Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/210101
Authors: 
Bjørnland, Hilde C.
Larsen, Vegard Høghaug
Maih, Junior
Year of Publication: 
2016
Series/Report no.: 
Working Paper No. 12/2016
Publisher: 
Norges Bank, Oslo
Abstract: 
We analyze the role of oil price volatility in reducing U.S. macroeconomic instability. Using a Markov Switching Rational Expectation New-Keynesian model we revisit the timing of the Great Moderation and the sources of changes in the volatility of macroeconomic variables. We find that smaller or fewer oil price shocks did not play a major role in explaining the Great Moderation. Instead oil price shocks are recurrent sources of economic fluctuations. The most important factor reducing overall variability is a decline in the volatility of structural macroeconomic shocks. A change to a more responsive (hawkish) monetary policy regime also played a role.
JEL: 
C11
E32
E42
Q43
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-934-0
Creative Commons License: 
https://creativecommons.org/licenses/by-nc-nd/4.0/deed.no
Document Type: 
Working Paper
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