Arbeitspapier
The impact of large structural shocks onn economic relationships: Evidence from oil price shocks
This paper introduces a new model of structural breaks which assumes that structural breaks are driven by large economic shocks. The model specifies that both the timing and size of breaks are stochastic and it can be used to investigate the impact of large economic shocks on the stability of economic relationships. An application of the model to the oil-macroeconomy relationship has shown that the apparent instability of this relationship since the oil crisis in year 1973 can be attributed to large oil price shocks.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 524
- Classification
-
Wirtschaft
Estimation: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Business Fluctuations; Cycles
- Subject
-
Structural breaks, State space model, Oil shocks
Mineralölpreisschock
Strukturbruch
Schätzung
Welt
Makroökonomischer Einfluss
Zustandsraummodell
- Event
-
Geistige Schöpfung
- (who)
-
Kapetanios, George
Tzavalis, Elias
- Event
-
Veröffentlichung
- (who)
-
Queen Mary University of London, Department of Economics
- (where)
-
London
- (when)
-
2004
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kapetanios, George
- Tzavalis, Elias
- Queen Mary University of London, Department of Economics
Time of origin
- 2004
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