EconPapers    
Economics at your fingertips  
 

Identifying oil price shocks and their consequences: the role of expectations in the crude oil market

Takuji Fueki, Hiroka Higashi, Naoto Higashio, Jouchi Nakajima, Shinsuke Ohyama and Yoichiro Tamanyu

No 725, BIS Working Papers from Bank for International Settlements

Abstract: This paper proposes a simple but comprehensive structural vector autoregressive (SVAR) model to examine the underlying factors of oil price dynamics. The distinguishing feature is to explicitly assess the role of expectations on future aggregate demand and oil supply in addition to the traditional realized aggregate demand and supply factors. Our empirical analysis shows that identified future demand and supply shocks explain about 30-35 percent of historical oil price fluctuations. In particular, future oil supply shocks are more than twice as important as realized and future demand shocks in accounting for oil price developments. The empirical result indicates that the influence of oil price shocks on global output varies according to the nature of each shock. We also show that the financial factors and the development of shale-oil technology are additional relevant sources of oil price fluctuations.

Keywords: oil demand and supply; oil price; structural vector autoregressive model (search for similar items in EconPapers)
JEL-codes: C32 E44 G12 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ene, nep-ets and nep-mac
Date: 2018-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
https://www.bis.org/publ/work725.pdf Full PDF document (application/pdf)
https://www.bis.org/publ/work725.htm (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bis:biswps:725

Access Statistics for this paper

More papers in BIS Working Papers from Bank for International Settlements Contact information at EDIRC.
Bibliographic data for series maintained by Christian Beslmeisl ().

 
Page updated 2019-11-08
Handle: RePEc:bis:biswps:725