A note on the dynamic effects of supply and demand shocks in the crude oil market

Hoang Nguyen and Pär Österholm

Applied Economics Letters, 2025, vol. 32, issue 11, 1627-1633

Abstract: In this paper, we investigate whether key relations in the crude oil market have been stable over time. This is done by estimating hybrid time-varying parameter structural Bayesian VAR models using monthly data ranging from February 1973 to May 2023. Model selection suggests that while stochastic volatility is preferred over homoscedasticity, the dynamics of the model are best described by constant parameters in all equations.

Date: 2025
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DOI: 10.1080/13504851.2024.2308590

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