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Oil Price Volatility and U.S. Macroeconomic Activity (ICPSR 1322)

Principal Investigator(s):

Summary:

Oil shocks exert influence on macroeconomic activity through various channels, many of which imply a symmetric effect. However, the effect can also be asymmetric. In particular, sharp oil price changes "either increases or decreases" may reduce aggregate output temporarily because they delay business investment by raising uncertainty or induce costly sectoral resource reallocation. Consistent with these asymmetric-effect hypotheses, the authors find that a volatility measure constructed using daily crude oil futures prices has a negative and significant effect on future gross domestic product (GDP) growth over the period 1984-2004. Moreover, the effect becomes more significant after oil price changes are also included in the regression to control for the symmetric effect. The evidence here provides economic rationales for Hamilton's (2003) nonlinear oil shock measure: It captures overall effects, both symmetric and asymmetric, of oil price shocks on output.

Access Notes

  • These data are flagged as replication datasets and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.

  • These data are freely available.

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Study Description

Citation

Guo, Hui, and Kevin L. Kliesen. Oil Price Volatility and U.S. Macroeconomic Activity. ICPSR01322-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2006-01-31. http://doi.org/10.3886/ICPSR01322.v1

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Funding

This study was funded by:

  • Federal Reserve Bank of St. Louis. Research Division

Scope of Study

Subject Terms:   oil prices

Data Collection Notes:

(1) The files submitted are the program file 0511hgp.tsp and the data file 0511hgd.XLS. (2) These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.

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