Valcarcel, Victor J.; Wohar, Mark E. - In: Journal of Economics and Business 68 (2013) C, pp. 24-42
We estimate a Bayesian structural vector autoregression that allows for time-varying parameters and stochastic volatility in the errors to account for the effects of various aggregate shocks on the real price of oil. We employ US quarterly data from 1948:Q1 to 2011:Q2. We find that aggregate...