Structural Interpretation of Vector Autoregressions with Incomplete Identification : Revisiting the Role of Oil Supply and Demand Shocks
Traditional approaches to structural vector autoregressions can be viewed as special cases of Bayesian inference arising from very strong prior beliefs. These methods can be generalized with a less restrictive formulation that incorporates uncertainty about the identifying assumptions themselves. We use this approach to revisit the importance of shocks to oil supply and demand. Supply disruptions turn out to be a bigger factor in historical oil price movements and inventory accumulation a smaller factor than implied by earlier estimates. Supply shocks lead to a reduction in global economic activity after a significant lag, whereas shocks to oil demand do not
Year of publication: |
2018
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Authors: | Baumeister, Christiane |
Other Persons: | Hamilton, James D. (contributor) |
Publisher: |
[2018]: [S.l.] : SSRN |
Subject: | VAR-Modell | VAR model | Angebot | Supply | Nachfrage | Demand | Schock | Shock | Ölpreis | Oil price | Bayes-Statistik | Bayesian inference | Statistischer Fehler | Statistical error |
Saved in:
freely available
Extent: | 1 Online-Ressource (54 p) |
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Series: | NBER Working Paper ; No. w24167 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 2017 erstellt |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012931213