What is an Oil Shock?* James D. Hamilton Department of Economics, 0508 University of California, San Diego La Jolla, CA 92093-0508 jhamilton@ucsd.edu May 1999 Revised: December 2001 *This paper is based on research supported by the NSF under Grants No. SBR-9707771 and. SES-0076072 and the Department of Energy. It is adapted from (and replaces) an earlier paper circulated under the title, Analysis of the Transmission of Oil Price Shocks through the Macroeconomy. I thank Julian Betts, Michael Dotsey, and anonymous referees for helpful comments. All data and software used in this paper can be downloaded from http://weber.ucsd.edu/jhamilto. 0