper ;
WP/12/253. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 245 | 0 | 4 | |a The differential effects of oil demand and supply shocks on the global economy / |c prepared by Paul Cashin [and others]. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2012. | ||
| 300 | |a 1 online resource (41 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
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| 347 | |a data file | ||
| 490 | 1 | |a IMF working paper ; |v WP/12/253 | |
| 500 | |a Title from PDF title page (IMF Web site, viewed October 31, 2012). | ||
| 520 | |a We employ a set of sign restrictions on the generalized impulse responses of a Global VAR model, estimated for 38 countries/regions over the period 1979Q2-2011Q2, to discriminate between supply-driven and demand-driven oil-price shocks and to study the time profile of their macroeconomic effects for different countries. The results indicate that the economic consequences of a supply-driven oil-price shock are very different from those of an oil-demand shock driven by global economic activity, and vary for oil-importing countries compared to energy exporters. While oil importers typically face a long-lived fall in economic activity in response to a supply-driven surge in oil prices, the impact is positive for energy-exporting countries that possess large proven oil/gas reserves. However, in response to an oil-demand disturbance, almost all countries in our sample experience long-run inflationary pressures and a short-run increase in real output. | ||
| 504 | |a Includes bibliographical references. | ||
| 500 | |a "Middle East and Central Asia Department." | ||
| 500 | |a "October 2012." | ||
| 505 | 0 | |a Cover; Contents; I. Introduction; II. The Global VAR (GVAR) Methodology; III. A Global VAR Model Including Major Oil Exporters; Tables; 1. Countries and Regions in the GVAR Model with Major Oil Exporters; A. Variables; Domestic Variables; Foreign Variables; Global Variables; 2. Oil Consumption by Oil Importers, averages over 1979-2010; B. Model Specification; 3. Oil Reserves, Production and Exports of Major Oil Exporters, averages over 2008-2010; C. Country-Specific Estimates and Tests; 4. Variables Specification of the Country-Specific VARX* Models. | |
| 505 | 8 | |a Lag Order Selection, Cointegrating Relations, and Persistence Profiles5. Lag Orders of the Country-Specific VARX*(s, s*) Models Together with the Number of Cointegrating Relations (r); Figures; 1. Persistence Profiles of the Effect of a System-wide Shock to the Cointegrating Relations; Testing the Weak Exogeneity Assumption; 6. F-Statistics for Testing the Weak Exogeneity of the Country-Specific Foreign Variables, Oil Prices, and Oil Production; Testing for Structural Breaks; IV. Identification of Oil Shocks. | |
| 505 | 8 | |a 7. Number of Rejections of the Null of Parameter Constancy per Variable Across the Country-specific Models at the 5 Percent Significance Level8. Identification of Structural Shocks; A. Oil-Supply Shocks; 2. Impact of Oil-Supply Shocks on Major Oil Importers; 3. Impact of Oil-Supply Shocks on OPEC Countries; 4. Impact of Oil-Supply Shocks on OECD Oil Exporters; B. Oil-Demand Shocks; 5. Impact of Oil-Demand Shocks on Major Oil Importers; 6. Impact of Oil-Demand Shocks on OPEC Countries; 7. Impact of Oil-Demand Shocks on OECD Oil Exporters; V. Concluding Remarks; References; Data Appendix. | |
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| 650 | 0 | |a Petroleum products |x Prices |x Econometric models. | |
| 650 | 6 | |a Produits pétroliers |x Prix |x Modèles économétriques. | |
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| 700 | 1 | |a Cashin, Paul. | |
| 710 | 2 | |a International Monetary Fund. |b Middle East and Central Asia Department. | |
| 830 | 0 | |a IMF working paper ; |v WP/12/253. | |
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