Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/210033 
Year of Publication: 
2013
Series/Report no.: 
Working Paper No. 2013/10
Publisher: 
Norges Bank, Oslo
Abstract: 
This paper examines the impact of different types of oil price shocks on the U.S. economy, using a factor-augmented VAR (FAVAR) approach. The results indicate that when examining the effects of oil price shocks, it is important to account for the interaction between the oil market and the macroeconomy. I find that oil demand shocks are more important than oil supply shocks in driving several macroeconomic variables, and that the origin of demand shocks matter. Specifically, the U.S. economy and monetary policy respond differently to global demand shocks that have the effect of raising the price of oil and to oil-specific demand shocks.
Subjects: 
FAVAR
oil demand shocks
oil supply shocks
business cycle
monetary policy
factor model
JEL: 
C3
E31
E32
E4
E5
Q43
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-744-5
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper
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