Anzuini, Alessio; Pagano, Patrizio; Pisani, Massimiliano - Banca d'Italia - 2007
This paper analyzes the macroeconomic effects on the U.S. economy of news about oil supply by estimating a VAR. Information contained in daily quotations of oil futures contracts is exploited to estimate the dynamic path of oil prices following a shock. Hence, differently from the VAR literature...