Facts and fiction in oil market modeling
- A series of recent articles has called into question the validity of VAR models of the global market for crude oil. These studies seek to replace existing oil market models by structural VAR models of their own based on different data, different identifying assumptions, and a different econometric approach. Their main aim has been to revise the consensus in the literature that oil demand shocks are a more important determinant of oil price fluctuations than oil supply shocks. Substantial progress has been made in recent years in sorting out the pros and cons of the underlying econometric methodologies and data in this debate, and in separating claims that are supported by empirical evidence from claims that are not. The purpose of this paper is to take stock of the VAR literature on global oil markets and to synthesize what we have learned. Combining this evidence with new data and analysis, I make the case that the concerns regarding the existing VAR oil market literature have been overstated and that the results from these models are quite robust to changes in the model specification.
Author: | Lutz KilianGND |
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URN: | urn:nbn:de:hebis:30:3-624030 |
URL: | https://ssrn.com/abstract=3965680 |
Parent Title (English): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 661 |
Series (Serial Number): | CFS working paper series (661) |
Publisher: | Center for Financial Studies |
Place of publication: | Frankfurt, M. |
Document Type: | Working Paper |
Language: | English |
Year of Completion: | 2021 |
Year of first Publication: | 2021 |
Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Release Date: | 2021/11/22 |
Tag: | Bayesian inference; Elasticity; global real activity; oil inventories; oil price; structural VAR |
Issue: | September 18, 2021 |
Page Number: | 49 |
Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
JEL-Classification: | C Mathematical and Quantitative Methods / C5 Econometric Modeling / C52 Model Evaluation and Selection |
Sammlungen: | Universitätspublikationen |
Licence (German): | Deutsches Urheberrecht |