| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24167 |
| 来源ID | Working Paper 24167 |
| Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks | |
| Christiane J.S. Baumeister; James D. Hamilton | |
| 发表日期 | 2018 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Business Cycles ; Environmental and Resource Economics ; Energy |
| URL | https://www.nber.org/papers/w24167 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581841 |
| 推荐引用方式 GB/T 7714 | Christiane J.S. Baumeister,James D. Hamilton. Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w24167.pdf（1186KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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。
