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Home | Events Archive | Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks
Seminar

Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks


  • Series
    Econometrics Seminars and Workshop Series
  • Speakers
    James Hamilton (University of California at San Diego, United States)
  • Field
    Econometrics
  • Location
    Tinbergen Institute Amsterdam, Sydney room
    Amsterdam
  • Date and time

    May 17, 2019
    16:00 - 17:15

Traditional approaches to structural vector autoregressions can be viewed as special cases of Bayesian inference arising from very strong prior beliefs. These methods can be generalized with a less restrictive formulation that incorporates uncertainty about the identifying assumptions themselves. We use this approach to revisit the importance of shocks to oil supply and demand. Supply disruptions turn out to be a bigger factor in historical oil price movements and inventory accumulation a smaller factor than implied by earlier estimates. Supply shocks lead to a reduction in global economic activity after a significant lag, whereas shocks to oil demand do not.
Joint work with Christiane Baumeister.