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Not All Oil Price Shocks Are Alike. A Replication Study of Kilian (American Economic Review, 2009)

Author

Listed:
  • Ryan, Rich
  • Michieka, Nyakundi

Abstract

The price of oil can rise because of a disruption to supply or an increase in demand. The nature of the price change determines the dynamic effects. As Kilian (2009a) put it: "not all oil price shocks are alike." Using the latest available data, we extend Kilian's analysis using the R ecosystem and provide more evidence for Kilian's conclusions. Inference based on unknown conditional heteroskedasticity strengthens the conclusions. With the updated shocks, we assess how a local economy responds to the global oil market, an application that is relevant to policymakers concerned with the transition away from fossil fuels.Kern, Local labor market, Oil price, Real economic activity, Structural vector autoregression,, Unemployment rate, Vector autoregression

Suggested Citation

  • Ryan, Rich & Michieka, Nyakundi, 2025. "Not All Oil Price Shocks Are Alike. A Replication Study of Kilian (American Economic Review, 2009)," Journal of Comments and Replications in Economics (JCRE), ZBW - Leibniz Information Centre for Economics, vol. 4, pages 1-27.
    • Handle: RePEc:zbw:jcreco:337522
    DOI: 10.18718/81781.47
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    References listed on IDEAS

    as
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    Keywords

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    JEL classification:

    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • Q48 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Government Policy
    • R23 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Regional Migration; Regional Labor Markets; Population

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