Replication data for: Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks
Principal Investigator(s): View help for Principal Investigator(s) Christiane Baumeister; James D. Hamilton
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
|---|---|---|---|
| aer.20151569.data | 10/12/2019 05:25:AM | ||
|
|
text/plain | 14.6 KB | 10/12/2019 01:25:AM |
Project Citation:
Baumeister, Christiane, and Hamilton, James D. Replication data for: Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks. Nashville, TN: American Economic Association [publisher], 2019. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E113108V1
Project Description
Summary:
View help for Summary
Traditional approaches to structural vector autoregressions (VARs) 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 themselves. We use this approach to revisit the importance of shocks to oil supply and demand. Supply disruptions turn out to be a bigger factor in historical oil price movements and inventory accumulation a smaller factor than implied by earlier estimates. Supply shocks lead to a reduction in global economic activity after a significant lag, whereas shocks to oil demand do not.
Scope of Project
JEL Classification:
View help for JEL Classification
C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
L71 Mining, Extraction, and Refining: Hydrocarbon Fuels
Q35 Hydrocarbon Resources
Q43 Energy and the Macroeconomy
C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
L71 Mining, Extraction, and Refining: Hydrocarbon Fuels
Q35 Hydrocarbon Resources
Q43 Energy and the Macroeconomy
Related Publications
Published Versions
Report a Problem
Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.
This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.