OIL PRICE SHOCKS, SYSTEMATIC MONETARY POLICY, AND THE “GREAT MODERATION”

Ana María Herrera · Elena Pesavento

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Market Dynamics and Volatility Monetary Policy and Economic Impact Global Financial Crisis and Policies

Abstract

The U.S. economy has experienced a reduction in volatility since the mid-1980s. In this paper we investigate the changes in the response of the economy to an oil price shock and the role of the systematic monetary policy response in accounting for changes in the response of output, prices, inventories, sales, and the overall decline in volatility. Our results suggest a smaller and more short-lived response of most macro variables during the Volcker-Greenspan period. It also appears that whereas the systematic monetary policy response dampened fluctuations in economic activity during the 1970s, it has had virtually no effect after the “Great Moderation.”

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References

2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*1983Oil and the Macroeconomy since World War II 2000What is an Oil Shock?1998Monetary Policy Shocks: What Have We Learned and to What End?n.d.Output Fluctuations in the United States: What Has Changed since the Early 1980's?1996This is what happened to the oil price-macroeconomy relationship 1997Systematic Monetary Policy and the Effects of Oil Price Shocks 1989Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results

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