We show that structural oil-market shocks identified in prominent SVAR models, as well as high-frequency oil price changes around OPEC announcements, are predictable, indicating informational deficiencies in standard oil-market VARs and contamination of commonly used instrumental variables. We resolve these identification problems for oil supply news shocks by augmenting the econometrician’s information set with financial indicators, yielding markedly different results: the shocks induce a sharper short-run output contraction, are less inflationary, contribute less to oil price variation, exhibit greater stability over time, and account for a substantial share of S&P 500 volatility.

Exogenous shifts in international food commodity prices, which are identified using an SVAR model with global harvest shocks as an external instrument, explain almost 30% of euro-area inflation volatility over the medium term and contributed significantly to the twin puzzle of missing (dis)inflation in the era after the Great Recession. International food price shocks have an impact on food retail prices through the food production chain, but also trigger indirect inflationary effects via a depreciation of the euro and, most important, rising wages. Finally, due to asymmetric wage responses, the inflationary effects are very different across member states.

We use novel quarterly data of U.S. states to examine the dynamics of relative spending multipliers in the decade surrounding the Great Recession. While multipliers were around 1 in expansions, they reached values above 4 when a state was in a recession. Also a high (low) degree of household indebtedness augmented (lowered) a state's multiplier by 0.5 in expansions and 2 in recessions. We further document modest positive spillover effects across states and show that a mere redistribution of spending across states also had a significant influence on the aggregate U.S. economy due to cross-state heterogeneity of the effects.