Bibliography and outline for lectures on macroeconomic consequences of oil price shocks January 2014

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1 Bibliography and outline for lectures on macroeconomic consequences of oil price shocks January 2014 I. Review of postwar oil supply disruptions. *Hamilton (2013[a]) Hamilton (1983) Barsky and Kilian (2001) II. Theoretical channels A. Effects operating through supply-side effects *Hamilton (2013[b]) Kim and Loungani (1992) Rotemberg and Woodford (1996) Finn (2000) Leduc and Sill (2004) B. Role of sectoral rigidities Davis (1987) Hamilton (1988) C. Effects on demand and spending Bernanke, Gertler, and Watson (1997) Hamilton and Herrera (2004) Carroll (2011) Bernanke (1983) Lee, Kang and Ratti (2011) III. Empirical evidence A. Background: using vector autoregressions Hamilton (1994, Chapter 11) B. Consumer responses *Hamilton (2009) Edelstein and Kilian (2009) C. Structural change and nonlinearity Mork (1988) Hooker (1996) Hamilton and Owyang (2012) Hamilton (1996) Hamilton (2003) Lee, Ni and Ratti (1995) Jo (2012) Kilian and Vigfusson (2011) Hamilton (2011) 1

2 D. Alternative interpretations of structural instability Blanchard and Gali (2010) Baumeister and Peersman (2013) Ramey and Vine (2011) E. Sectoral responses Herrera (2012) Davis and Haltiwanger (2001) Lee and Ni (2002) F. International evidence Mork, Olsen and Mysen (1994) Cuñado and Pérez de Gracia (2003) Rasmussen and Roitman (2011) G. Sources of shocks Kilian (2009) Baumeister and Peersman (2013) Peersman and Van Robays (2009) H. Alternative identification schemes Stock and Watson (2012) Alquist and Kilian (2010) Anzuini, Pagano, and Pisssani (2013) Cavallo and Wu (2011) IV. Case studies A *Hamilton (2009) Sexton, Wu, and Zilberman (2012) B References Alquist, Ronald, and Lutz. Kilian (2010), What Do We Learn from the Price of Crude Oil Futures?, Journal of Applied Econometrics, 25: Anzuini, Alessio, Pagano, Patrizio and Pisani, Massimiliano (2013), Macroeconomic Effects of Precautionary Demand for Oil, pdf Barsky, Robert B. and Kilian, Lutz (2001), Do We Really Know that Oil Caused the Great Stagflation? A Monetary Alternative, in B.S. Bernanke and K. Rogoff (eds.) NBER Macroeconomics Annual Cambridge, MA: MIT Press. Baumeister, Christiane and Peersman, Gert (2013), Time-Varying Effects of Oil Supply Shocks on the US Economy, American Economic Journal: Macroeconomics 5(4): Bernanke, Ben S. (1983), Irreversibility, Uncertainty, and Cyclical Investment, Quarterly Journal of Economics 98:

3 Bernanke, Ben S., Mark Gertler, and Mark Watson (1997), Systematic Monetary Policy and the Effects of Oil Price Shocks, Brookings Papers on Economic Activity 1997 (no. 1): Blanchard, Olivier J., and Jordi Galí (2010), The Macroeconomic Effects of Oil Price Shocks: Why are the 2000s so Different from the 1970s? in Jordi Galí and Mark Gertler (eds.), International Dimensions of Monetary Policy, pp , University of Chicago Press (Chicago, IL). Carroll, Daniel (2011), The Cost of Food and Energy across Consumers, Economic Trends (March 14), Federal Reserve Bank of Cleveland ( trends/2011/0411/01houcon.cfm). Cavallo, Michele, and Tao Wu (2011), Measuring Oil-Price Shocks Using Market-Based Information, working paper, IMF. Cuñado, Juncal and Fernando Pérez de Gracia (2003), Do Oil Price Shocks Matter? Evidence for some European Countries, Energy Economics 25: Davis, Steven J. (1987), Fluctuations in the Pace of Labor Reallocation, in Karl Brunner and Allan H. Meltzer (eds.), Empirical Studies of Velocity, Real Exchange Rates, Unemployment and Productivity, Carnegie-Rochester Conference Series on Public Policy, 24, Amsterdam: North Holland. and John Haltiwanger (2001), Sectoral Job Creation and Destruction Responses to Oil Price Changes, Journal of Monetary Economics 48: Edelstein, Paul and Kilian, Lutz (2009), How Sensitive are Consumer Expenditures to Retail Energy Prices?, Journal of Monetary Economics, 56: Finn, Mary G. (2000), Perfect Competition and the Effects of Energy Price Increases on Economic Activity, Journal of Money, Credit and Banking 32: Hamilton, James D. (1983), Oil and the Macroeconomy Since World War II, Journal of Political Economy, 91: (1988), A Neoclassical Model of Unemployment and the Business Cycle, Journal of Political Economy, 96: (1994), Time Series Analysis, Princeton University Press. (1996), This is What Happened to the Oil Price Macroeconomy Relation, Journal of Monetary Economics 38: (2003), What Is an Oil Shock?, Journal of Econometrics, 113: (2009), Causes and Consequences of the Oil Shock of , Brookings Papers on Economic Activity, Spring 2009: (2011), Nonlinearities and the Macroeconomic Effects of Oil Prices, Macroeconomic Dynamics, 15, no. S3: (2013 [a]), Historical Oil Shocks, in Randall Parker and Robert Whaples eds., Handbook of Major Events in Economic History, Routledge. (2013 [b]), Oil Prices, Exhaustible Resources, and Economic Growth, in Roger Fouqet, ed., Handbook of Energy and Climate Change, Edward Elgar Publishing., and Herrera, Ana Maria (2004), Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy, Journal of Money, Credit, and Banking 36: , and Owyang, Michael T. (2012), Regional Propagation of U.S. Recessions, Review of Economics and Statistics 94, pp Herrera, Ana Maria (2012), Oil Price Shocks, Inventories and Macroeconomic 3

4 Dynamics, Lagalo, Latika Gupta, and Wada, Tatsuma (2011), Oil Price Shocks and Industrial Production: Is the Relationship Linear?, Macroeconomics Dynamics 15, no. S3: Hooker, Mark A. (1996), What Happened to the Oil Price-Macroeconomy Relationship?, Journal of Monetary Economics 38: Jo, Soojin (forthcoming), The Effects of Oil Price Uncertainty on the Macroeconomy, Journal of Money, Credit and Banking. Kilian, Lutz (2008), Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?, Review of Economics and Statistics, 90: (2009), Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market, American Economic Review, 99: and Vigfusson, Robert J. (2011), Are the Responses of the U.S. Economy Asymmetric in Energy Price Increases and Decreases?, Quantitative Economics 2: Kim, In-Moo and Loungani, Prakash (1992), The Role of Energy in Real Business Cycle Models, Journal of Monetary Economics 29: Lee, Kiseok, Kang, Wensheng, and Ratti, Ronald A. (2011), Oil Price Shocks, Firm Uncertainty, and Investment, Macroeconomics Dynamics 15, no. S3: , Ni, Shawn (2002), On the Dynamic Effects of Oil Price Shocks: A Study Using Industry Level Data, Journal of Monetary Economics 49: ,, and Ratti, Ronald A. (1995), Oil Shocks and the Macroeconomy: The Role of Price Variability, Energy Journal 16: Leduc, Sylvain and Sill, Keith (2004), A Quantitative Analysis of Oil-Price Shocks, Systematic Monetary Policy, and Economic Downturns, Journal of Monetary Economics 51: Mork, Knut A. (1989), Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results, Journal of Political Economy 91: , Olsen, Øystein, and Mysen, Hans Terje (1994), Macroeconomic Responses to Oil Price Increases and Decreases in Seven OECD Countries, Energy Journal 15, no. 4: Peersman, Gert and Ine Van Robays (2009), Oil and the Euro Area Economy, Economic Policy 24: Ramey, Valerie A. and Vine, Daniel J. (2010), Oil, Automobiles, and the U.S. Economy: How Much have Things Really Changed?, in Daron Acemoglu and Michael Woodford, eds., NBER Macroeconomics Annual 2010, pp Rasmussen, Tobias N. and Roitman, Agustin (2011), "Oil Shocks in a Global Perspective: Are they Really that Bad?", working paper, IMF. Rotemberg, Julio J., and Woodford, Michael (1996), Imperfect Competition and the Effects of Energy Price Increases, Journal of Money, Credit, and Banking 28: Sexton, Steven, Wu, JunJie and Zilberman, David (2012), How High Gas Prices Triggered the Housing Crisis: Theory and Empirical Evidence, working paper, U.C. Berkeley. 4

5 Stock, James H., and Watson, Mark W. (2012), Disentangling the Channels of the Recession, Brookings Papers on Economic Activity Spring 2012: