Revisiting Oil Supply News Shocks: Proxy vs. Non-Gaussian Structural Vector Autoregressions

Helmut Lütkepohl and Till Strohsal

No 2146, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

Abstract: We replicate a study by Känzig (American Economic Review, 111 (2021), 1092-1125), who employs structural vector autoregressive techniques to examine the impact of changes in oil supply expectations on the price of oil and other macroeconomic aggregates. Känzig identifies an oil supply news shock by constructing a proxy from OPEC announcements about their production plans. As this proxy is a controversial instrument for oil supply news, we use the non-Gaussianity of the data to identify independent structural shocks and find that one of them corresponds closely to Känzig’s oil supply news shock, implying that the proxy is not necessarily needed to obtain a shock with the same characteristics.

Keywords: Structural vector autoregression; non-Gaussian shocks; proxy SVARs; instruments; shock labeling (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 11 p.
Date: 2025
New Economics Papers: this item is included in nep-ets
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