Macroeconomic impacts of oil prices and underlying financial shocks
Macroeconomic impacts of oil prices and underlying financial shocks
复制标题
DOI：
10.1016/j.intfin.2013.11.006
复制
发表时间：
2014-03-01
影响因子：
4
通讯作者：
Kinkyo, Takuji
中科院分区：
文献类型：
--
作者：
Chen, Wang;Hamori, Shigeyuki;Kinkyo, Takuji
我们扩展了 Kilian（2009）的框架，以识别金融市场状况变化引起的外生冲击，并研究石油价格变化随之而来的宏观经济影响。我们发现，金融冲击是油价的关键决定因素，其宏观经济影响与其他潜在冲击的影响同样重要。结果表明，政策制定者在分析石油冲击的影响时必须明确考虑金融市场状况的变化。此外，稳定政策必须具有前瞻性，并针对根本原因进行调整，因为不同的冲击在不同的时间范围内会产生不同的影响。 (C) 2013 Elsevier B.V. 保留所有权利。
We extend Kilian's (2009) framework to identify an exogenous shock arising from changes in financial market conditions and examine the consequent macroeconomic impacts of oil price changes. We find that a financial shock is a key determinant of oil prices and its macroeconomic impact is as important as the impact of other underlying shocks. The results indicate that policymakers must explicitly consider changes in financial market conditions when analyzing the impacts of oil shocks. Further, a stabilisation policy must be forward-looking and tailored to underlying causes because different shocks have different impacts at different time horizons. (C) 2013 Elsevier B. V. All rights reserved.