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Structural Interpretation of Vecor Autoregressions with Incomplete Identification : Revisiting the Role of Oil Supply and Demand Shocks

Baumeister, Christiane - 2018

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...

Persistent link: https://www.econbiz.de/10012926556

Is the Discretionary Income Effect of Oil Price Shocks a Hoax?

Baumeister, Christiane - 2017

The transmission of oil price shocks has been a question of central interest in macroeconomics since the 1970s. There has been renewed interest in this question after the large and persistent fall in the real price of oil in 2014-16. In the context of this debate, Ramey (2017) makes the striking...

Persistent link: https://www.econbiz.de/10012960111

Forty Years of Oil Price Fluctuations : Why the Price of Oil May Still Surprise Us

Baumeister, Christiane - 2016

It has been forty years since the oil crisis of 1973/74. This crisis has been one of the defining economic events of the 1970s and has shaped how many economists think about oil price shocks. In recent years, a large literature on the economic determinants of oil price fluctuations has emerged....

Persistent link: https://www.econbiz.de/10012998728

Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?

Baumeister, Christiane - 2017

It is commonly believed that the response of the price of corn ethanol (and hence of the price of corn) to shifts in biofuel policies operates in part through market expectations and shifts in storage demand, yet to date it has proved difficult to measure these expectations and to empirically...

Persistent link: https://www.econbiz.de/10012963589

A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil

Baumeister, Christiane - 2016

has implications for the estimation of economic models of energy-intensive durables, for oil price forecasting, and for …

Persistent link: https://www.econbiz.de/10012996209

Inside the Crystal Ball : New Approaches to Predicting the Gasoline Price at the Pump

Baumeister, Christiane - 2016

Although there is much interest in the future retail price of gasoline among consumers, industry analysts, and policymakers, it is widely believed that changes in the price of gasoline are essentially unforecastable given publicly available information. We explore several new forecasting...

Persistent link: https://www.econbiz.de/10012996647

Understanding the Decline in the Price of Oil Since June 2014

Baumeister, Christiane - 2016

positive oil supply shocks in the second half of 2014. Others have suggested that a major shock to oil price expectations … expected oil production that occurred prior to July 2014. The remaining oil price decline is accounted for by a shock to oil … price expectations in July 2014 that lowered the demand for oil inventories and a shock to the demand for oil associated …

Persistent link: https://www.econbiz.de/10012996804