Beschreibung:
Recent years, there have been increasing interests in effects of oil shocks on economy. However, much researches up to now are mostly restricted in comparisons among regional economies, intermediate transmissions of oil price shocks on economy are almost ignored. Applying Bayesian vector autoregressive models with stochastic volatility and time-varying parameters, this paper examines relationships between oil shocks and macroeconomy from global and mediate angles. We show that effects of oil price shocks on four economies are time-varying and strengthen accompanying oil price shocks’ intensified volatility in crisis and Covid-19, with the strongest effects on Japan, followed by the USA, China, Euro-19. When regarding asymmetry, four economies are more sensitive to oil price increases than decreases, rising oil prices only dampen American economy, while falling oil prices boost all economies’ economy. Further researches reveal distinctive intermediate transmissions exist among economies. Consumer price, interest rate & exchange rate, exchange rate are major intermediations of oil price shocks on economies in the USA, China, Euro-19 and Japan respectively