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

Version Date: Jan 31, 2006

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

https://doi.org/10.3886/ICPSR01322.v1

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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.

Citation

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

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Funding

Federal Reserve Bank of St. Louis. Research Division

Subject Terms

Distributor(s)

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

  1. (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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Original Release Date

2006-01-31

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:

  • 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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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.