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Recent drivers of the real oil price: Revisiting and extending Kilian's (2009) findings

Gil Kim and David Vera

Energy Economics, 2019, vol. 82, issue C, 201-210

Abstract: We replicate and update the results of Kilian (2009) to include the period since the financial crisis. We separate the drivers of the price of crude oil shocks into three components: oil supply shocks, aggregate demand shocks and oil-market specific demand shocks. We provide evidence that the run-up of oil prices in 2008 was mostly driven by aggregate demand shocks and to a lesser extend by oil-market specific demand shocks, complementing similar analyses in Baumeister and Kilian (2016a) and Kilian (2017). Our results confirm that the cumulative effect of aggregate demand disruptions on the price of crude oil started before 2007. Furthermore, aggregate demand shocks and oil-market specific demand shocks rather than oil supply shocks have the most significant effects on U.S. output and prices. The findings are robust to an alternative measure of global real economic activity.

Keywords: Oil shocks; Business fluctuations (search for similar items in EconPapers)
JEL-codes: E32 Q41 Q43 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:82:y:2019:i:c:p:201-210

DOI: 10.1016/j.eneco.2017.12.020

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