Facts and Fiction in Oil Market Modeling

Lutz Kilian

No 7902, CESifo Working Paper Series from CESifo

Abstract: Baumeister and Hamilton (2019a) assert that every critique of their work on oil markets by Kilian and Zhou (2019a) is without merit. In addition, they make the case that key aspects of the economic and econometric analysis in the widely used oil market model of Kilian and Murphy (2014) and its precursors are incorrect. Their critiques are also directed at other researchers who have worked in this area and, more generally, extend to research using structural VAR models outside of energy economics. The purpose of this paper is to help the reader understand what the real issues are in this debate. The focus is not only on correcting important misunderstandings in the recent literature, but on the substantive and methodological insights generated by this exchange, which are of broader interest to applied researchers.

Keywords: oil supply elasticity; oil demand elasticity; IV estimation; structural VAR; Bayesian inference; oil price; global real activity (search for similar items in EconPapers)
JEL-codes: C36 C52 Q41 Q43 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-ene and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Related works:
Journal Article: Facts and fiction in oil market modeling (2022)
Working Paper: Facts and fiction in oil market modeling (2021)
Working Paper: Facts and Fiction in Oil Market Modeling (2020)
Working Paper: Facts and Fiction in Oil Market Modeling (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_7902

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