Are the responses of the U.S. economy asymmetric in energy price increases and decreases

By Lutz Kilian, Robert J. Vigfusson. 2011

582 citations recorded by the source corpus.

How much does real gross domestic product (GDP) respond to unanticipated changes in the real price of oil? Commonly used censored oil price vector autoregressive models suggest a substantial decline in real GDP in response to unexpected increases in the real price of oil, yet no response to unexpected declines. We show that these estimates are invalid. Based on a structural model that encompasses both symmetric and asymmetric models as special cases, correctly computed impulse responses are of roughly the same magnitude in either direction, consistent with formal tests for symmetric responses. We discuss implications for theoretical models and for policy responses to energy price shocks.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/33f307096a6ed5ead7b3bb71fbe4461ff08c436b

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Citations in the corpus

Do Oil Price Increases Cause Higher Food Prices (2014, unknown): “Building on methodological advances on Kilian and Vigfusson (2011), Venditti (2013) recently has shown that in monthly data there is no statistically significant evidence that fuel prices respond asymmetrically to positive and negative oil price shocks.”
Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound (2017, unknown): “…our case the object GIRFyi ( ) in the formula refers to GIRFs à la Koop, Pesaran, and Potter (1996) computed by considering an orthogonal shock as in Kilian and Vigfusson (2011).5 In our application we are interested in the contribution of an identi ed uncertainty shock to the GFEVD of all the…”
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018, background): “…on the asymmetric effects of oil prices focus on macroeconomic variables rather than financial variables (see, inter alia , Herrera et al ., 2015; Kilian and Vigfusson, 2011; Jiménez-Rodríguez and Sán - chez, 2005; Cunado and Gracia, 2005; Hamilton, 2003, 1996). is not apparent for European…”
Specification, estimation and evaluation of vector smooth transition autoregressive models with applications (2014, methodology): “In order to shed light on the question of possible asymmetry of the gasoline prices and consumption to shocks, we compute generalized multivariate impulse functions as suggested in Koop et al. (1996) and represent them using highest density regions (HDR) of Hyndman (1996); see also Teräsvirta et al.”