Oil price shocks in real time

Andrea Giovanni Gazzani, Fabrizio Venditti () and Giovanni Veronese ()
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Fabrizio Venditti: Bank of Italy
Giovanni Veronese: Bank of Italy

No 1448, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: Oil prices contain information on global shocks of key relevance for monetary policy decisions. We propose a novel approach to identify these shocks at the daily frequency in a Structural Vector Autoregression (SVAR). Our method is devised to be used in real time to interpret developments in the oil market and their implications for the macroeconomy, circumventing the problem of publication lags that plagues monthly data used in workhorse SVAR models. This method proves particularly valuable for monetary policymakers at times when macroeconomic conditions evolve rapidly, like during the COVID-19 pandemic or the invasion of Ukraine by Russia.

Keywords: oil prices; VAR; real time; monetary policy (search for similar items in EconPapers)
JEL-codes: C32 C53 E32 Q43 (search for similar items in EconPapers)
Date: 2024-03
New Economics Papers: this item is included in nep-ban, nep-cis, nep-ecm, nep-ene and nep-tra
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Citations: View citations in EconPapers (1)

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Journal Article: Oil price shocks in real time (2024)
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