Korean Energy Economic Review ISSN:1599-7057(Print) 에너지경제연구

This paper investigates impulse responses of macroeconomy to an oil price change, by using a structural VAR model with 9 macroeconomic variables. This paper compares two oil prices, the world average spot price of crude oil and the imported price of crude oil, to explain the relationship between oil price and economic behavior. According to our empirical estimation, an increase in the oil price leads to sluggishness in the industrial production and increase in the price level. However, the negative impulse response of industrial production to an oil price increase in the model with the world average crude oil price is substantially longer than that with the imported crude oil price. This implies that, for a long time, industrial production behavior is more sensitive to common oil price information over the world than to country-specific information of oil price.