The Industrial Impact of Oil Price Shocks: Evidence from the Industries of Six OECD Countries
University of Salamanca - Departamento de Economia e Historia Economica
October 5, 2007
Banco de España Research Paper No. WP-0731
Most of the studies existing in theoretical and empirical understanding of the macroeconomic consequences of oil price shocks have been focused on US aggregate data. In contrast to these studies, this paper assesses empirically the dynamic effects of oil price shocks on the output of the main manufacturing industries in six OECD countries using an identified vector autoregression for each economy. The pattern of responses to an oil price shock by industrial output is diverse across the four European Monetary Union (EMU) countries under consideration (France, Germany, Italy, and Spain), but broadly similar in the UK and the US. Evidence on cross-industry heterogeneity of oil shock effects within the EMU countries is also reported. Moreover, our baseline results are quite robust with respect to changes in the number of lags, identification assumptions, and real oil price definition.
Number of Pages in PDF File: 51
Keywords: oil price shock, identified VAR, manufacturing industries
JEL Classification: E32, Q43working papers series
Date posted: October 5, 2007
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