Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: A Comment

By James D. Hamilton, Ana María Herrera. 2004

113 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/fd2b0d9f26e666d11cd2a37b81e70540b866a20f

Citations in the corpus

• World Crude Oil Markets: Monetary Policy and the Recent Oil Shock (2006, unknown): “During an oil supply shock—characterized by perturbations in oil supply, under stable oil demand 29 Hamilton and Herrera (2004), and the literature cited therein, emphasized that oil shocks have a sizable recessionary effect of their own, and noted the long lag characterizing transmission and…”
• Does the Fed Respond to Oil Price Shocks (2011, unknown): “Although our estimates – unlike the original estimates in BGW – pass the tests proposed by Hamilton and Herrera (2004), there is reason to be skeptical of BGW's interpretation of the evidence.”
• Oil and the Macroeconomy: A Quantitative Structural Analysis (2012, unknown): “The appropriate lag length was debated in previous literature, see Hamilton and Herrera (2004) and Kilian (2009).”
• Do Inflation Expectations Propagate the Inflationary Impact of Real Oil Price Shocks?: Evidence from the Michigan Survey (2015, unknown): “The model is estimated with 12 lags to account for the long and variable lags in the transmission of oil price shocks (see Hamilton and Herrera, 2004).”
• What Drives Oil Prices? Emerging versus Developed Economies (2012, unknown): “…variables from 33 different countries, where we use real GDP and industrial production as measures of economic activity for each 4As shown in, e.g., Hamilton and Herrera (2004), an overly restrictive lag length can produce misleading results regarding the effects of oil market shocks on the macro…”
• The Supply Shock Explanation of the Great Stagflation Revisited (2008, unknown): “However, the Bernanke et al. analysis of the two big oil shocks has been criticized by Hamilton and Herrera (2004) on a couple of grounds.”
• Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment (2013, unknown): “Some important studies on the relationship between oil price shocks and economic activity include Baumeister and Peersman (2012), Blanchard and Gali (2007), Hamilton (2008), Hamilton and Herrera (2004), Barsky and Kilian (2004), Brown and Yuncel (2002) and Bernanke et al., (1997).”
• A Comparison of the Effects of Exogenous Oil Supply Shocks on Output and Inflation in the G7 Countries (2008, unknown): “…Burbidge and Harrison (1984), Bruno and Sachs (1982), Darby (1982), Davis and Haltiwanger (2001), Gisser and Goodwin (1986), Hamilton (1996, 2003), Hamilton and Herrera (2004), Hooker (1996, 2002), Hoover and Perez (1994), Lee and Ni (2002), Lee, Ni and Ratti (1995), Mork (1989), Mork, Olsen and…”
• Can Oil Prices Forecast Exchange Rates (2011, unknown): “…(2008a,b) for analyses of the e¤ects of oil price shocks on typical macroeconomic aggregates, such as GDP, and Bernanke, Gertler and Watson (1997), Hamilton and Herrera (2004), Herrera (2008) and Herrera and Pesavento (2009) on the relationship between oil prices, inventories and monetary policy.”
• Time-Varying Effects of Oil Supply Shocks on the US Economy (2008, unknown): “Moreover, Hamilton and Herrera (2004) also argue that too short a lag length might omit the primary e¤ects of oil shocks.”