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A note on the dynamic effects of supply and demand shocks in the crude oil market
Linköping University, Department of Management and Engineering, Production Economics. Linköping University, Faculty of Science & Engineering.ORCID iD: 0000-0002-0682-8584
Orebro Univ, Sweden; Natl Inst Econ Res, Sweden; Univ Sydney, Australia.
2024 (English)In: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291Article in journal (Refereed) Epub ahead of print
Abstract [en]

In this paper, we investigate whether key relations in the crude oil market have been stable over time. This is done by estimating hybrid time-varying parameter structural Bayesian VAR models using monthly data ranging from February 1973 to May 2023. Model selection suggests that while stochastic volatility is preferred over homoscedasticity, the dynamics of the model are best described by constant parameters in all equations.

Place, publisher, year, edition, pages
ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD , 2024.
Keywords [en]
Bayesian VAR; time-varying parameters; model selection; oil shocks
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:liu:diva-200948DOI: 10.1080/13504851.2024.2308590ISI: 001153722300001OAI: oai:DiVA.org:liu-200948DiVA, id: diva2:1839477
Available from: 2024-02-21 Created: 2024-02-21 Last updated: 2024-02-21

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