The DOI matches its Crossref record; 31 of the 31 references it cites were found in a registry or an index.
Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks
Abstract
Traditional approaches to structural vector autoregressions (VARs) can be viewed as special cases of Bayesian inference arising from very strong prior beliefs. These methods can be generalized with a less restrictive formulation that incorporates uncertainty about the identifying assumptions themselves. We use this approach to revisit the importance of shocks to oil supply and demand. Supply disruptions turn out to be a bigger factor in historical oil price movements and inventory accumulation a smaller factor than implied by earlier estimates. Supply shocks lead to a reduction in global economic activity after a significant lag, whereas shocks to oil demand do not. (JEL C32, L71, Q35, Q43)
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Cites
Breitung, J., & Hamilton, J. D. (1995) · Contemporary Sociology · doi:10.2307/2076916 · Cited by 10,966
Self-citationNot All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market
Kilian, L. (2009) · American Economic Review · doi:10.1257/aer.99.3.1053 · Cited by 4,608
Oil and the Macroeconomy since World War II
Hamilton, J. D. (1983) · Journal of Political Economy · doi:10.1086/261140 · Cited by 3,786
Self-citationTHE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL
Kilian, L., & Murphy, D. P. (2014) · Journal of Applied Econometrics · doi:10.1002/jae.2322 · Cited by 1,472
Forecasting and Conditional Projection Using Realistic Prior Distributions
Doan, T., Litterman, R., & Sims, C. (1983) · National Bureau of Economic Research · doi:10.3386/w1202 · Cited by 1,206
Forecasting and conditional projection using realistic prior distributions
Doan, T., Litterman, R., & Sims, C. (1984) · Econometric Reviews · doi:10.1080/07474938408800053 · Cited by 1,202
Bayesian Methods for Dynamic Multivariate Models
Sims, C. A., & Zha, T. (1998) · International Economic Review · doi:10.2307/2527347 · Cited by 993
Causes and Consequences of the Oil Shock of 2007–08
Hamilton, J. D. (2009) · Brookings Papers on Economic Activity · doi:10.1353/eca.0.0047 · Cited by 866
Self-citationEvidence of a Shift in the Short-Run Price Elasticity of Gasoline Demand
Hughes, J. E., Knittel, C. R., & Sperling, D. (2008) · The Energy Journal · doi:10.5547/issn0195-6574-ej-vol29-no1-9 · Cited by 668
WHY AGNOSTIC SIGN RESTRICTIONS ARE NOT ENOUGH: UNDERSTANDING THE DYNAMICS OF OIL MARKET VAR MODELS
Kilian, L., & Murphy, D. P. (2012) · Journal of the European Economic Association · doi:10.1111/j.1542-4774.2012.01080.x · Cited by 544
Cited by
US Monetary Policy and the Global Financial Cycle
Miranda-Agrippino, S., & Rey, H. (2015) · National Bureau of Economic Research · doi:10.3386/w21722 · Cited by 490
The Macroeconomic Effects of Oil Supply News: Evidence from OPEC Announcements
Känzig, D. R. (2021) · American Economic Review · doi:10.1257/aer.20190964 · Cited by 448
Metadata
- Authors
- Baumeister, C., & Hamilton, J. D.
- Venue
- American Economic Review
- Publisher
- American Economic Association
- Published
- 2019-05-01
- Volume
- 109
- Issue
- 5
- Pages
- 1873-1910
- ISSN
- 0002-8282 (ISSN-L)
- OpenAlex
- W2780094620
- Cited by
- 913
- References
- 31
- FWCI
- 97.88
- Type
- journal article
- Language
- en
- Open access
- closed
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