Oil and the Macroeconomy: A Markov State-Switching Approach

Jennie E. Raymond · Robert W. Rich

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Market Dynamics and Volatility Monetary Policy and Economic Impact COVID-19 Pandemic Impacts

Abstract

This paper analyzes the relationship between oil price shocks and postwar U.S. business cycle fluctuations. The authors develop a generalized Markov switching model of output that includes a measure of net real oil price increases and examine the capabilities of this variable to generate shifts in the mean of GDP growth and to predict transitions between dichotomous growth phases. The results indicate that, while the behavior of oil prices has been a contributing factor to the mean of low growth phases of output, movements in oil prices generally have not been a principal determinant in the historical evidence of these phases. Copyright 1997 by Ohio State University Press.

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1983Oil and the Macroeconomy since World War II 1996This is what happened to the oil price-macroeconomy relationship 1989Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results 1996Modeling the conditional distribution of interest rates as a regime-switching process 1947Measuring Business Cycles 1984Are Economic Time Series Asymmetric over the Business Cycle?1994Business-Cycle Phases and Their Transitional Dynamics

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