CEU Electronic Theses and Dissertations, 2017
| Author | Teloian, Diana |
|---|---|
| Title | Effects of Oil and Food Price Shocks on Macroeconomic Variables in Net Oil Importer Countries |
| Summary | This study examines the effect of food and oil price shocks on the macroeconomic variables of net oil importers: Japan and the USA. I employ two SVAR models with linear and net oil price specifications and by including dummies I control for major events that affected two economies: Asian Financial Crisis and 2011 earthquake for Japan and Global Financial Crisis for both countries. The findings of this study show that US macro-variables are responsive to the external commodity shocks and, except for real output, behave according to economic theory. Results for Japan are statistically insignificant, but mainly consistent with expected outcomes, except for the positive response of Japanese output to oil price increase. However, this could be explained by oil efficiency of Japanese cars which induces the shift of world demand towards Japanese automotive products and raises GDP of Japan. The commodity shocks account for significant variation in inflation and real effective exchange rate of the both countries. Food price shocks mainly transmit through short-term interest rates and real effective exchange rates. Impulse Response Functions show that money supply decreases and interest rates go up following the shock of food and oil prices in both countries. This implies that monetary authorities conduct tight monetary policy to combat increasing inflation. |
| Supervisor | Gábor Kőrösi |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2017/teloian_diana.pdf |
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