The role of energy prices in the Great Recession - A two-sector model with unfiltered data
MetadataShow full item record
We investigate the role of energy shocks during the Great Recession. We study the behaviour of the UK energy and non-energy intensive sectors firms in a real business cycle (RBC) model using unfiltered data. The model is econometrically estimated and tested by indirect inference. Output contraction during the Great Recession was largely caused by energy price and sector-specific productivity shocks, all of which are non-stationary and hence tend to dominate the sample variance decomposition. We also found that the channel by which the energy price shock reduces output in the model is via the terms of trade: these fall permanently when world energy prices increase and as substitutes for energy inputs are strictly limited there are few reactions via production channels. Therefore, there is no other way to balance the deteriorating current account than through lower domestic absorption.
Aminu, N., Meenagh, D. and Minford, P. (2018) 'The role of energy prices in the Great Recession—A two-sector model with unfiltered data', Energy Economics, 71, pp.14-34
Article published in Energy Economics available at https://doi.org/10.1016/j.eneco.2018.01.030
Showing items related by title, author, subject and abstract.
Aminu, Nasir (Springer, 2017-02-09)I examine the impact of energy price shock (oil prices shock and gas prices shock) on the economic activities in the United Kingdom using a dynamic stochastic general equilibrium model with a New Keynesian Philips Curve. ...
The Effect of Crude Oil Price Fluctuations on Stock Market Indices and the Informational Efficiency of these Markets LOADER, RORY (Cardiff Metropolitan University, 2014)Abstract This study was undertaken to investigate the empirical relationship between world crude oil prices and the price levels of stock market equity indices (FTSE-100 and Dow Jones Industrial Average over a 10 year ...
Nguyen, Thuy Thu (Cardiff Metropolitan University, 2016)The prime contribution of this research is that it provides various empirical results regarding the bivariate and multivariate causality and cointegrating relationships between Vietnam’s stock market returns and macroeconomic ...