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

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  • Michelle, Gilmartin

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.

Suggested Citation

  • Michelle, Gilmartin, 2016. "A note on the identification and transmission of energy demand and supply shocks," MPRA Paper 76186, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:76186
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    File URL: https://mpra.ub.uni-muenchen.de/76186/1/MPRA_paper_76186.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    oil price shocks; demand and supply; Bayesian VAR; MCMC;
    All these keywords.

    JEL classification:

    • B4 - Schools of Economic Thought and Methodology - - Economic Methodology
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • N10 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - General, International, or Comparative
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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