Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks
SeriesEconometrics Seminars and Workshop Series
SpeakersJames Hamilton (University of California at San Diego, United States)
LocationTinbergen Institute Amsterdam, Sydney room
Date and time
May 17, 2019
16:00 - 17:15
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.