This paper investigates the global macroeconomic consequences of falling oil prices due to the oil revolution in the United States, using a Global VAR model estimated for 38 countries/regions over the period 1979Q2 to 2011Q2. Set-identification of the U.S. oil supply shock is achieved through...

Do inflation expectations and the associated pass-through of oil price shocks depend on demand and supply conditions underlying the global market for crude oil? We answer this question with a novel structural vector autoregressive model of the global oil market that jointly identifies...

Contemporary structural models of the global market for crude oil treat storage demand as a composite of precautionary responses to uncertainty and speculative behavior, due to difficulties in jointly identifying these distinct demand components. This difficulty arises because the underlying...

This paper investigates the oil market reaction to its fundamental shocks: supply, aggregate demand and oil-specific demand in different regimes characterised by high versus low uncertainty in the market. We do so by first proposing a novel oil uncertainty index that is measured by the...

The paper analyses the importance of supply versus demand shocks on the global oil market from 1974 to 2017, using a parsimonious structural vector autoregressive moving average (SVARMA) model. The superior out-of-sample forecasting performance of the reduced form VARMA compared to VAR...

A mixture innovation time-varying parameter VAR model is used to examine the impact of structural oil price shocks on U.S. stock market return. Time variation is evident in both the coefficients and the variance-covariance matrix. The standard deviations of the demand side structural shocks...

China has recently overtaken the US to become the world largest importer of crude oil. In light of this fact, we formally compare contributions of demand shocks from China, the US and the rest of the world. We find that China's influence on the real price of oil has increased over the past two...

The recent plunge in oil prices has brought into question the generally accepted view that lower oil prices are good for the US and the global economy. In this paper, using a quarterly multi-country econometric model, we first show that a fall in oil prices tends relatively quickly to lower...

The 2020 COVID-19 driven recession saw a sharp drop in carbon dioxide emissions as transportation and some other energy uses were curtailed. This was an unusual recession as it was driven by a pandemic. Previous research shows that when GDP declines carbon emissions fall faster relative to GDP...

The COVID-19-triggered collapse in oil prices in March and April 2020 was the seventh, and by far the most severe, in a series of such collapses since 1970. This paper, first, compares this most recent collapse and its drivers with previous ones in an event study. It finds that it was associated...