A note on the identification and transmission of energy demand and supply shocks

Michelle Gilmartin

MPRA Paper from University Library of Munich, Germany

Abstract: This paper proposes and implements a novel structural VAR approach for identifying oil demand and supply shocks. In this approach we search for two shocks in the context of a VAR model, which explain the majority of the k-step ahead prediction error variances of oil prices. Finally, we compare our approach with alternative identification schemes based on sign restrictions, and we show that the proposed methods is a useful tool for decomposing oil shocks.

Keywords: oil price shocks; demand and supply; Bayesian VAR; MCMC (search for similar items in EconPapers)
JEL-codes: B4 E32 N10 Q43 (search for similar items in EconPapers)
Date: 2016-01-09
New Economics Papers: this item is included in nep-ecm, nep-ene and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:76186

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