Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/273334 
Year of Publication: 
2023
Series/Report no.: 
DIW Discussion Papers No. 2036
Publisher: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
Abstract: 
Studies of the crude oil market based on structural vector autoregressive (VAR) models typically assume a time-invariant model and transmission of shocks or they consider a time-varying model and shock transmission. We assume a heteroskedastic reduced-form VAR model with time-invariant slope coefficients and test for time-varying impulse responses in a model for the global crude oil market that includes key macroeconomic variables. We find evidence for changes in the transmission of shocks to oil price expectations during the last decades which can be attributed to heteroskedasticity.
Subjects: 
Structural vector autoregression
heteroskedastic VAR
proxy VAR
crude oil market
JEL: 
C32
Document Type: 
Working Paper

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