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Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between...
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, OECD and U.S. oil and petroleum inventories and consumption, and historical and implied volatility. When we model the … predicted by the theory of storage. However results show that excess inventory is not adequately modelled as deviations from a … are modelled separately, we find that shocks to OECD petroleum consumption directly widen negative spreads. Further …
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Baumeister and Hamilton (2019a) assert that every critique of their work on oil markets by Kilian and Zhou (2019a) is without merit. In addition, they make the case that key aspects of the economic and econometric analysis in the widely used oil market model of Kilian and Murphy (2014) and its...
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This paper investigates the impact of oil price variations on sectoral inflation for a sample of 10 top oil importing and exporting countries. Specifically, we analyze the effects of oil prices on the consumer price index using monthly data spanning the July 2009 to February 2021 period. Two...
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