Quantitative Economics
Journal Of The Econometric Society
Edited by: Stéphane Bonhomme • Print ISSN: 1759-7323 • Online ISSN: 1759-7331
Quantitative Economics: Nov, 2011, Volume 2, Issue 3
Are the responses of the U.S. economy asymmetric in energy price increases and decreases?
Lutz Kilian, Robert J. Vigfusson
How much does real gross domestic product (GDP) respond to unanticipated
changes in the real price of oil? Commonly used censored oil price vector autore-
gressive models suggest a substantial decline in real GDP in response to unex-
pected increases in the real price of oil, yet no response to unexpected declines.
We show that these estimates are invalid. Based on a structural model that encom-
passes both symmetric and asymmetric models as special cases, correctly com-
puted impulse responses are of roughly the same magnitude in either direction,
consistent with formal tests for symmetric responses. We discuss implications for
theoretical models and for policy responses to energy price shocks.
Keywords. Asymmetry, oil price, energy prices, net increase, shocks, propaga-
tion, transmission, vector autoregression.
JEL classification. C32, E37, Q43.
changes in the real price of oil? Commonly used censored oil price vector autore-
gressive models suggest a substantial decline in real GDP in response to unex-
pected increases in the real price of oil, yet no response to unexpected declines.
We show that these estimates are invalid. Based on a structural model that encom-
passes both symmetric and asymmetric models as special cases, correctly com-
puted impulse responses are of roughly the same magnitude in either direction,
consistent with formal tests for symmetric responses. We discuss implications for
theoretical models and for policy responses to energy price shocks.
Keywords. Asymmetry, oil price, energy prices, net increase, shocks, propaga-
tion, transmission, vector autoregression.
JEL classification. C32, E37, Q43.
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Supplemental Material
Supplement to "Are the responses of the U.S. economy asymmetric in energy price increases and decreases?"
Journal News
March 5, 2024
Announcing the New Journal Editors
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
