Are oil shocks inflationary?: asymmetric and nonlinear specifications versus changes in regime
Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 1999 - Business & Economics - 20 pages
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accommodative of oil altemative Andrews test asymmetric and nonlinear breakpoint capacity utilization coefﬁcients on oil column of Table columns 1-3 columns 4-6 Colurrm contemporaneous core CPI core equation core inﬂation equation critical value crude oil relative different from zero dummy variable Durbin-Watson statistic Economics Discussion Series effects of oil energy price equal and opposite error bands estimates F-Statistics federal funds rate Federal Reserve Board Finance and Economics ﬁnds ﬁrst Fuhrer GDP deﬂator Hamilton highly signiﬁcant Hooker increases and decreases interaction terms July less accommodative Louise Sheiner macroeconomic monetary policy Mork NAIRU nonlinear oil price oil price changes oil price coefﬁcients oil price increases oil price shocks oil price terms Output Gap percentage points PPI for crude PPI oil price price and interaction price index quarterly data quarters since shock real effects Response of Funds responses to oil robust September 1999 signiﬁcantly different standard error statistic sum to zero unemployment rate