Measuring Oil-Price Shocks Using Market-Based Information

Measuring Oil-Price Shocks Using Market-Based Information
Author :
Publisher : DIANE Publishing
Total Pages : 41
Release :
ISBN-10 : 9781437935585
ISBN-13 : 1437935583
Rating : 4/5 (85 Downloads)

Book Synopsis Measuring Oil-Price Shocks Using Market-Based Information by : Tao Wu

Download or read book Measuring Oil-Price Shocks Using Market-Based Information written by Tao Wu and published by DIANE Publishing. This book was released on 2010-10 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors study the effects of oil-price shocks on the U.S economy combining narrative and quantitative approaches. After examining daily oil-related events since 1984, they classify them into various event types. They then develop measures of exogenous shocks that avoid endogeneity and predictability concerns. Estimation results indicate that oil-price shocks have had substantial and statistically significant effects during the last 25 years. In contrast, traditional vector auto-regression (VAR) approaches imply much weaker and insignificant effects for the same period. This discrepancy stems from the inability of VARs to separate exogenous oil-supply shocks from endogenous oil-price fluctuations driven by changes in oil demand. Illustrations.


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