A note on the identification and transmission of energy demand and supply shocks

Michelle, Gilmartin (2016): A note on the identification and transmission of energy demand and supply shocks.

Abstract

This paper proposes and implements a novel structural VAR approach for identifying oil demand and supply shocks. In this approach we search for two shocks in the context of a VAR model, which explain the majority of the k-step ahead prediction error variances of oil prices. Finally, we compare our approach with alternative identification schemes based on sign restrictions, and we show that the proposed methods is a useful tool for decomposing oil shocks.

• Item Type: MPRA Paper
• Language: English
• Keywords: oil price shocks; demand and supply; Bayesian VAR; MCMC
• Subjects: B - History of Economic Thought, Methodology, and Heterodox Approaches > B4 - Economic Methodology; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles; N - Economic History > N1 - Macroeconomics and Monetary Economics ; Industrial Structure ; Growth ; Fluctuations > N10 - General, International, or Comparative; Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q4 - Energy > Q43 - Energy and the Macroeconomy

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