The DOI matches its Crossref record; 55 of the 64 references it cites were found in a registry or an index; 1 of the 43 sources its claims cite were checked for support.
THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL
Open accessAbstract
SUMMARY We develop a structural model of the global market for crude oil that for the first time explicitly allows for shocks to the speculative demand for oil as well as shocks to flow demand and flow supply. The speculative component of the real price of oil is identified with the help of data on oil inventories. Our estimates rule out explanations of the 2003–2008 oil price surge based on unexpectedly diminishing oil supplies and based on speculative trading. Instead, this surge was caused by unexpected increases in world oil consumption driven by the global business cycle. There is evidence, however, that speculative demand shifts played an important role during earlier oil price shock episodes including 1979, 1986 and 1990. Our analysis implies that additional regulation of oil markets would not have prevented the 2003–2008 oil price surge. We also show that, even after accounting for the role of inventories in smoothing oil consumption, our estimate of the short‐run price elasticity of oil demand is much higher than traditional estimates from dynamic models that do not account for for the endogeneity of the price of oil. Copyright © 2013 John Wiley & Sons, Ltd.
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58 No basis given · 56 Own interpretation · 49 Own result · 19 Own method · 18 Sources not found · 12 No full text of the sources · 7 Not checked yet · 1 Couldn’t confirm · accuracy not yet measured
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“There is a consensus in the literature that this shortrun price elasticity of oil supply is close to zero, if not effectively zero.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 3.2. Bound on the Impact Price Elasticity of Oil Supply
What the sources say
- Could not verifycites [14] 14. Davis LW, Kilian L. 2011. Estimating the effect of a gasoline tax on carbon emissions. Journal of Applied Econo- metrics 16: 1187-1214. sourceExperimental — accuracy not yet measured
Section 4.1 (Price Specification; page unavailable) discusses a flat short-run gasoline supply curve as a modeling assumption. The passages found when searching for short-run oil supply elasticity and a literature consensus do not address either claim about oil supply. (LLM, conf=0.77)
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“Our estimates rule out explanations of the 2003-2008 oil price surge based on unexpectedly diminishing oil supplies and based on speculative trading.”
- Also stated in: § 1. INTRODUCTION · plain
“our estimates rule out speculation as a cause of the surge in the real price of oil between 2003 and mid 2008.”
- Also stated in: § 1. INTRODUCTION · plain
“all speculative trading in the spot market for crude oil combined had little effect on the real price of oil between 2003 and mid 2008”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > Abstract
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“It also played a central role in 1990, following Iraq's invasion of Kuwait.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 1. INTRODUCTION
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“We also show that, even after accounting for the role of inventories in smoothing oil consumption, our estimate of the short-run price elasticity of oil demand is much higher than traditional estimates from dynamic models that do not account for for the endogeneity of the price of oil.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > Abstract
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“There is evidence, however, that speculative demand shifts played an important role during earlier oil price shock episodes including 1979, 1986 and 1990.”
- Also stated in: § 1. INTRODUCTION · plain
“although speculative trading does not explain the recent surge in the real price of oil, we show that it played an important role in several earlier oil price shock episodes.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > Abstract
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“it helps explain the sharp decline in the real price of oil in early 1986 after the collapse of OPEC.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 1. INTRODUCTION
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“Our posterior median estimate of the short-run price elasticity of oil demand of À0.26 is four times higher than standard estimates in the literature and there is little probability mass on values close to zero.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 1. INTRODUCTION
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“Our estimates rule out explanations of the 2003-2008 oil price surge based on unexpectedly diminishing oil supplies and based on speculative trading.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > Abstract
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“there is evidence that the recovery of the real price of oil starting in 1999, following an all-time low in post-war history, was aided by coordinated supply cuts.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 1. INTRODUCTION
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“In contrast, flow supply shocks played only a minor role in 1979.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 1. INTRODUCTION
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“Although neither negative flow supply shocks nor positive speculative demand shocks alone can explain the oil price spike and oil inventory behavior of 1990/91, their combined effects do.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 1. INTRODUCTION
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“The continued rise in the real price of oil in 1980 reflected negative flow supply shocks (caused in part by the outbreak of the Iran-Iraq War) as much as continued (if slowing) global growth, amidst declining speculative demand.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 1. INTRODUCTION
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“Business cycle factors were also responsible for the bulk of the 1979/80 oil price increase in conjunction with sharply rising speculative demand in the second half of 1979.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 1. INTRODUCTION
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“most of the new Chinese oil storage facilities had yet to be filled by the end of our sample, so our analysis is not likely to be affected much.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 2.4. How Accurate Are the Oil Inventory Data?
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“The only difference is that some admissible models assign even more explanatory power to flow demand shocks than the benchmark model at the expense of speculative demand shocks.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 4. ESTIMATION RESULTS
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“Finally, a positive speculative demand shock is associated with an immediate jump in the real price of oil.The real price response overshoots, before declining gradually.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 4.1. Responses to Oil Supply and Oil Demand Shocks
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“leasing tankers is expensive and the extent to which tankers have been used for storage appears small and limited to the very end of our sample.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 2.4. How Accurate Are the Oil Inventory Data?
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“A positive flow demand shock causes almost no change in oil inventories on impact, followed by a temporary drawdown of oil inventories.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 4.1. Responses to Oil Supply and Oil Demand Shocks
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“we do not report results for this fourth shock but merely note that it is not an important determinant of the real price of oil.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 3.1. Impact Sign Restrictions
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“A negative flow supply shock is also associated with a reduction in global real activity and a persistent drop in oil production, but much of the initial drop is reversed within the first half year.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 4.1. Responses to Oil Supply and Oil Demand Shocks
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“The V-shaped dip in the real price of oil in 2008/09 coincided with a similar dip in the global real activity measure and is largely driven by flow demand shocks.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 4.3. Did Speculators Cause the Oil Price Shock of 2003-2008?
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“After one year, the real price of oil falls below its starting value, as global real activity drops further.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 4.1. Responses to Oil Supply and Oil Demand Shocks
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“Inventories declined in August of 1990, but only by one third of a standard deviation of the change in inventories.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 4.4. The Inventory Puzzle of 1990
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“These positive flow supply shocks lowered the real price of oil starting in early 2003 and resulted in positive inventory accumulation.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 4.6. The Collapse of OPEC in 1986
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“The historical decomposition in Figure 4 confirms that negative flow supply shocks caused a temporary drop in oil inventories in December of 1978 and January of 1979, but for the next half year positive flow supply shocks increased oil inventories.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 4.5. What Caused the 1979 and 1980 Oil Price Shocks?
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“The Venezuelan oil supply crisis of late 2002 was associated with declining oil inventories, consistent with an unexpected oil supply disruption, but this period also coincided with an increase in speculative demand in anticipation of the 2003 Iraq War that dampened the decline in inventories, while reinforcing the increase in the real price of oil.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 4.6. The Collapse of OPEC in 1986
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“At the same time, as early as March 2003, lower speculative demand caused the real price of oil to drop and oil inventories to fall.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 4.6. The Collapse of OPEC in 1986
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“Figure 6 shows that, as expected, the positive flow supply shock in early 1986 drove down the real price of oil, while oil inventories rose in response.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 4.6. The Collapse of OPEC in 1986
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“At the same time, after March of 1979, repeated speculative demand shocks caused a persistent accumulation of inventories, while driving up the real price of oil.The inventory accumulation continued into 1980.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > SPECULATION IN OIL MARKETS
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“Simultaneously, a drop in speculative demand reinforced the decline in the real price of oil, while lowering inventory holdings.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 4.6. The Collapse of OPEC in 1986
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“Figure 2 shows that not only was there a dramatic and persistent increase in the real price of oil driven by positive flow demand shocks in 1979 and 1980 (not unlike the persistent price increase after 2003), but that increase was reinforced after May of 1979 by a sharp increase in speculative demand, exactly as described by Yergin (1992).”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 4.5. What Caused the 1979 and 1980 Oil Price Shocks?
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- Not matchedcites Yergin (1992)
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“Figure 7 shows that this event reflected a combination of negative flow supply shocks and positive speculative demand shocks.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 4.6. The Collapse of OPEC in 1986
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“One way of demonstrating this point is to note that fitting the conventional reduced-form log-level specification used in some of the earlier literature to our data would yield an elasticity estimate of only À0.02, in line with the existing consensus.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5.1. The Short-Run Price Elasticity of Oil Demand in Production
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“The model assigns substantial probability mass to values between À0.80 and À0.23 and very little probability mass to values close to zero.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5.1. The Short-Run Price Elasticity of Oil Demand in Production
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“The second column in the upper panel of Table II shows that posterior median estimate of O, Use is only À0.26, compared with the estimate of À0.44 for the demand elasticity in oil production.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5.2. The Short-Run Price Elasticity of Oil Demand in Use
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“For the period 1987:12-2009:8, the US and OECD petroleum inventory growth rates are reasonably close, with a correlation of about 80%.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5.2. The Short-Run Price Elasticity of Oil Demand in Use
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“Similar results also hold for ex ante real interest rates.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5.2. The Short-Run Price Elasticity of Oil Demand in Use
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“Our analysis also suggests that there is no evidence that 'peak oil' (or for that matter deliberate production cutbacks by oil producers) had much bearing on the recent oil price fluctuations.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5.2. The Short-Run Price Elasticity of Oil Demand in Use
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In the paper
“The reduced-form model allows for two years' worth of lags.This approach is consistent with evidence in Hamilton and Herrera (2004) and Kilian (2009a) on the importance of allowing for long lags in the transmission of oil price shocks and in modeling business cycles in commodity markets.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 2.2. A Model of the Global Market for Crude Oil
What the sources say
- Not checked — no full text of the sourcecites Hamilton and Herrera (2004) source
- Not matchedcites Kilian (2009a)
Couldn’t be matched to a paper in Crossref, so it can’t be checked.
plain- Asserted: passes — The authors put it forward as true.
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It may state two separate claims as one.
The paper states this without a source or data behind it here, so there is nothing to check it against. The quote shows it is in the paper.
In the paper
“Both flow demand shocks and speculative demand shocks have an expectational component.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 2.2. A Model of the Global Market for Crude Oil
plaincorrelational- Asserted: passes — The authors put it forward as true.
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It may state two separate claims as one.
The paper states this without a source or data behind it here, so there is nothing to check it against. The quote shows it is in the paper.
In the paper
“The feature that distinguishes flow demand shocks from speculative demand shocks is that positive flow demand shocks necessarily involve an increase in the demand for consumption in the current period, whereas speculative demand shocks do not.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 2.2. A Model of the Global Market for Crude Oil
plaindirect- Asserted: passes — The authors put it forward as true.
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Probably not a substantial claim. It may state two separate claims as one.
The paper states this without a source or data behind it here, so there is nothing to check it against. The quote shows it is in the paper.
In the paper
“They have no structural interpretation and suffer from downward bias.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 1. INTRODUCTION
plain- Asserted: passes — The authors put it forward as true.
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The paper states this without a source or data behind it here, so there is nothing to check it against. The quote shows it is in the paper.
In the paper
“upward revisions to expected future demand for crude oil (or downward revisions to expected future production of crude oil), all else equal, will increase the demand for crude oil inventories in the current period, resulting in an instantaneous shift of the contemporaneous demand curve for oil along the oil supply curve and an increase in the real price of oil.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 2.2. A Model of the Global Market for Crude Oil
plaindirect- Asserted: passes — The authors put it forward as true.
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It may state two separate claims as one.
The paper states this without a source or data behind it here, so there is nothing to check it against. The quote shows it is in the paper.
In the paper
“a positive flow demand shock (embodied in a shift to the right of the contemporaneous oil demand curve along the oil supply curve, conditional on all past data) raises the real price of oil and stimulates global oil production within the same month.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 2.2. A Model of the Global Market for Crude Oil
plaindirect- Asserted: passes — The authors put it forward as true.
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A conclusion the paper draws from its own results — it cites no other source for it, so there is none to check. The quote shows it is in the paper.
In the paper
“Indeed, it shows that there is no basis for the premise that such regulation is required to lower the real price of oil or that it would be helpful.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 4.3. Did Speculators Cause the Oil Price Shock of 2003-2008?
boosted- Asserted: passes — The authors put it forward as true.
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It may state two separate claims as one.
A conclusion the paper draws from its own results — it cites no other source for it, so there is none to check. The quote shows it is in the paper.
In the paper
“This evidence suggests that, on average, fluctuations in oil inventories mainly reflect speculative trading as well as production smoothing by refiners in response to oil supply shocks.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 4.2. What Drives Fluctuations in Oil Inventories and in the Real Price of Oil?
hedgeddirect- Asserted: passes — The authors put it forward as true.
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A conclusion the paper draws from its own results — it cites no other source for it, so there is none to check. The quote shows it is in the paper.
In the paper
“The explanation is that the invasion of Kuwait in August of 1990 represented two shocks that occurred simultaneously.On the one hand it involved an unexpected flow supply disruption and on the other an unexpected increase in speculative demand.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 4.4. The Inventory Puzzle of 1990
plaindirectSingle case- Asserted: passes — The authors put it forward as true.
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It may state two separate claims as one.
In the paper
“These estimates imply a larger role for flow supply shocks than the structural VAR model in Kilian (2009a,b), for example, illustrating the importance of explicitly modeling speculative demand shocks and oil inventories.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 4.1. Responses to Oil Supply and Oil Demand Shocks
What the sources say
- Not matchedcites Kilian (2009a,b)
Couldn’t be matched to a paper in Crossref, so it can’t be checked.
plaincorrelational- Asserted: passes — The authors put it forward as true.
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It may state two separate claims as one.
- Not matched
A conclusion the paper draws from its own results — it cites no other source for it, so there is none to check. The quote shows it is in the paper.
In the paper
“Whereas the flow supply shock caused a decline in oil inventories, increased speculative demand in August caused an increase in oil inventories, with the net effect being a modest decline in oil inventories.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 4.4. The Inventory Puzzle of 1990
plaindirect- Asserted: passes — The authors put it forward as true.
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In the paper
“the evidence in Figure 2 suggests that the distinction between normal speculation and speculation that is excessive is moot, for if there is no speculation in the physical market at all there cannot have been excessive speculation either under any definition.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 4.3. Did Speculators Cause the Oil Price Shock of 2003-2008?
What the sources say
- Not checked — no full text of the sourcecites Fattouh et al. (2013) source
hedged- Asserted: passes — The authors put it forward as true.
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It may state two separate claims as one.
What the paper did — it cites no source for this, so there is none to check. The quote shows it is in the paper.
In the paper
“it is essential that we impose all credible identifying restrictions for identification for the estimates to be economically meaningful.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 3.1. Impact Sign Restrictions
plaindirect- Asserted: passes — The authors put it forward as true.
- Checkable: fails — It may be too vague to check against evidence.
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Probably not a substantial claim. It may be too vague to check against evidence.
In the paper
“To our knowledge, this distinctionwith the exception of Considine (1997) has not been discussed in the literature, nor has there been any attempt in the literature to estimate this oil demand elasticity in use.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 3.3. Bound on the Impact Price Elasticity of Oil Demand
What the sources say
- Not checked — no full text of the sourcecites Considine (1997) source
hedged- Asserted: passes — The authors put it forward as true.
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It may state two separate claims as one.
What the paper did — it cites no source for this, so there is none to check. The quote shows it is in the paper.
In the paper
“These restrictions follow directly from the economic model outlined in Section 2.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 3.1. Impact Sign Restrictions
plain- Asserted: passes — The authors put it forward as true.
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Probably not a substantial claim.
A conclusion the paper draws from its own results — it cites no other source for it, so there is none to check. The quote shows it is in the paper.
In the paper
“Hence 'peak oil' may be safely ruled out as an explanation of the surge in the real price of oil after 2003, along with financial speculation and speculation by oil producers.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 4.3. Did Speculators Cause the Oil Price Shock of 2003-2008?
boosted- Asserted: passes — The authors put it forward as true.
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It may state two separate claims as one.
A conclusion the paper draws from its own results — it cites no other source for it, so there is none to check. The quote shows it is in the paper.
In the paper
“In light of this evidence, neither the supply shock explanation nor the speculative demand shock explanation by itself seems compelling.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 4.4. The Inventory Puzzle of 1990
hedged- Asserted: passes — The authors put it forward as true.
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What the paper did — it cites no source for this, so there is none to check. The quote shows it is in the paper.
In the paper
“our model remains well specified even if the arbitrage between spot and futures markets were less than perfect at times, whereas a model including the oil futures spread would become invalid in that case.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 2.3. Why Do We not Include the Oil Futures Spread?
plain- Asserted: passes — The authors put it forward as true.
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It may state two separate claims as one.
A conclusion the paper draws from its own results — it cites no other source for it, so there is none to check. The quote shows it is in the paper.
In the paper
“We conclude that economic fundamentals on the demand side of the oil market are capable of explaining the evolution of the real price of oil during the last decade.No non-standard explanations are required.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 4.3. Did Speculators Cause the Oil Price Shock of 2003-2008?
plaindirect- Asserted: passes — The authors put it forward as true.
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It may state two separate claims as one.
In the paper
“Recently, Hamilton (2009a) observed that speculation in oil futures markets may drive up the real price of oil even without any increase in oil inventories, if refiners are able to pass on fully to gasoline consumers an exogenous increase in the real price of oil driven by speculation.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5. IMPLICATIONS OF THE MODEL FOR THE SHORT-RUN PRICE ELASTICITY OF OIL DEMAND
What the sources say
- Not matchedcites Hamilton (2009a)
Couldn’t be matched to a paper in Crossref, so it can’t be checked.
hedgedconditional- Asserted: passes — The authors put it forward as true.
- Checkable: passes — It can be checked against evidence.
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Probably not a substantial claim.
- Not matched
A conclusion the paper draws from its own results — it cites no other source for it, so there is none to check. The quote shows it is in the paper.
In the paper
“This last example again underscores that geopolitical events in the Middle East matter not merely because of the disruptions of the flow supply of oil they may create, but also because of their effect on speculative demand.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 4.6. The Collapse of OPEC in 1986
plaindirectSingle case- Asserted: passes — The authors put it forward as true.
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It may state two separate claims as one.
The paper states this without a source or data behind it here, so there is nothing to check it against. The quote shows it is in the paper.
In the paper
“All else equal, standard models of speculation imply that oil inventories must increase to enable the real price of oil to increase.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5. IMPLICATIONS OF THE MODEL FOR THE SHORT-RUN PRICE ELASTICITY OF OIL DEMAND
plaindirect- Asserted: passes — The authors put it forward as true.
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Probably not a substantial claim.
The paper states this without a source or data behind it here, so there is nothing to check it against. The quote shows it is in the paper.
In the paper
“While there is little doubt that the price elasticity of oil supply is near zero in the short run, the literature does not offer much direct evidence on the magnitude of the short-run price elasticity of oil demand.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5. IMPLICATIONS OF THE MODEL FOR THE SHORT-RUN PRICE ELASTICITY OF OIL DEMAND
plain- Asserted: passes — The authors put it forward as true.
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Probably not a substantial claim.
The paper states this without a source or data behind it here, so there is nothing to check it against. The quote shows it is in the paper.
In the paper
“Although there is no shortage of elasticity estimates in the literature that seem to confirm this impression, these estimates suffer from two limitations.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5. IMPLICATIONS OF THE MODEL FOR THE SHORT-RUN PRICE ELASTICITY OF OIL DEMAND
plain- Asserted: passes — The authors put it forward as true.
- Checkable: passes — It can be checked against evidence.
- Load-bearing: passes — The paper’s conclusions depend on it.
- Based: fails — The paper may give no reason why it holds.
Probably not a substantial claim. The paper may give no reason why it holds.
A claim is checked only against the cited paper’s full text, never its abstract, and none is available for its sources.
In the paper
“For example, surveys by Dahl (1993) and Cooper (2003) report estimates between À0.05 and À0.07.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5.1. The Short-Run Price Elasticity of Oil Demand in Production
What the sources say
plain- Asserted: passes — The authors put it forward as true.
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- Load-bearing: fails — The paper’s conclusions may not depend on it.
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Probably not a substantial claim. The paper’s conclusions may not depend on it.
The paper states this without a source or data behind it here, so there is nothing to check it against. The quote shows it is in the paper.
In the paper
“Even higher oil demand elasticity estimates have been obtained independently by other recent studies employing structural estimation methods.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5.2. The Short-Run Price Elasticity of Oil Demand in Use
plain- Asserted: passes — The authors put it forward as true.
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- Load-bearing: fails — The paper’s conclusions may not depend on it.
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Probably not a substantial claim. The paper’s conclusions may not depend on it. The paper may give no reason why it holds.
What the paper did — it cites no source for this, so there is none to check. The quote shows it is in the paper.
In the paper
“It should be noted, however, that historical decompositions for the real price of oil rely on the assumption of covariance stationarity and would not be valid in the presence of unit roots.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5.2. The Short-Run Price Elasticity of Oil Demand in Use
hedgeddirect- Asserted: passes — The authors put it forward as true.
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- Load-bearing: fails — The paper’s conclusions may not depend on it.
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Probably not a substantial claim. The paper’s conclusions may not depend on it. The paper may give no reason why it holds. It may state two separate claims as one.
- The authors state this as an assumption: The real price of oil is covariance stationary for the historical decompositions.
In the paper
“This implication is fully consistent with other, more direct evidence on the potential impact of financial investors on oil futures prices (seeFattouh et al., 2013).”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5.2. The Short-Run Price Elasticity of Oil Demand in Use
What the sources say
- Not checked — no full text of the sourcecites Fattouh et al., 2013 source
boostedcorrelational- Asserted: passes — The authors put it forward as true.
- Checkable: passes — It can be checked against evidence.
- Load-bearing: fails — The paper’s conclusions may not depend on it.
- Based: passes — The paper gives a reason why it holds.
Probably not a substantial claim. The paper’s conclusions may not depend on it.
A conclusion the paper draws from its own results — it cites no other source for it, so there is none to check. The quote shows it is in the paper.
In the paper
“The model implies that the real price of oil is expected to rise further as the global economy recovers from the financial crisis, creating a policy dilemma, unless energy consumption can be reduced or new energy sources can be found.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5.2. The Short-Run Price Elasticity of Oil Demand in Use
plainconditional- Asserted: passes — The authors put it forward as true.
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It may state two separate claims as one.
A conclusion the paper draws from its own results — it cites no other source for it, so there is none to check. The quote shows it is in the paper.
In the paper
“Limits to arbitrage, of course, would undermine the argument that financial speculation is driving the spot price.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5.2. The Short-Run Price Elasticity of Oil Demand in Use
hedgeddirect- Asserted: passes — The authors put it forward as true.
- Checkable: passes — It can be checked against evidence.
- Load-bearing: fails — The paper’s conclusions may not depend on it.
- Based: fails — The paper may give no reason why it holds.
Probably not a substantial claim. The paper’s conclusions may not depend on it. The paper may give no reason why it holds.
What the paper did — it cites no source for this, so there is none to check. The quote shows it is in the paper.
In the paper
“Both forms of speculation are permitted by our model, but only speculation that involves the accumulation of inventories above the ground is explicitly identified.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5.2. The Short-Run Price Elasticity of Oil Demand in Use
plain- Asserted: passes — The authors put it forward as true.
- Checkable: passes — It can be checked against evidence.
- Load-bearing: fails — The paper’s conclusions may not depend on it.
- Based: passes — The paper gives a reason why it holds.
Probably not a substantial claim. The paper’s conclusions may not depend on it. It may state two separate claims as one.
- The authors state this as an assumption: The structural shocks in the model are mutually uncorrelated.
What the paper did — it cites no source for this, so there is none to check. The quote shows it is in the paper.
In the paper
“Since the impulse response estimates presented below are reasonably precisely estimated, this is not a concern in this study.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5.2. The Short-Run Price Elasticity of Oil Demand in Use
plain- Asserted: passes — The authors put it forward as true.
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It may state two separate claims as one.
What the paper did — it cites no source for this, so there is none to check. The quote shows it is in the paper.
In the paper
“The potential cost of not imposing unit roots in estimation is a loss of asymptotic efficiency, which would be reflected in wider error bands.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5.2. The Short-Run Price Elasticity of Oil Demand in Use
hedgeddirect- Asserted: passes — The authors put it forward as true.
- Checkable: passes — It can be checked against evidence.
- Load-bearing: fails — The paper’s conclusions may not depend on it.
- Based: passes — The paper gives a reason why it holds.
Probably not a substantial claim. The paper’s conclusions may not depend on it.
In the paper
“Oil supply shocks played a small role only, violating the premise of Hamilton's calculations.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5.2. The Short-Run Price Elasticity of Oil Demand in Use
What the sources say
- Not matchedcites Hamilton (2009a,b)
Couldn’t be matched to a paper in Crossref, so it can’t be checked.
plain- Asserted: passes — The authors put it forward as true.
- Checkable: passes — It can be checked against evidence.
- Load-bearing: passes — The paper’s conclusions depend on it.
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It may state two separate claims as one.
- Not matched
What the paper did — it cites no source for this, so there is none to check. The quote shows it is in the paper.
In the paper
“The level specification adopted in this paper has the advantage that the impulse response estimates are asymptotically valid not only under the maintained assumption of a stationary real price of oil, but robust to departures from that assumption, whereas incorrectly differencing the real price of oil would cause these estimates to be inconsistent.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5.2. The Short-Run Price Elasticity of Oil Demand in Use
plaindirect- Asserted: passes — The authors put it forward as true.
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It may state two separate claims as one.
The paper states this without a source or data behind it here, so there is nothing to check it against. The quote shows it is in the paper.
In the paper
“Instead, anecdotal evidence suggests that oil producers such as Saudi Arabia have often increased their production levels following positive speculative demand shocks, consistent with the view that the expected impact response should be weakly positive.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5.2. The Short-Run Price Elasticity of Oil Demand in Use
hedgeddirect- Asserted: passes — The authors put it forward as true.
- Checkable: passes — It can be checked against evidence.
- Load-bearing: passes — The paper’s conclusions depend on it.
- Based: unclear — It is unclear why the paper says it holds.
It may state two separate claims as one.
A conclusion the paper draws from its own results — it cites no other source for it, so there is none to check. The quote shows it is in the paper.
In the paper
“Our model also reconciles some seemingly puzzling observations related to earlier oil price surges.”
- Also stated in: § 5.2. The Short-Run Price Elasticity of Oil Demand in Use · boosted
“We demonstrated that this inventory puzzle can be resolved with the help of a structural oil market model.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5.2. The Short-Run Price Elasticity of Oil Demand in Use
boosteddirect- Asserted: passes — The authors put it forward as true.
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The quote only partly states this claim.
- The authors state this as an assumption: The structural shocks in the model are mutually uncorrelated.
- Also stated in: § 5.2. The Short-Run Price Elasticity of Oil Demand in Use · boosted
A conclusion the paper draws from its own results — it cites no other source for it, so there is none to check. The quote shows it is in the paper.
In the paper
“Because the implied inventory responses are of opposite sign, the net effect in inventories is close to zero, where the sharp price increase reflects the fact that the implied price responses are of the same sign.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5.2. The Short-Run Price Elasticity of Oil Demand in Use
plaindirect- Asserted: passes — The authors put it forward as true.
- Checkable: passes — It can be checked against evidence.
- Load-bearing: passes — The paper’s conclusions depend on it.
- Based: passes — The paper gives a reason why it holds.
It may state two separate claims as one.
- The authors state this as an assumption: The structural shocks in the model are mutually uncorrelated.
The paper states this without a source or data behind it here, so there is nothing to check it against. The quote shows it is in the paper.
In the paper
“None of these studies accounts for changes in inventories, however.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5.2. The Short-Run Price Elasticity of Oil Demand in Use
plain- Asserted: passes — The authors put it forward as true.
- Checkable: passes — It can be checked against evidence.
- Load-bearing: passes — The paper’s conclusions depend on it.
- Based: passes — The paper gives a reason why it holds.
Probably not a substantial claim.
What the paper did — it cites no source for this, so there is none to check. The quote shows it is in the paper.
In the paper
“Note that we do not need to restrict the oil demand elasticity in production.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5.2. The Short-Run Price Elasticity of Oil Demand in Use
plain- Asserted: passes — The authors put it forward as true.
- Checkable: passes — It can be checked against evidence.
- Load-bearing: fails — The paper’s conclusions may not depend on it.
- Based: passes — The paper gives a reason why it holds.
Probably not a substantial claim. The paper’s conclusions may not depend on it.
A conclusion the paper draws from its own results — it cites no other source for it, so there is none to check. The quote shows it is in the paper.
In the paper
“Note that by construction Use t depends on Q t À 1 and hence will be time-varying even though the oil demand elasticity in production is not.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > Additional information
plaindirect- Asserted: passes — The authors put it forward as true.
- Checkable: passes — It can be checked against evidence.
- Load-bearing: fails — The paper’s conclusions may not depend on it.
- Based: passes — The paper gives a reason why it holds.
Probably not a substantial claim. The paper’s conclusions may not depend on it.
- The authors state this as an assumption: Prior to the shock, the change in crude oil inventories is equal to its mean ΔS.
None of the sources cited for this claim have been checked yet.
In the paper
“In related work,Yatchew and No (2001) using more detailed Canadian data arrive at a long-run gasoline demand elasticity estimate of À0.9, very close to Hausman and Newey's original estimate.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5.2. The Short-Run Price Elasticity of Oil Demand in Use
What the sources say
- Not checked — no full text of the sourcecites Yatchew and No (2001) source
- Not matchedcites Hausman and Newey
Couldn’t be matched to a paper in Crossref, so it can’t be checked.
plain- Asserted: passes — The authors put it forward as true.
- Checkable: passes — It can be checked against evidence.
- Load-bearing: fails — The paper’s conclusions may not depend on it.
- Based: passes — The paper gives a reason why it holds.
Probably not a substantial claim. The paper’s conclusions may not depend on it. It may state two separate claims as one.
What the paper did — it cites no source for this, so there is none to check. The quote shows it is in the paper.
In the paper
“Our impact sign restrictions ensure that this elasticity is weakly negative on impact.”
§ THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL > 5.2. The Short-Run Price Elasticity of Oil Demand in Use
plain- Asserted: passes — The authors put it forward as true.
- Checkable: passes — It can be checked against evidence.
- Load-bearing: unclear — It is unclear whether the paper’s conclusions depend on it.
- Based: passes — The paper gives a reason why it holds.
The quote only partly states this claim.
The authors state this as an assumption.
Arbitrage between the spot and futures markets for crude oil holds.
“under the maintained assumption of arbitrage between spot and futures markets”
“there is an arbitrage condition linking the oil futures market and the spot market for crude oil.”
The authors state this as an assumption.
The oil refining industry satisfies assumptions such that the short-run price elasticity of gasoline demand is about as high as the short-run price elasticity of oil demand.
“under reasonable assumptions about the oil refining industry the short-run price elasticity of gasoline demand is about as high as the short-run price elasticity of oil demand.”
The authors state this as an assumption.
The impact elasticity of oil demand in use is weakly negative on average over the sample.
“A natural additional identifying assumption is that the impact elasticity of oil demand in use, Use t , must be weakly negative on average over the sample.”
The authors state this as an assumption.
The impact price elasticity of oil demand is lower in magnitude than the corresponding long-run price elasticity of oil demand.
“It is reasonable to presume that the impact price elasticity of oil demand is lower in magnitude than the corresponding long-run price elasticity of oil demand”
The authors state this as an assumption.
Under the standard assumption of arbitrage between the futures and spot markets for oil, the absence of speculation in the spot market rules out speculation in oil futures markets.
“under the standard assumption of arbitrage between the futures and spot markets for oil maintained by proponents of the financial speculation hypothesis”
The authors state this as an assumption.
In the model, OPEC holding back oil production in anticipation of rising oil prices is observationally equivalent to a negative flow supply shock.
“In our model, OPEC holding back oil production in anticipation of rising oil prices would be observationally equivalent to a negative flow supply shock.”
The paper relies on this without support.
The price elasticity of oil supply is near zero in the short run.
“While there is little doubt that the price elasticity of oil supply is near zero in the short run”
The authors state this as an assumption.
The speculative demand shock is a composite of expectations shocks related to shifts in uncertainty and to the anticipation of rising oil demand and/or falling oil supplies.
“Given that this shock is a composite of expectations shocks related to shifts in uncertainty and to the anticipation of rising oil demand and/or falling oil supplies, it is impossible to determine the sign of these responses ex ante beyond the impact period.”
The paper relies on this without support.
Standard structural VAR models of the market for crude oil implicitly equate oil production with oil consumption and ignore the role of oil inventories.
“Standard structural VAR models of the market for crude oil implicitly equate oil production with oil consumption and ignore the role of oil inventories.”
The paper relies on this without support.
Typical estimates of the oil demand elasticity in the literature have been based on models that equate the percent change in quantity with the percent change in the production of crude oil, ignoring the existence of oil inventories.
“Second, typical estimates of the oil demand elasticity in the literature have been based on models that equate the percent change in quantity with the percent change in the production of crude oil, ignoring the existence of oil inventories.”
The authors state this as an assumption.
The structural shocks in the model are mutually uncorrelated.
“Our analysis is based on the premise that these shocks are mutually uncorrelated, but allows multiple shocks to occur at the same time.”
The authors state this as an assumption.
The real price of oil is covariance stationary for the historical decompositions.
“historical decompositions for the real price of oil rely on the assumption of covariance stationarity and would not be valid in the presence of unit roots.”
The paper relies on this without support.
Oil below ground (reserves) is inaccessible in the short run and not available for consumption smoothing.
“Unlike above-ground oil inventories that can be drawn down at short notice, oil below the ground (also known as reserves) is inaccessible in the short run and not available for consumption smoothing.”
The paper relies on this without support.
No reliable time series data exist on the quantity of oil below the ground.
“We do not utilize data for reserves because no reliable time series data exist on the quantity of oil below the ground and because reserves data are not required for our identification.”
The paper relies on this without support.
In practice, it will often take years for significant production increases.
“In practice, it will often take years for significant production increases.”
The authors state this as an assumption.
Prior to the shock, the change in crude oil inventories is equal to its mean ΔS.
“prior to the shock, the change in crude oil inventories is equal to its mean ΔS; which is observable.”
Citations
Cites
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Self-citation
Cited by
Sorted by citations
Items 701–800 of 1,477
Critical minerals and structural oil shocks: Evidence from wavelet cross-quantile correlation
Akadırı, S. S., & Özkan, O. (2025) · Resources Policy · doi:10.1016/j.resourpol.2025.105570 · Cited by 8
Fuel prices as a driver of sustainable mobility: Impacts on traffic volume and vehicle choice
Haxhimusa, A., & Liebensteiner, M. (2025) · Energy Economics · doi:10.1016/j.eneco.2025.108617 · Cited by 8
Oil price shocks and US business cycles
Qureshi, I. A., & Ahmad, G. (2025) · Journal of Economic Dynamics and Control · doi:10.1016/j.jedc.2025.105132 · Cited by 8
Macroeconomic regime change and the size of supply chain disruption and energy supply shocks
Santis, R. A. D., & Tornese, T. (2025) · European Economic Review · doi:10.1016/j.euroecorev.2025.105077 · Cited by 8
Examining the Role of Financial Investors and Speculation in Oil Markets
Babusiaux, D., Pierru, A., & Lasserre, F. (2011) · The Journal of Alternative Investments · doi:10.3905/jai.2011.14.1.061 · Cited by 8
Yao, W., & Alexiou, C. (2023) · International Review of Economics & Finance · doi:10.1016/j.iref.2023.08.003 · Cited by 9
The Economic Impact of Russia's Invasion of Ukraine on European Countries – a SVAR Approach
Bruhin, J., Scheufele, R., & Stucki, Y. (2026) · Review of International Economics · doi:10.1111/roie.70064 · Cited by 8
Higher-order moment risk spillovers and optimal portfolio strategies in global oil markets
Cui, J., Alshater, M. M., & Mensi, W. (2023) · Resources Policy · doi:10.1016/j.resourpol.2023.104286 · Cited by 8
How Oil Shocks Propagate: Evidence on the Monetary Policy Channel
Miyamoto, W., Nguyen, T. L., Francisco, F. R. B. O. S., et al. (2023) · Federal Reserve Bank of San Francisco, Working Paper Series · doi:10.24148/wp2024-07 · Cited by 8
Mensi, W., Brahim, M., Hammoudeh, S. M., et al. (2024) · Resources Policy · doi:10.1016/j.resourpol.2024.105077 · Cited by 8
Inflation effects of oil and gas prices in the UK: Symmetries and asymmetries
Abubakar, A. B., Karimu, S., & Mamman, S. O. (2024) · Utilities Policy · doi:10.1016/j.jup.2024.101803 · Cited by 8
“The structural oil market model (Kilian and Murphy, 2014) illustrates how fluctuations in oil prices can be traced back to distinct structural shocks with various economic interpretations.”
BackgroundOil Price Shocks and Macroeconomic Fluctuations: A GVAR Approach
Attílio, L. A., & Mollick, A. V. (2024) · Manchester School · doi:10.1111/manc.12502 · Cited by 8
Price Setting and Volatility: Evidence from Oil Price Volatility Shocks
Klepacz, M. (2021) · International Finance Discussion Paper · doi:10.17016/ifdp.2021.1316 · Cited by 8
A systematic review in crude oil markets: Embarking on the oil price
Zheng, Y., & Du, Z. (2019) · Green Finance · doi:10.3934/gf.2019.3.328 · Cited by 8
Piersanti, G., Piersanti, M., Cicone, A., et al. (2020) · Energy Economics · doi:10.1016/j.eneco.2020.104952 · Cited by 8
Dry Bulk Shipping and the Evolution of Maritime Transport Costs, 1850-2020
Jacks, D. S., Stuermer, M., & Dallas, F. R. B. O. (2021) · Federal Reserve Bank of Dallas, Working Papers · doi:10.24149/wp2102 · Cited by 8
Modeling world oil market questions: An economic perspective
Durand-Lasserve, O., & Pierru, A. (2021) · Energy Policy · doi:10.1016/j.enpol.2021.112606 · Cited by 8
Destabilizing or passive? The impact of commodity index traders on equilibrium prices
Sun, H., Bos, J. W. B., & Rodrigues, P. (2022) · International Review of Economics & Finance · doi:10.1016/j.iref.2022.08.014 · Cited by 8
Oil market: Conflict between recovery and energy transition
Grigoryev, L. M., & Kheifets, E. A. (2022) · Voprosy Ekonomiki · doi:10.32609/0042-8736-2022-9-5-33 · Cited by 8
Oil Price and Financial Markets in the Main OPEC Countries
Cretì, A., Ftiti, Z., & Guesmi, K. (2014) · Energy Studies Review · doi:10.15173/esr.v20i3.553 · Cited by 8
Nonejad, N. (2020) · Economics Letters · doi:10.1016/j.econlet.2020.109582 · Cited by 8
Legrand, N. (2018) · Journal of Economic Surveys · doi:10.1111/joes.12291 · Cited by 9
Forecasting the Term Structure of Crude Oil Futures Prices with Neural NetworksPreprint
Baruník, J., & Malinskk, B. (2015) · SSRN Electronic Journal · doi:10.2139/ssrn.2596175 · Cited by 8
“Some authors attribute increase in futures prices to speculators and sudden shrinkage of oil reserve, while others disprove their arguments (Kilian and Murphy, 2014; Mahadeva et al., 2013).”
BackgroundResultOil Price Fluctuations and Trade Balance of TurkeyPreprint
Uğurlu, E., & AÇIKALIN, S. (2014) · SSRN Electronic Journal · doi:10.2139/ssrn.3481605 · Cited by 8
Macroeconomic Fluctuations, Oil Supply Shocks, and Equilibrium Oil Futures PricesPreprint
Hitzemann, S. (2014) · SSRN Electronic Journal · doi:10.2139/ssrn.2513624 · Cited by 8
Ready, R. C. (2014) · SSRN Electronic Journal · doi:10.2139/ssrn.2455912 · Cited by 8
Dynamic Regulatory Distortions: Coal Procurement at U.S. Power PlantsPreprint
Jha, A. (2019) · SSRN Electronic Journal · doi:10.2139/ssrn.3330740 · Cited by 8
Understanding the Time Variation in Exchange Rate Pass-Through to Import Prices
Cunningham, R. M., Friedrich, C., Hess, K., et al. (2021) · Econstor (Econstor) · doi:10.34989/sdp-2017-12 · Cited by 8
Much Ado About Nothing? The Shale Oil Revolution and the Global Supply CurvePreprint
Foroni, C., & Stracca, L. (2019) · SSRN Electronic Journal · doi:10.2139/ssrn.3438218 · Cited by 8
“In particular, we estimate a VAR model similar to the Kilian and Murphy (2014) model of the oil market in order to derive estimates of oil demand shocks, which we use to identify movements in the real price of oil driven by exogenous demand shifts.”
BackgroundMethodInfluentialBaumeister, C. J. S., & Hamilton, J. D. (2020) · National Bureau of Economic Research · doi:10.3386/w26606 · Cited by 8
Refining the Workhorse Oil Market ModelPreprint
Zhou, X. (2019) · SSRN Electronic Journal · doi:10.2139/ssrn.3323885 · Cited by 8
Kilian, L. (2015) · The New Palgrave Dictionary of Economics · doi:10.1057/978-1-349-95121-5_3008-1 · Cited by 10
Self-citationEstimating the emissions reductions from supply-side fossil fuel interventions
Prest, B., Fell, H. G., Gordon, D., et al. (2024) · Energy Economics · doi:10.1016/j.eneco.2024.107720 · Cited by 7
The European energy crisis and the US natural gas market dynamics: a structural VAR investigation
Rubaszek, M., & Szafranek, K. (2024) · International Economics and Economic Policy · doi:10.1007/s10368-024-00636-6 · Cited by 7
“Let us notice that the specification of our model is similar to the influential studies for the oil market (Kilian and Murphy 2014; Baumeister and Hamilton 2019) as well as the articles describing the functioning of the US natural gas market (Wiggins and Etienne 2017; Rubaszek et al. 2021).”
Forecasting crude oil returns with oil-related industry ESG indices
Li, K., Zhang, Z., Zhang, Z., et al. (2024) · Journal of commodity markets · doi:10.1016/j.jcomm.2024.100444 · Cited by 7
The Determinants of Marginal Convenience Yield in Agricultural Commodity Markets
Bermpei, T., & Triantafyllou, A. (2025) · Journal of Futures Markets · doi:10.1002/fut.22562 · Cited by 7
The role of storage in commodity markets: Indirect inference based on grain data
Gouel, C. B., & Legrand, N. (2025) · Quantitative Economics · doi:10.3982/qe2329 · Cited by 7
Exploring the vulnerability of energy security to supply chain interruptions: A global perspective
Khan, K., & Khurshid, A. (2025) · Energy Sources Part B Economics Planning and Policy · doi:10.1080/15567249.2025.2531444 · Cited by 7
“Meanwhile, oil prices touched the highest level in the pre-recession period, resulting in cost inflation in the manufacturing and transportation supply chains (Kilian and Murphy 2014).”
Global oil trading networks: Structural patterns and geopolitical risks
Tao, M., Che, S., Qi, L., Wu, L., & Saadaoui, J. (2025) · Energy Economics · doi:10.1016/j.eneco.2025.108965 · Cited by 12
Daneshvar, M. R. M., Sohrabi, A., Sadeghi, A., et al. (2023) · Modeling Earth Systems and Environment · doi:10.1007/s40808-023-01886-0 · Cited by 7
“Similar variables in the research field of econometric evaluations have been chosen by abroad scholars (e.g., Lewis 2007, Kilian and Murphy 2013, Shab - bir et al. 2020, Dinh 2020).”
Exchange rate pass-through in small, open, commodity-exporting economies: Lessons from Canada
Flaccadoro, M. (2024) · Journal of International Economics · doi:10.1016/j.jinteco.2024.103885 · Cited by 7
Climate change and the US wheat commodity market
Lipsis, V. D., & Agnolucci, P. (2024) · Journal of Economic Dynamics and Control · doi:10.1016/j.jedc.2024.104823 · Cited by 7
Partisan conflict, trade policy uncertainty, and the energy market
Yang, C., Zhang, H., Qin, Y., et al. (2024) · Research in International Business and Finance · doi:10.1016/j.ribaf.2024.102450 · Cited by 7
Scheitrum, D. P., Carter, C. A., & Jaffe, A. M. (2015) · Energy Economics · doi:10.1016/j.eneco.2015.10.015 · Cited by 7
The tail risk premium in the oil market
Ellwanger, R. (2024) · Energy Economics · doi:10.1016/j.eneco.2024.108041 · Cited by 7
Oil Price Factors: Forecasting on the Base of Modified ARIMA Model
Nyangarika, A. M., & Tang, B.-J. (2018) · IOP Conference Series Earth and Environmental Science · doi:10.1088/1755-1315/192/1/012058 · Cited by 7
IMPACT OF OIL PRICE SHOCKS ON SECTORAL RETURNS IN NIGERIA STOCK MARKET
Onyeke, C. E., Nwakoby, I. C., Onwumere, J. U. J., et al. (2020) · International Journal of Energy Economics and Policy · doi:10.32479/ijeep.10189 · Cited by 7
“Daily data would have served better but because some key variables in this study such as Oil Inventory (Kilian and Murphy, 2014, Kilian and Lee, 2013) (proxy for precautionary oil demand shocks) and global Real Economic Activities (proxy for oil demand shocks) (Kilian, 2009, Kilian and Park, 2009,…”
BackgroundMethodInfluentialFinancial regimes and oil prices
Barrales-Ruiz, J. A., & Mohammed, M. (2021) · Resources Policy · doi:10.1016/j.resourpol.2021.102299 · Cited by 7
Fragmentation in the European Monetary Union: Is it really over?
Candelon, B., Luisi, A., & Roccazzella, F. (2021) · Journal of International Money and Finance · doi:10.1016/j.jimonfin.2021.102545 · Cited by 7
STRATEGIC INTERACTIONS AND NEGATIVE OIL PRICES
Ma, C., & Wang, X. (2021) · Annals of Financial Economics · doi:10.1142/s2010495221500135 · Cited by 7
Asymmetric pass through of energy commodities to US sectoral returns
Rehman, M. U., Zeitun, R. M. A., Mardani, A., et al. (2022) · Resources Policy · doi:10.1016/j.resourpol.2022.102549 · Cited by 7
Crude oil pricing and statecraft: Surprising lessons from US economic sanctions
Omar, A., & Lambe, B. J. (2022) · International Review of Financial Analysis · doi:10.1016/j.irfa.2022.102314 · Cited by 6
The threshold effect of public debt on the twin imbalances: Evidence from MENA countries
Bousnina, R., & Gabsi, F. B. (2022) · Journal of International Trade & Economic Development · doi:10.1080/09638199.2022.2139403 · Cited by 7
Is Facebook Prophet Superior than Hybrid Arima Model to Forecast Crude Oil Price?
Aziz, M. I. A., Barawi, M. H., & Shahiri, H. I. (2021) · Sains Malaysiana · doi:10.17576/jsm-2022-5108-22 · Cited by 7
Kliber, A., Łęt, B., & Řezáč, P. (2024) · Energy · doi:10.1016/j.energy.2024.131037 · Cited by 7
Factors Influencing Oil Prices: A Survey of the Current State of Knowledge in the Context of the
Ederington, L. H., Fernano, C. S., Lee, T. K. M., et al. (2011) · Cited by 7
Physical Market Conditions, Paper Market Activity, and the WTI-Brent Spread
Büyükşahin, B., Lee, T. K. M., Moser, J. T., & Robe, M. A. (2012) · Cited by 7
Financialization of the Commodities Markets: A Non-technical Introduction
Carmona, R. A. (2015) · Fields Institute communications · doi:10.1007/978-1-4939-2733-3_1 · Cited by 7
“Furthermore, Kilian and Murphy [21] argue that the 2003-2008 oil price surge was due to global demand shocks rather than speculation.”
BackgroundJha, A. (2021) · Journal of the Association of Environmental and Resource Economists · doi:10.1086/715885 · Cited by 7
Islam, M. M., Sohag, K., & Rehman, F. U. (2022) · Mathematics · doi:10.3390/math11010180 · Cited by 7
Monetary policy and energy price shocks
Huynh, B. T. (2017) · The B E Journal of Macroeconomics · doi:10.1515/bejm-2015-0113 · Cited by 7
“Bodenstein et al (2008) and Nakov and Pescatori (2010) incorporated features of endogenous energy production, but in Bodenstein et al (2008) there was no actual energy (oil) production, and Nakov and Pescatori (2010) employed a different structure of organization of the oil industry.”
BackgroundInfluentialApplication of Markov Model in Crude Oil Price Forecasting
Malaysia, U. T. H. O., Isah, N., Bon, A. T., et al. (2017) · Path of Science · doi:10.22178/pos.25-3 · Cited by 7
Thiem, C. (2018) · Applied Economics · doi:10.1080/00036846.2018.1436142 · Cited by 7
“Given that Kilian (2009), Alquist and Kilian (2009) and Kilian and Murphy (2014) have argued that oil prices in part reflect expectations and uncertainty regarding future economic conditions, this seems not to be too far fetched.”
BackgroundFuel Subsidies, the Oil Market and the World Economy
Balke, N. S., Plante, M. D., Dallas, F. R. B. O., et al. (2014) · Federal Reserve Bank of Dallas, Working Papers · doi:10.24149/wp1407 · Cited by 7
Oil and the Macroeconomy in a Changing World: A Conference SummaryPreprint
Foote, C. L., & Sneddon-Little, J. (2011) · SSRN Electronic Journal · doi:10.2139/ssrn.1863963 · Cited by 7
Capturing Long-Term Coupling and Short-Term Decoupling Crude Oil and Natural Gas PricesPreprint
Gatfaoui, H. (2016) · SSRN Electronic Journal · doi:10.2139/ssrn.2872780 · Cited by 7
What Drives Oil Prices? Emerging Versus Developed EconomiesPreprint
Aastveit, K. A., Bjørnland, H. C., & Thorsrud, L. A. (2013) · SSRN Electronic Journal · doi:10.2139/ssrn.2261106 · Cited by 7
Prices vs. Equity in International Climate Policy: A Broad PerspectivePreprint
Bretschger, L., & Mollet, J. C. (2015) · SSRN Electronic Journal · doi:10.2139/ssrn.2561326 · Cited by 7
“This elasticity is also in line with Hausman and Newey (1995) and Kilian and Murphy (2013).”
InfluentialShock Absorbers and Transmitters: The Dual Facets of Bank SpecializationPreprint
Iyer, R., Kokas, S., Michaelides, A., et al. (2022) · SSRN Electronic Journal · doi:10.2139/ssrn.4180127 · Cited by 7
“In columns I-V and VI-X, we use the “economist” approach (Kilian and Murphy, 2014) and the “financial market” approach (Hamilton and Wu, 2014) to construct oil price expectations.”
MethodInfluentialCommodity Price Cycles: Commonalities, Heterogeneities, and Drivers
Kabundi, A. N., & Zahid, H. (2023) · World Bank, Washington, DC eBooks · doi:10.1596/1813-9450-10401 · Cited by 7
The dependency structure of international commodity and stock markets after the Russia-Ukraine war
Zhang, C., Liu, S., Qin, M., et al. (2025) · PLoS ONE · doi:10.1371/journal.pone.0316288 · Cited by 6
“In recent decades, the deepening integration of global trade has provided investors in financial markets with a broader and more complex range of investment choices and portfolio strategies, while the trend of commodity financialization has also intensified [1].”
The impact of geopolitical risk on food prices: evidence from the TVP-SV-VAR model
Liu, Q., Chen, X., & Xu, Z. (2025) · Journal of Economics and Finance · doi:10.1007/s12197-025-09710-4 · Cited by 6
“This finding aligns with research by Kilian and Murphy (2014), which emphasizes the immediate effects of geopolitical risks on oil prices.”
Systemic risk and oil price volatility shocks
Chatziantoniou, I., Çolak, G., Filippidis, M., Filis, G. N., & Tzouvanas, P. (2025) · Journal of Financial Stability · doi:10.1016/j.jfs.2025.101432 · Cited by 6
Szturo, M., Włodarczyk, B., Miciuła, I., & Szturo, K. (2021) · Energies · doi:10.3390/en14237978 · Cited by 6
Financial ambiguity and oil prices
Ayoub, M., & Qadan, M. (2024) · Financial Innovation · doi:10.1186/s40854-024-00656-w · Cited by 6
Billah, M., Shaik, M., Hadhri, S., et al. (2024) · Applied Economics · doi:10.1080/00036846.2024.2424500 · Cited by 6
“Their research shows that demand-side shocks have a more significant impact on stock markets than supply-side shocks (Kilian and Murphy 2014; Kilian and Zhou 2020; Kim and Vera 2019).”
The ripple effects of energy price volatility on equity and debt markets: a Morlet wavelet analysis
Razi, U., Cheong, C. W. H., Afshan, S., et al. (2025) · Eurasian economic review : · doi:10.1007/s40822-024-00292-w · Cited by 6
“One of the pioneering investigations to this end was by Kilian and Murphy (2014).”
Disentangling Timing Uncertainty of Event‐Driven Connectedness Among Oil‐Based Energy Commodities
Evžen Kočenda, A., & Bartušek, D. (2025) · Australian Economic Review · doi:10.1111/1467-8462.12583 · Cited by 6
Deconstructing fertilizer price spikes: Evidence from Chinese urea fertilizer market
Hu, Z., Yan, L., Yuan, J., & Etienne, X. L. (2025) · Food Policy · doi:10.1016/j.foodpol.2025.102829 · Cited by 6
Modelling the Global Price of Oil:Is there any Role for the Oil Futures-spot Spread?
Valenti, D. (2021) · The Energy Journal · doi:10.5547/01956574.43.2.dval · Cited by 6
“Despite the improvement on data accuracy relative to the measure of stocks proposed by Kilian and Murphy (2014), the EIG inventories are not available before January 1985 and they do not provide a precise measure for emerging countries.”
InfluentialForward guidance matters: Disentangling monetary policy shocks
Ferreira, L. N. (2022) · Journal of Macroeconomics · doi:10.1016/j.jmacro.2022.103423 · Cited by 6
Transitory and permanent shocks in the global market for crude oil
Rebei, N., & Sbia, R. (2021) · Journal of Applied Econometrics · doi:10.1002/jae.2863 · Cited by 6
COVID-19, Oil Price, Bitcoin, and US Economic Policy Uncertainty: Evidence from ARDL Model
Naser, H. (2021) · International Journal of Economics and Finance · doi:10.5539/ijef.v13n11p88 · Cited by 6
The shale oil revolution and the global oil supply curve
Foroni, C., & Stracca, L. (2022) · Journal of Applied Econometrics · doi:10.1002/jae.2950 · Cited by 6
Marionettes behind co-movement of commodity prices: Roles of speculative and hedging activities
Wu, N., Wen, F., & Gong, X. (2022) · Energy Economics · doi:10.1016/j.eneco.2022.106386 · Cited by 6
Macroeconomic effects of demand and supply shocks in the global oil price on the Vietnamese economy
Duong, T. H. (2023) · International Journal of Energy Sector Management · doi:10.1108/ijesm-05-2022-0025 · Cited by 6
Predicting Crashes in Oil Prices During The Covid-19 Pandemic with Mixed Causal-Noncausal Models
Hecq, A., & Voisin, E. (2023) · Emerald Group Publishing Limited eBooks · doi:10.1108/s0731-90532023000045b010 · Cited by 6
Uncertainty and investment: Evidence from domestic oil rigs
Dossani, A., & Elder, J. P. (2023) · Journal of Futures Markets · doi:10.1002/fut.22474 · Cited by 6
What factors drive house prices in the USA? Sign restricted VAR approach
Lee, J. (2023) · Empirical Economics · doi:10.1007/s00181-023-02533-4 · Cited by 6
A simple model of global fuel consumption
Bilgin, D., & Ellwanger, R. (2023) · Energy Economics · doi:10.1016/j.eneco.2023.107254 · Cited by 6
Comparative analysis of key factors influencing urban green space in Mashhad, Iran (1988–2018)
Rahmati, L., & Hanaei, T. (2024) · ENVIRONMENTAL SYSTEMS RESEARCH · doi:10.1186/s40068-024-00346-7 · Cited by 6
“The mentioned variables in the previous econometric studies have been chosen by several scholars, such as Kilian and Murphy (2013), Shabbir et al. (2020), Akbar et al. (2020), and Dinh (2020).”
MethodA varying coefficient approach to estimating hedonic housing price functions and their quantiles
Wan, A. T. K., Xie, S., & Zhou, Y. (2016) · Journal of Applied Statistics · doi:10.1080/02664763.2016.1238053 · Cited by 6
Cerdeiro, D. A., & Plotnikov, D. (2017) · IMF Working Paper · doi:10.5089/9781475595918.001 · Cited by 6
The roundabout from interest rates to commodity prices in China: The role of money flow
Sun, Z., Wang, Y., Xu, Z., & Yang, L. (2018) · Resources Policy · doi:10.1016/j.resourpol.2018.10.011 · Cited by 6
An Analysis of the Global Oil Market Using SVARMA Models
Raghavan, M. (2019) · Energy Economics · doi:10.1016/j.eneco.2019.104633 · Cited by 7
“Oil price increases are connected with strong global economic growth until 2008, mostly driven by surge in the demand for oil from emerging economies, particularly China and India (Hamilton, 2009; Kilian and Hicks, 2013).”
The real effects of loan-to-value limits: empirical evidence from Korea
Pontines, V. C. (2020) · Empirical Economics · doi:10.1007/s00181-020-01908-1 · Cited by 6
“…used sign-restricted VARs to study technology shocks; and, sign-restricted VARs were used by Baumeister and Peersman (2013), Kilian and Lee (2014), Kilian and Murphy (2012, 2014) and Lippi and Nobili (2012) to study oil price shocks. shocks withQ yields structural shocks that are uncorrelated,…”
Exogenous Oil supply Shocks in OPEC and Non-OPEC Countries
Güntner, J., & Henler, J. (2020) · The Energy Journal · doi:10.5547/01956574.42.6.jgun · Cited by 6
“19 Table 1 illustrates that the (median) correlation of our time series of exogenous oil supply shocks with the VAR-based estimates equals 0.205 for the Kilian and Murphy (2014) shocks, 0.257 for the Baumeister and Hamilton (2019a) shocks, and 0.447 for the Caldara et al. (2019) shocks.”
BackgroundMethodInfluentialSheng, X., Gupta, R., & Ji, Q. (2020) · Energy Economics · doi:10.1016/j.eneco.2020.104940 · Cited by 8
Commodity Prices in Empirical Research
Carpantier, J.-F. (2020) · Dynamic modeling and econometrics in economics and finance · doi:10.1007/978-3-030-54252-8_8 · Cited by 7
Commodity Price Risk Management and Fiscal Policy in a Sovereign Default Model
López-Martín, B., Leal, J., & Fritscher, A. C. M. (2017) · doi:10.36095/banxico/di.2017.04 · Cited by 6
Metadata
- Authors
- Kilian, L., & Murphy, D. P.
- Affiliations
- University of Michigan (US)
- Corresponding author
- Kilian, Lutz
- Venue
- Journal of Applied Econometrics
- Publisher
- Wiley
- Published
- 2013-04-10
- Volume
- 29
- Issue
- 3
- Pages
- 454-478
- ISSN
- 0883-7252 (ISSN-L)
- 1099-1255
- OpenAlex
- W2113983529
- Semantic Scholar
- 858b375e99bb75d9a6716db6a51f2ca2a0c84ddb
- Cited by
- 1,472
- References
- 64
- Citations by year
- 2026: 130 · 2025: 122 · 2024: 110 · 2023: 110 · 2022: 110 · 2021: 132 · 2020: 113 · 2019: 89 · 2018: 99 · 2017: 102 · 2016: 88 · 2015: 69 · 2014: 70 · 2013: 64
- FWCI
- 205.60
- Type
- journal article
- Language
- en
- Open access
- bronze
- doi.org
- Locations
- Journal of Applied Econometrics (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- SSRN Electronic Journal (submittedVersion)
- Deep Blue (University of Michigan) (submittedVersion)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Market Dynamics and Volatility
- Physical Sciences › Energy › Renewable Energy, Sustainability and the Environment › Energy, Environment, and Transportation Policies
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Economics of Agriculture and Food Markets
- Keywords
- crude oil market, oil inventories, speculative trading, oil price shocks, oil demand elasticity, oil supply shocks, oil consumption, oil market regulation
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