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Macroeconomic implications of oil price fluctuations: a regime-switching framework for the euro area

Gespeichert in:

Personen und Körperschaften: Holm-Hadulla, Fédéric (VerfasserIn), Hubrich, Kirstin (VerfasserIn)
Titel: Macroeconomic implications of oil price fluctuations: a regime-switching framework for the euro area/ Fédéric Holm-Hadulla, Kirstin Hubrich
Format: E-Book
Sprache: Englisch
veröffentlicht:
Frankfurt am Main, Germany European Central Bank [2017]
Gesamtaufnahme: Europäische Zentralbank: Working paper series ; no 2119 (December 2017)
Schlagwörter:
Quelle: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Details
Zusammenfassung: We investigate whether the response of the macro-economy to oil price shocks undergoes episodic changes. Employing a regime-switching vector autoregressive model we identify two regimes that are characterized by qualitatively different patterns in economic activity and inflation following oil price shocks in the euro area. In the normal regime, oil price shocks trigger only limited and short-lived adjustments in these variables. In the adverse regime, by contrast, oil price shocks are followed by sizeable and sustained macroeconomic fluctuations, with inflation and economic activity moving in the same direction as the oil price. The responses of inflation expectations and wage growth point to second-round effects as a potential driver of the dynamics characterising the adverse regime. The systematic response of monetary policy works against such second-round effects in the adverse regime but is insufficient to fully offset them. The model also delivers (conditional) probabilities for being (staying) in either regime, which may help interpret oil price fluctuations - and inform deliberations on the adequate policy response - in real-time.
Umfang: 1 Online-Ressource (circa 45 Seiten); Illustrationen
ISBN: 9789289930536
9289930535
DOI: 10.2866/885147