| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP6999
|
| DP6999 Seasonality and the Effect of Advertising on Price |
| David Genesove; Avi Simhon
|
| 发表日期 | 2008-10-23
|
| 出版年 | 2008
|
| 语种 | 英语
|
| 摘要 | Models that treat innovations to the price of energy as predetermined with respect to U.S. macroeconomic aggregates are widely used in the literature. For example, it is common to order energy prices first in recursively identified VAR models of the transmission of energy price shocks. Since exactly identifying assumptions are inherently untestable, this approach in practice has required an act of faith in the empirical plausibility of the delay restriction used for identification. An alternative view that would invalidate such models is that energy prices respond instantaneously to macroeconomic news, implying that energy prices should be ordered ast in recursively identified VAR models. In this paper, we propose a formal test of the identifying assumption that energy prices are predetermined with respect to U.S. macroeconomic aggregates. Our test is based on regressing cumulative changes in daily energy prices on daily news from U.S. macroeconomic data releases. Using a wide range of macroeconomic news, we find no compelling evidence of feedback at daily or monthly horizons, contradicting the view that energy prices respond instantaneously to macroeconomic news and supporting the use of delay restrictions for identification. |
| 主题 | International Macroeconomics
|
| 关键词 | Gasoline price
Identification
Impulse responses
News
Oil price
|
| URL | https://cepr.org/publications/dp6999
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535853
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推荐引用方式
GB/T 7714 |
David Genesove,Avi Simhon. DP6999 Seasonality and the Effect of Advertising on Price. 2008.
|
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