Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/246873 
Authors: 
Year of Publication: 
2021
Series/Report no.: 
CFS Working Paper Series No. 661
Publisher: 
Goethe University Frankfurt, Center for Financial Studies (CFS), Frankfurt a. M.
Abstract: 
A series of recent articles has called into question the validity of VAR models of the global market for crude oil. These studies seek to replace existing oil market models by structural VAR models of their own based on different data, different identifying assumptions, and a different econometric approach. Their main aim has been to revise the consensus in the literature that oil demand shocks are a more important determinant of oil price fluctuations than oil supply shocks. Substantial progress has been made in recent years in sorting out the pros and cons of the underlying econometric methodologies and data in this debate, and in separating claims that are supported by empirical evidence from claims that are not. The purpose of this paper is to take stock of the VAR literature on global oil markets and to synthesize what we have learned. Combining this evidence with new data and analysis, I make the case that the concerns regarding the existing VAR oil market literature have been overstated and that the results from these models are quite robust to changes in the model specification.
Subjects: 
Elasticity
structural VAR
Bayesian inference
oil price
global real activity
oil inventories
JEL: 
Q43
Q41
C36
C52
Document Type: 
Working Paper

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