Oil and the United States Macroeconomy: An Update and a Simple Forecasting Exercise (ICPSR 23220)

Version Date: Sep 5, 2008

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Principal Investigator(s):
Kevin L. Kliesen, Federal Reserve Bank of St. Louis

https://doi.org/10.3886/ICPSR23220.v1

Version V1

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Summary

Some analysts and economists recently warned that the United States economy faces a much higher risk of recession should the price of oil rise to $100 per barrel or more. In February 2008, spot crude oil prices closed above $100 per barrel for the first time ever, and since then they have climbed even higher. Meanwhile, according to some surveys of economists, it is highly probable that a recession began in the United States in late 2007 or early 2008. Although the findings in this paper are consistent with the view that the United States economy has become much less sensitive to large changes in oil prices, a simple forecasting exercise using Hamilton's model augmented with the first principal component of 85 macroeconomic variables reveals that a permanent increase in the price of crude oil to $150 per barrel by the end of 2008 could have a significant negative effect on the growth rate of real gross domestic product in the short run. Moreover, the model also predicts that such an increase in oil prices would produce much higher overall and core inflation rates in 2009 than most policymakers expect.

Citation

Kliesen, Kevin L. Oil and the United States Macroeconomy: An Update and a Simple Forecasting Exercise. Inter-university Consortium for Political and Social Research [distributor], 2008-09-05. https://doi.org/10.3886/ICPSR23220.v1

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Funding

Federal Reserve Bank of St. Louis. Research Division

Subject Terms

Geographic Coverage

Distributor(s)

Inter-university Consortium for Political and Social Research
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Data Collection Notes

  1. A zipped package contains a programming syntax file (text format) and a Microsoft Excel file, which contains the data, tables, and corresponding figures used in the article.

  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 investigators if further information is desired.

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Original Release Date

2008-09-05

Version History

2018-02-15 The citation of this study may have changed due to the new version control system that has been implemented. The previous citation was:
  • Kliesen, Kevin L. Oil and the United States Macroeconomy: An Update and a Simple Forecasting Exercise. ICPSR23220-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2008-09-05. http://doi.org/10.3886/ICPSR23220.v1
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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.

  • The public-use data files in this collection are available for access by the general public. Access does not require affiliation with an ICPSR member institution.