This study examines the influence of changes in oil prices on total household consumption along with its sub‐components from 1996 to 2018, a period characterised in the literature by the declining impact of oil price shocks on macroeconomic activity. Using several dynamic panel VAR econometric approaches, we examine the role of oil prices alongside income, wealth and debt on household consumption expenditures of 30 European countries. Results from the Granger causality tests and impulse response analysis suggest an unanticipated increase in oil prices lowers household consumption. These results are robust to changes in proxies for income, wealth and oil prices, variable ordering, estimation method and the addition of household debt service. Moreover, the inclusion of a Fourier function to the baseline panel specifications to control for unobserved non‐linear structural breaks does not change our main findings. A threshold panel VAR model with median oil price changes used as a threshold indicator suggests the reaction of household consumption to oil price shocks is regime‐dependent; i.e., consumption only reacts to oil price shocks during periods when oil prices grow faster than the median rate of change. All consumption sub‐components decrease in response to increasing oil prices, but as expected, the consumption of durable goods exhibits the largest decline after an oil price shock.

中文翻译：

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石油价格和欧洲家庭消费支出

这项研究考察了1996年至2018年期间油价变化对家庭总消费及其子构成的影响，这一时期的文献资料中以油价冲击对宏观经济活动的影响不断下降为特征。我们使用几种动态面板VAR计量经济学方法，研究了油价以及收入，财富和债务在30个欧洲国家的家庭消费支出中的作用。格兰杰因果关系检验和冲激响应分析的结果表明，油价意外上涨会降低家庭消费。这些结果对于收入，财富和石油价格的代理，变量排序，估计方法以及家庭债务还本付息的变化具有鲁棒性。而且，将Fourier函数包含在基准面板规范中以控制未观察到的非线性结构破坏并不会改变我们的主要发现。以中位数油价变化为阈值指标的阈值面板VAR模型表明，家庭消费对油价震荡的反应取决于制度。也就是说，在油价涨幅超过中值变化率的时期内，消费只会对油价震荡做出反应。随着油价上涨，所有消费子成分均下降，但正如预期的那样，耐用品消费在油价震荡后表现出最大的跌幅。以中位数油价变化为阈值指标的阈值面板VAR模型表明，家庭消费对油价震荡的反应取决于制度。也就是说，在油价涨幅超过中值变化率的时期内，消费只会对油价震荡做出反应。随着油价上涨，所有消费子成分均下降，但正如预期的那样，耐用品消费在油价震荡后表现出最大的跌幅。以中位数油价变化为阈值指标的阈值面板VAR模型表明，家庭消费对油价震荡的反应取决于制度。也就是说，在油价涨幅超过中值变化率的时期内，消费只会对油价震荡做出反应。随着油价上涨，所有消费子成分均下降，但正如预期的那样，耐用品消费在油价震荡后表现出最大的跌幅。