Open AccessOn the Influence of Oil Price Shocks on Economic Activity, Inflation, and Exchange Rates
Author(s) -
Yasunori Yoshizaki,
Shigeyuki Hamori
Publication year - 2013
Publication title -
international journal of financial research
Language(s) - English
Resource type - Journals
eISSN - 1923-4031
pISSN - 1923-4023
DOI - 10.5430/ijfr.v4n2p33
Subject(s) - economics , oil price , exchange rate , inflation (cosmology) , monetary economics , crude oil , dependency (uml) , impulse (physics) , vector autoregression , impulse response , production (economics) , econometrics , macroeconomics , mathematical analysis , physics , mathematics , systems engineering , quantum mechanics , theoretical physics , petroleum engineering , engineering
In this paper, we investigate the effects of oil price shocks on the production, price level, and exchange rate of eight important industrialized countries, using a two-step approach based on a structural VAR model of the global crude oil market proposed by Kilian (see American Economic Review, vol. 99, 2009, pp. 1053-1069). Our main finding is that the effect of oil price shocks on exchange rates also depends on where the changes fundamentally come from. We also conclude that the degree of dependency on imported oil is one of the important factors that affect the pattern of impulse responses