TY  - JOUR
AU  - Hamilton,James D.
TI  - What is an Oil Shock?
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 7755
PY  - 2000
Y2  - June 2000
UR  - http://www.nber.org/papers/w7755
L1  - http://www.nber.org/papers/w7755.pdf
N1  - Author contact info:
James D. Hamilton
Department of Economics, 0508
University of California, San Diego
9500 Gilman Drive
La Jolla, CA 92093-0508
Tel: 858/534-5986
Fax: 858/534-7040
E-Mail: jhamilton@ucsd.edu
AB  - This paper uses a flexible approach to characterize the nonlinear relation between oil price changes and GDP growth. The paper reports clear evidence of nonlinearity, consistent with earlier claims in the literature-- oil price increases are much more important than oil price decreases, and increases have significantly less predictive content if they simply correct earlier decreases. An alternative interpretation is suggested based on estimation of a linear functional form using exogenous disruptions in petroleum supplies as instruments. The evidence suggests that oil shocks matter because they disrupt spending by consumers and firms on certain key sectors.
ER  -