The shale oil boom and the US economy: Spillovers and time-varying effects

Hilde Bjørnland () and Julia Zhulanova

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: We analyze if the transmission of oil price shocks on the U.S. economy has changed with the shale oil boom. To do so, we put forward a framework that allows for spillovers between industries and learning by doing (LBD) over time. We identify these spillovers using a time-varying parameter factor-augmented vector autoregressive (VAR) model with both state level and country level data. In contrast to previous results, we find considerable changes in the way oil price shocks are transmitted to the U.S economy: there are now positive spillovers to non-oil investment, employment and production from an increase in the oil price - effects that were not present before the shale oil boom.

Keywords: Shale oil boom; Oil Prices; Time-varying factor-augmented VAR model; Spillovers; Geographical Dispersion (search for similar items in EconPapers)
JEL-codes: C11 C55 E32 E42 Q43 (search for similar items in EconPapers)
Pages: 60 pages
Date: 2019-08
New Economics Papers: this item is included in nep-ene and nep-mac
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Citations: View citations in EconPapers (9)

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https://cama.crawford.anu.edu.au/sites/default/fil ... rnland_zhulanova.pdf (application/pdf)

Related works:
Working Paper: The shale oil boom and the U.S. economy: Spillovers and time-varying effects (2019)
Working Paper: The Shale Oil Boom and the U.S. Economy: Spillovers and Time-Varying Effects (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2019-59

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