Identifying oil price shocks and their consequences: The role of expectations in the crude oil market

Autor: Takuji Fueki, Yoichiro Tamanyu, Shinsuke Ohyama, Jouchi Nakajima
Rok vydání: 2020
Předmět:
Zdroj: International Finance. 24:53-76
ISSN: 1468-2362
1367-0271
Popis: This paper proposes a simple but comprehensive structural vector autoregressive model to examine the underlying factors of oil price dynamics. The distinguishing feature is to explicitly assess the role of expectations about future aggregate demand and oil supply in addition to the traditional realized aggregate demand and supply factors. Our empirical analysis shows that identified future demand and supply shocks are as important as the traditional realized demand and supply shocks in explaining historical oil price fluctuations. The empirical result indicates that the influence of oil price changes on global output varies according to the nature of each shock.
Databáze: OpenAIRE
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