اثرات نامتقارن قیمت نفت و سیاست های پولی شوک: یک روش VAR غیر خطی

In this paper we investigate the asymmetric effects of oil price shocks and monetary policy on macroeconomic activity, using monthly data for the United States, over the period from 1983:1 to 2008:12. In doing so, we use a logistic smooth transition vector autoregression (VAR), as detailed in Terasvirta and Anderson (1992) and Weise (1999), and make a distinction between two oil price volatility regimes (high and low), using the realized oil price volatility as a switching variable. We isolate the effects of oil price and monetary policy shocks and their asymmetry on output growth and, following Koop et al. (1996) and Weise (1999), we employ simulation methods to calculate Generalized Impulse Response Functions (GIRFs) to trace the effects of independent shocks on the conditional means of the variables. Our results suggest that in addition to the price of oil, oil price volatility has an impact on macroeconomic activity and that monetary policy is not only reinforcing the effects of oil price shocks on output, it is also contributing to the asymmetric response of output to oil price shocks.

Recent empirical research on the relationship between oil prices and real economic activity has emphasized the importance of oil price uncertainty. For example, building on the innovative papers by Lee et al., 1995, Lee and Ni, 2002, Elder and Serletis, 2009 and Elder and Serletis, 2010 examine the direct effects of oil price uncertainty on real economic activity in the context of a structural vector autoregression (VAR) that is modified to accommodate GARCH-in-Mean errors, as detailed in Engle and Kroner, 1995 and Elder, 2004. Also, Rahman and Serletis (forthcoming) investigate the asymmetric effects of uncertainty on output growth and oil price changes as well as the response of uncertainty about output growth and oil price changes to shocks. In doing so, they use U.S. data and a bivariate VAR modified to accommodate GARCH-in-Mean errors, as detailed in Engle and Kroner, 1995, Grier et al., 2004 and Shields et al., 2005. All these papers present evidence that increased uncertainty about the change in the price of oil is associated with a lower average growth rate of real economic activity. There is also a large literature that investigates whether the economic effects of oil price changes also depend on how monetary policy responds. See, for example, Herrera and Pesavento, 2009 and Kilian and Lewis, 2009. In this regard, in the past, when oil prices rose prior to recessions so did interest rates, and as has been argued by Bernanke et al. (1997) it was the increase in the interest rate that led to the downturn. Although this view has been challenged by Hamilton and Herrera (2004), who argue that contractionary monetary policy plays only a secondary role in generating the contractions in real output and that it is the increase in the oil price that directly leads to contractions, it is interesting to examine how the monetary policy response to oil price shocks affects the asymmetric output effects of oil price shocks. Moreover, recent work by Kilian and Vigfusson (2009) shows that the original estimates presented in Bernanke et al. (1997) in support of a feedback from monetary policy are inconsistent and were constructed in a way that exaggerates the effects of oil price shocks. In this paper we build on the literature and investigate the asymmetric effects of oil price shocks and monetary policy on macroeconomic activity, using monthly data for the United States, over the period from 1983:1 to 2008:12. In doing so, we use a logistic smooth transition vector autoregression (VAR), as detailed in Terasvirta and Anderson, 1992 and Weise, 1999, and make a distinction between two oil price volatility regimes (high and low), using the realized oil price volatility as a switching variable. We isolate the effects of oil price and monetary policy shocks and their asymmetry on output growth and, following Koop et al., 1996 and Weise, 1999, we employ simulation methods to calculate Generalized Impulse Response Functions (GIRFs) to trace the effects of shocks on the conditional means of the variables. Our results suggest that in addition to the price of oil, oil price volatility has a negative effect on macroeconomic activity and that monetary policy is not only reinforcing the effects of oil price shocks on output, it is also contributing to the asymmetric response of output to oil price shocks. The paper is organized as follows. Section 2 presents the data and Section 3 provides a brief description of the nonlinear VAR model. Section 4 assesses the appropriateness of the econometric methodology by various linearity tests against the alternative hypothesis of the logistic smooth transition vector autoregression and presents and discusses the empirical results. The final section concludes the paper

Recent empirical research regarding the relationship between the price of oil and real economic activity has focused on the role of uncertainty about oil prices — see, for example, Elder and Serletis, 2009 and Rahman and Serletis, forthcoming. They present evidence that increased uncertainty about the change in the price of oil is associated with a lower average growth rate of real economic activity. In this paper, we extend the literature and investigate the asymmetric effects of oil price and monetary policy shocks on macroeconomic activity in the United States, using monthly data and a logistic smooth transition vector autoregressive model to distinguish between high and low oil price volatility regimes. We find that our model embodies a reasonable description of the data, with the realized oil price volatility being a good candidate as the switching variable. We find that oil price volatility is a major determinant of macroeconomic activity in the United States, reducing output growth by more in the high oil price volatility regime than in the low volatility regime. Moreover, monetary policy is not only reinforcing the effects of oil price shocks on output growth, it is also contributing to the asymmetric response of output to oil price shocks. The relationship between the price of oil and economic activity is difficult to reconcile with linear models. An alternative approach to the one presented in this paper would be to use a method, recently proposed by Hinich (1996) for detecting episodic nonlinearity in time series data, to detect major political and economic events which have affected that relationship. In this regard, a large number of recent papers have documented nonlinearities that cannot be captured by standard volatility models. See, for example, Hinich and Serletis, 2007, Czamanski et al., 2007 and Wild et al., 2010. We believe that the use of these models is an area for potentially productive area of future research that will increase our understanding of the relationship between oil prices and the level of economic activity.