| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14460 |
| DP14460 The Econometrics of Oil Market VAR Models | |
| Lutz Kilian; Xiaoqing Zhou | |
| 发表日期 | 2020-03-01 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between alternative oil market models, let alone the basis for the sometimes divergent conclusions reached in the literature. The purpose of this survey is to provide a guide to this literature. Our focus is on the econometric foundations of the analysis of oil market models with special attention to the identifying assumptions and methods of inference. We not only explain how the workhorse models in this literature have evolved, but also examine alternative oil market VAR models. We help the reader understand why the latter models sometimes generated unconventional, puzzling or erroneous conclusions. Finally, we discuss the construction of extraneous measures of oil demand and oil supply shocks that have been used as external or internal instruments for VAR models. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Elasticity Identification Model specification Bayesian estimation Structural var Textual analysis |
| URL | https://cepr.org/publications/dp14460 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543358 |
| 推荐引用方式 GB/T 7714 | Lutz Kilian,Xiaoqing Zhou. DP14460 The Econometrics of Oil Market VAR Models. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Lutz Kilian]的文章 |
| [Xiaoqing Zhou]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Lutz Kilian]的文章 |
| [Xiaoqing Zhou]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Lutz Kilian]的文章 |
| [Xiaoqing Zhou]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
