Browsing by Subject "öljyshokki"

The aim of this thesis is to study how the exogenous oil supply shocks generate the U.S. inflation. Exogenous oil supply shocks are determined to be political and military crises that are non-market based and affect the level of the oil supply. According to the economic theory, crises in the oil production regions cause a shortfall in the oil supply. The declined supply will raise the price of oil and therefore boost the inflation. The analyses are based on the time period of 1973 – 2016. This thesis measures the magnitude of the exogenous oil supply shocks by two methods. The first method creates a counterfactual oil production path that estimates the production that would have occurred in the absence of the shock. Comparing the actual and counterfactual production path gives an estimate for the magnitude of the shock. The second method uses the structural vector autoregression model to estimate the magnitude of the shocks. The relationship between the exogenous oil supply shocks and inflation is studied by two different methods. The autoregressive distributed lag model is constructed to see how the inflation is affected by the lags of the oil supply shocks time series and inflation. The second model is based on the structural vector autoregression model where the oil supply shocks are conducted. The impulse responses are estimated by a regression model to understand how exogenous oil supply shocks generate inflation. Both models allow the construction of the structural brake analysis. The aim of the structural brake analysis is to understand how the relationship between inflation and oil supply shocks has evolved over time. The structural brake analysis implies that the models in general give misleading results. The time period must be separated to four different subperiods in order to get adequate models. The results imply that the relationship between the oil supply shocks and inflation has changed over time. In the first period from early 1970’s to early 1980’s, the exogenous oil supply shocks had statistically significant effect on inflation. In the second and third periods from 1980’s to 2000’s, models do not find significant effect. The models give contradictory results for the fourth period in the 2010’s. The autoregressive distributed lag model does not find statistically significant effect from the exogenous oil supply shocks at inflation where impulse response analysis does. The main contributions of this thesis to the preceding literature can be divided into two sections. Firstly, the structural brake analysis has not been constructed in this field. The results give a useful insight how the relationship has evaluated over time and helps to understand the intertemporal variation of the effects. Secondly, this thesis extends the analysis to the end of 2016.