The Oil Price-Macroeconomy Relationship Since the Mid-1980s: A Global Perspective

Energy Journal, 2013, 34, 153-189

Posted: 18 Apr 2012 Last revised: 28 Jul 2013

Claudio Morana

Università di Milano Bicocca; Università degli Studi di Milano-Bicocca - Department of Economics, Quantitative Methods and Business Strategies (DEMS); Center for Economic Research on Pensions and Welfare Policies (CeRP); University of Bologna - Rimini Center for Economic Analysis (RCEA)

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Date Written: August 28, 2012

Abstract

We investigate the oil price-macroeconomy relationship from a global perspective, by means of a large scale macro-financial-econometric model. In addition to real activity, we consider fiscal and monetary policy responses and labor and financial markets conditions, in order to provide a comprehensive account of the macro-financial effects of oil price shocks. We find that oil market supply side, speculative, preferences, and volatility shocks exercised recessionary effects during the first and second Persian Gulf War and 2008 oil price episodes. As long as oil supply will keep expanding at a slower pace than required by demand conditions, and in so far as the recently passed regulatory provisions aimed at controlling financial speculation in the oil (and other commodities) futures market will prove unsuccessful, a recessionary bias, determined by higher and more uncertain real oil prices, may then be expected to persist also in the near future.

Keywords: oil price, oil price-macroeconomy relationship, macro-finance interface, international business cycle, factor vector autoregressive models

JEL Classification: C22, E32, G12

Suggested Citation

Morana, Claudio, The Oil Price-Macroeconomy Relationship Since the Mid-1980s: A Global Perspective (August 28, 2012). Energy Journal, 2013, 34, 153-189. Available at SSRN: https://ssrn.com/abstract=2041326 or http://dx.doi.org/10.2139/ssrn.2041326

Claudio Morana (Contact Author)

Università di Milano Bicocca ( email )

Dip Economia Metodi Quantitativi Strategie Impresa
Piazza dell'Ateneno Nuovo 1
Milano, 20126
Italy
+39 0264483091 (Phone)

Università degli Studi di Milano-Bicocca - Department of Economics, Quantitative Methods and Business Strategies (DEMS) ( email )

Piazza dell'Ateneo Nuovo, 1
Milan, 20126
Italy

Center for Economic Research on Pensions and Welfare Policies (CeRP) ( email )

Moncalieri, Turin
Italy

University of Bologna - Rimini Center for Economic Analysis (RCEA) ( email )

Via Patara, 3
Rimini (RN), RN 47900
Italy

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