MARC Record from Library of Congress

LEADER: 02364nam a22002897a 4500
001 2009656140
003 DLC
005 20090622175706.0
007 cr |||||||||||
008 090622s2009 dcu sb f000 0 eng
010 $a 2009656140
040 $aDLC$cDLC
050 00 $aHG3879
100 1 $aKilian, Lutz.
245 10 $aPitfalls in estimating asymmetric effects of energy price shocks$h[electronic resource] /$cLutz Kilian and Robert Vigfusson.
260 $aWashington, D.C. :$bFederal Reserve Board,$c[2009]
490 1 $aInternational finance discussion papers ;$vno. 970
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 6/22/2009.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"A common view in the literature is that the effect of energy price shocks on macroeconomic aggregates is asymmetric in energy price increases and decreases. We show that widely used asymmetric vector autoregressive models of the transmission of energy price shocks are misspecified, resulting in inconsistent parameter estimates, and that the implied impulse responses have been routinely computed incorrectly. As a result, the quantitative importance of unanticipated energy price increases for the U.S. economy has been exaggerated. In response to this problem, we develop alternative regression models and methods of computing responses to energy price shocks that yield consistent estimates regardless of the degree of asymmetry. We also introduce improved tests of the null hypothesis of symmetry in the responses to energy price increases and decreases. An empirical study reveals little evidence against the null hypothesis of symmetry in the responses to energy price shocks. Our analysis also has direct implications for the theoretical literature on the transmission of energy price shocks and for the debate about policy responses to energy price shocks"--Federal Reserve Board web site.
653 $aAsymmetry;$aoil price;$aenergy prices;$anet increase;$ashocks;$apropagation;$atransmission;$avector autoregression
700 1 $aVigfusson, Robert J.
830 0 $aInternational finance discussion papers (Online) ;$vno. 970.
856 40 $uhttp://www.federalreserve.gov/pubs/ifdp/2009/970/default.htm