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Measuring Oil Price Shocks

Vlastakis, Nikolaos and Triantafyllou, Athanasios and Kellard, Neil (2020) Measuring Oil Price Shocks. Working Paper. Essex Finance Centre Working Papers, Colchester, Essex. (Unpublished)

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Abstract

The role of oil price shocks in US economic activity and inflation is controversial but a key input to current economic policy. To clarify these relations, we employ a more refined measure of oil shocks based on decomposing highly accurate realized volatility estimated using intraday oil futures data. In reconciling prior results, we find that shocks driven by price increases (decreases) are associated with rising (falling) inflation while only a symmetric volatility channel affects economic activity.

Item Type: Monograph (Working Paper)
Divisions: Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Elements
Date Deposited: 07 May 2020 18:32
Last Modified: 07 May 2020 18:32
URI: http://repository.essex.ac.uk/id/eprint/27498

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