Have the Effects of Shocks to Oil Price Expectations Changed?: Evidence from Heteroskedastic Proxy Vector Autoregressions

Martin Bruns and Helmut Lütkepohl

No 2036, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

Abstract: Studies of the crude oil market based on structural vector autoregressive (VAR) models typically assume a time-invariant model and transmission of shocks or they consider a time-varying model and shock transmission. We assume a heteroskedastic reduced-form VAR model with time-invariant slope coefficients and test for time-varying impulse responses in a model for the global crude oil market that includes key macroeconomic variables. We find evidence for changes in the transmission of shocks to oil price expectations during the last decades which can be attributed to heteroskedasticity.

Keywords: Structural vector autoregression; heteroskedastic VAR; proxy VAR; crude oil market (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 21 p.
Date: 2023
New Economics Papers: this item is included in nep-des and nep-ene
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Citations: View citations in EconPapers (6)

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Working Paper: Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions (2023)
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