Measuring Oil Price Shocks Using Market Based Information
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Measuring Oil-Price Shocks Using Market-Based Information
Author | : Tao Wu |
Publisher | : DIANE Publishing |
Total Pages | : 41 |
Release | : 2010-10 |
Genre | : Technology & Engineering |
ISBN | : 1437935583 |
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The authors study the effects of oil-price shocks on the U.S economy combining narrative and quantitative approaches. After examining daily oil-related events since 1984, they classify them into various event types. They then develop measures of exogenous shocks that avoid endogeneity and predictability concerns. Estimation results indicate that oil-price shocks have had substantial and statistically significant effects during the last 25 years. In contrast, traditional vector auto-regression (VAR) approaches imply much weaker and insignificant effects for the same period. This discrepancy stems from the inability of VARs to separate exogenous oil-supply shocks from endogenous oil-price fluctuations driven by changes in oil demand. Illustrations.
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