Can I read Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries on EtoBox?

Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries by Alessandro Cologni; Matteo Manera is a Economics, Econometrics and Finance article available to read on EtoBox.

What is Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries about?

Sharp increases in the price of oil are generally seen as a major contributor to business cycle asymmetries. Moreover, the very recent highs registered in the world oil market are causing concern about possible slowdowns in the economic performance of the most developed countries. In this paper a structural cointegrated VAR model has been considered for the G-7 countries in order to study the direct effects of oil price shocks on output and prices, and the reaction of monetary variables to external shocks. Our results can be summarized as follows: i) a stationary money demand, as suggested by the classic theory of money, can be identified for most countries; ii) according to the estimated coefficients of the structural part of the model, for all countries except Japan and U.K. the null hypothesis of an influence of oil prices on the inflation rate cannot be rejected. Inflation rate shocks are transmitted to the real economy by increasing interest rates; iii) impulse response analysis suggests, for most countries, the existence of an instantaneous, temporary effect of oil price innovations on prices; iv) impulse response functions indicate different monetary policy reactions to infl

Who reads Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries?

Author

Alessandro Cologni; Matteo Manera

Publisher

Elsevier Science; Elsevier ; Elsevier BV (ISSN 0140-9883)

Published

2008

Language

EN

Field

Economics, Econometrics and Finance (Social Sciences)