Business cycles in the USA: the role of monetary policy and oil shocks

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY Accounts of Chemical Research Pub Date : 2024-02-12 DOI:10.1007/s00181-024-02556-5

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Abstract

This paper examines the relative significance of oil supply, oil demand, and monetary policy shocks in explaining US macroeconomic variations. We analyze impulse response functions and variance decomposition to assess the relative importance of these shocks. Using a Bayesian structural VAR framework and the penalty function approach, we identify the shocks of interest. We find that oil supply shocks explain less than 3% of the variation in output, but have a relatively larger impact on inflation, accounting for around 13% of the inflation variation. Oil demand shocks explain 3% of output variation, but contribute significantly to inflation variation (around 16%). In contrast, monetary policy shocks have a greater influence on output, explaining approximately 13% of the observed variation. Monetary policy shocks are also the most influential source of inflation variation, contributing over 24% to the overall variation. Based on historical variance decomposition, we find that the recent inflation surge is attributable to both monetary expansion and oil supply factors. Overall, the study highlights the dominance of monetary policy shocks in explaining US macroeconomic fluctuations, with oil supply and demand shocks playing secondary roles.

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美国的商业周期：货币政策和石油冲击的作用

摘要本文研究了石油供应、石油需求和货币政策冲击在解释美国宏观经济变化方面的相对重要性。我们通过分析脉冲响应函数和方差分解来评估这些冲击的相对重要性。利用贝叶斯结构 VAR 框架和惩罚函数方法，我们确定了相关冲击。我们发现，石油供应冲击对产出变化的解释不足 3%，但对通胀的影响相对较大，约占通胀变化的 13%。石油需求冲击只能解释 3% 的产出变化，但对通胀变化的影响却很大（约 16%）。相比之下，货币政策冲击对产出的影响更大，解释了约 13% 的观测变化。货币政策冲击也是最有影响力的通胀变化来源，对总体变化的贡献率超过 24%。根据历史方差分解，我们发现近期的通胀飙升可归因于货币扩张和石油供应因素。总体而言，本研究强调了货币政策冲击在解释美国宏观经济波动中的主导地位，而石油供应和需求冲击则扮演次要角色。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.