Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/334163 
Year of Publication: 
2025
Series/Report no.: 
DIW Discussion Papers No. 2146
Publisher: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
Abstract: 
We replicate a study by Känzig (American Economic Review, 111 (2021), 1092-1125), who employs structural vector autoregressive techniques to examine the impact of changes in oil supply expectations on the price of oil and other macroeconomic aggregates. Känzig identifies an oil supply news shock by constructing a proxy from OPEC announcements about their production plans. As this proxy is a controversial instrument for oil supply news, we use the non-Gaussianity of the data to identify independent structural shocks and find that one of them corresponds closely to Känzig's oil supply news shock, implying that the proxy is not necessarily needed to obtain a shock with the same characteristics.
Subjects: 
Structural vector autoregression
non-Gaussian shocks
proxy SVARs
instruments
shock labeling
JEL: 
C32
Document Type: 
Working Paper

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