|Title:||The Differential Effects of Oil Demand and Supply Shocks on the Global Economy|
|Keywords:||Global VAR (GVAR)|
global macroeconomic modeling
international business cycle
oil-demand and oil-supply shocks.
|Publisher:||Faculty of Economics, University of Cambridge, UK|
|Series/Report no.:||CWPE 1249|
|Abstract:||We employ a set of sign restrictions on the generalized impulse responses of a Global VAR model, estimated for 38 countries/regions over the period 1979Q2.2011Q2, to discriminate between supply-driven and demand-driven oil-price shocks and to study the time profile of their macroeconomic effects for different countries. The results indicate that the economic consequences of a supply-driven oil-price shock are very different from those of an oil-demand shock driven by global economic activity, and vary for oil-importing countries compared to energy exporters. While oil importers typically face a long-lived fall in economic activity in response to a supply-driven surge in oil prices, the impact is positive for energy-exporting countries that possess large proven oil/gas reserves. However, in response to an oil-demand disturbance, almost all countries in our sample experience long-run inflationary pressures and a short-run increase in real output.|
|Appears in Collections:||Cambridge Working Papers in Economics|
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