The Experts below are selected from a list of 360 Experts worldwide ranked by ideXlab platform
Lutz Kilian - One of the best experts on this subject based on the ideXlab platform.
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why agnostic sign restrictions are not enough understanding the dynamics of Oil Market var models
Journal of the European Economic Association, 2012Co-Authors: Lutz Kilian, Daniel MurphyAbstract:Sign restrictions on the responses generated by structural vector autoregressive models have been proposed as an alternative approach to the use of exclusion restrictions on the impact multiplier matrix. In recent years such models have been increasingly used to identify demand and supply shocks in the Market for crude Oil. We demonstrate that sign restrictions alone are insufficient to infer the responses of the real price of Oil to such shocks. Moreover, the conventional assumption that all admissible models are equally likely is routinely violated in Oil Market models, calling into question the use of posterior median responses to characterize the responses to structural shocks. When combining sign restrictions with additional empirically plausible bounds on the magnitude of the short-run Oil supply elasticity and on the impact response of real activity, however, it is possible to reduce the set of admissible model solutions to a small number of qualitatively similar estimates. The resulting model estimates are broadly consistent with earlier results regarding the relative importance of demand and supply shocks for the real price of Oil based on structural vector autoregressive (VAR) models identified by exclusion restrictions, but imply very different dynamics from the posterior median responses in VAR models based on sign restrictions only.
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explaining fluctuations in gasoline prices a joint model of the global crude Oil Market and the u s retail gasoline Market
The Energy Journal, 2010Co-Authors: Lutz KilianAbstract:The distinction between the price of gasoline in the U.S. and the price of crude Oil in global Markets is often ignored in discussions of the impact of higher energy prices. This article makes explicit the relationship between demand and supply shocks in these two Markets. Building on a recently proposed structural VAR model of the global crude Oil Market, it explores the implications of a joint VAR model of the global Market for crude Oil and the U.S. Market for motor gasoline. It is shown that it is essential to understand the origins of a given gasoline price shock, when assessing the responses of the price of gasoline and of gasoline consumption, since each demand and supply shock is associated with responses of different magnitude, pattern and persistence. The article assesses the overall importance of these shocks in explaining the variation in U.S. gasoline prices and consumption growth, as well as their relative contribution to the evolution of U.S. gasoline prices since 2002. 1. Int ROdUCt IOn The distinction between the price of gasoline in the U.S. and the price of crude Oil in global Markets is often ignored in discussions of the impact of higher energy prices. This article makes explicit the relationship between demand and supply shocks in these two Markets. Building on a structural vector autoregressive (VAR) model of the global crude Oil Market proposed in Kilian (2009), the article
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explaining fluctuations in gasoline prices a joint model of the global crude Oil Market and the u s retail gasoline Market
The Energy Journal, 2010Co-Authors: Lutz KilianAbstract:The distinction between the price of gasoline in the U.S. and the price of crude Oil in global Markets is often ignored in discussions of the impact of higher energy prices. This article makes explicit the relationship between demand and supply shocks in these two Markets. Building on a recently proposed structural VAR model of the global crude Oil Market, it explores the implications of a joint VAR model of the global Market for crude Oil and the U.S. Market for motor gasoline. It is shown that it is essential to understand the origins of a given gasoline price shock, when assessing the responses of the price of gasoline and of gasoline consumption, since each demand and supply shock is associated with responses of different magnitude, pattern and persistence. The article assesses the overall importance of these shocks in explaining the variation in U.S. gasoline prices and consumption growth, as well as their relative contribution to the evolution of U.S. gasoline prices since 2002.
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why agnostic sign restrictions are not enough understanding the dynamics of Oil Market var models
Research Papers in Economics, 2009Co-Authors: Lutz Kilian, Daniel MurphyAbstract:Sign restrictions on the responses generated by structural vector autoregressive models have been proposed as an alternative approach to the use of exclusion restrictions on the impact multiplier matrix. In recent years such models have been increasingly used to identify demand and supply shocks in the Market for crude Oil. We demonstrate that sign restrictions alone are insufficient to infer the responses of the real price of Oil to such shocks. Moreover, the conventional assumption that all admissible models are equally likely is routinely violated in Oil Market models, calling into question the use of median responses to characterize the responses to structural shocks. When combining sign restrictions with additional empirically plausible bounds on the magnitude of the short-run Oil supply elasticity and on the impact response of real activity, however, it is possible to reduce the set of admissible model solutions to a small number of qualitatively similar estimates. The resulting model estimates are broadly consistent with earlier results regarding the relative importance of demand and supply shocks for the real price of Oil based on structural VAR models identified by exclusion restrictions, but imply very different dynamics from the median responses in VAR models based on sign restrictions only.
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not all Oil price shocks are alike disentangling demand and supply shocks in the crude Oil Market
The American Economic Review, 2009Co-Authors: Lutz KilianAbstract:Using a newly developed measure of global real economic activity, a structural decomposition of the real price of crude Oil into three components is proposed: crude Oil supply shocks; shocks to the global demand for all industrial commodities; and demand shocks that are specific to the crude Oil Market. The latter shock is designed to capture shifts in the price of Oil driven by higher precautionary demand associated with concerns about future Oil supply shortfalls. The paper estimates the dynamic effects of these shocks on the real price of Oil. A historical decomposition sheds light on the causes of the major Oil price shocks since 1975. The implications of higher Oil prices for U.S. real GDP and CPI inflation are shown to depend on the cause of the Oil price increase. Changes in the composition of shocks help explain why regressions of macroeconomic aggregates on Oil prices tend to be unstable. Evidence that the recent increase in crude Oil prices was driven primarily by global aggregate demand shocks helps explain why this Oil price shock so far has failed to cause a major recession in the U.S.
Qiang Ji - One of the best experts on this subject based on the ideXlab platform.
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evolution of the world crude Oil Market integration a graph theory analysis
Energy Economics, 2016Co-Authors: Qiang JiAbstract:This paper investigates the evolution of the world crude Oil Market and the pricing power for major Oil-producing and Oil-consuming countries using graph theory. A minimal spanning tree for the world crude Oil Market is constructed and some empirical results are given. The integration of the world crude Oil Market is verified. Furthermore, the world crude Oil Market is characterised as a geographical and organisational structure. The crude Oil Markets of adjacent countries or regions tend to link together, while OPEC is well-integrated. We also found that the links in the South and North American region and the African region are relatively stable. The crude Oil Markets in the U.S., Angola and Saudi Arabia take up the core, with a higher ‘betweenness centrality’ and lower ‘farness’, whereas the Markets in the East and Southeast Asian countries are on the fringe. Finally, the degree of globalisation for the world crude Oil Market is becoming further entrenched, verified by a decreasing normalised tree length; hence, its systemic risk may increase due to the future uncertainty of world politics.
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how does Oil price volatility affect non energy commodity Markets
Applied Energy, 2012Co-Authors: Qiang JiAbstract:The influence of price volatility in the crude Oil Market is expanding to non-energy commodity Markets. With the substitution of fossil fuels by biofuel and hedge strategies against inflation induced by high Oil prices, the link between crude Oil Market and agriculture Markets and metal Markets has increased. This study measures the influence of the crude Oil Market on non-energy commodity Markets before and after the 2008 financial crisis. By introducing the US dollar index as exogenous shocks, we investigate price and volatility spillover between commodity Markets by constructing a bivariate EGARCH model with time-varying correlation construction. The results reveal that the crude Oil Market has significant volatility spillover effects on non-energy commodity Markets, which demonstrates its core position among commodity Markets. The overall level of correlation strengthened after the crisis, which indicates that the consistency of Market price trends was enhanced affected by economic recession. In addition, the influence of the US dollar index on commodity Markets has weakened since the crisis.
Stephen M Miller - One of the best experts on this subject based on the ideXlab platform.
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do structural Oil Market shocks affect stock prices
Energy Economics, 2009Co-Authors: Nicholas Apergis, Stephen M MillerAbstract:Abstract This paper investigates how explicit structural shocks that characterize the endogenous character of Oil price changes affect stock-Market returns in a sample of eight countries — Australia, Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States. For each country, the analysis proceeds in two steps. First, modifying the procedure of Kilian [ Kilian, L., (forthcoming) . Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market. American Economic Review.], we employ a vector error–correction or vector autoregressive model to decompose Oil-price changes into three components: Oil-supply shocks, global aggregate-demand shocks, and global Oil-demand shocks. The last component relates to specific idiosyncratic features of the Oil Market, such as changes in the precautionary demand concerning the uncertainty about the availability of future Oil supplies. Second, recovering the Oil-supply shocks, global aggregate-demand shocks, and global Oil-demand shocks from the first analysis, we then employ a vector autoregressive model to determine the effects of these structural shocks on the stock Market returns in our sample of eight countries. We find that international stock Market returns do not respond in a large way to Oil Market shocks. That is, the significant effects that exist prove small in magnitude.
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do structural Oil Market shocks affect stock prices
Research Papers in Economics, 2008Co-Authors: Nicholas Apergis, Stephen M MillerAbstract:This paper investigates how explicit structural shocks that characterize the endogenous character of Oil price changes affect stock-Market returns in a sample of eight countries --- Australia, Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States. For each country, the analysis proceeds in two steps. First, modifying the procedure of Kilian (2008a), we employ a vector error-correction or vector autoregressive model to decompose Oil-price changes into three components: Oil-supply shocks, global aggregate-demand shocks, and global Oil-demand shocks. The last component relates to specific idiosyncratic features of the Oil Market, such as changes in the precautionary demand concerning the uncertainty about the availability of future Oil supplies. Second, recovering the Oil-supply shocks, global aggregate-demand shocks, and global Oil-demand shocks from the first analysis, we then employ a vector autoregressive model to determine the effects of these structural shocks on the stock Market returns in our sample of eight countries. We find that international stock Market returns do not respond in a large way to Oil Market shocks. That is, the significant effects that exist prove small in magnitude.
Guy C K Leung - One of the best experts on this subject based on the ideXlab platform.
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the integration of china into the world crude Oil Market since 1998
Energy Policy, 2011Co-Authors: Guy C K LeungAbstract:The integration of China into the world Oil Market is an important issue for at least two reasons. First, the influence of the country on the world Oil Market is dependent on the level of the integration. Second, integration into the world Oil Market means that China is opening itself up to potential disturbances in the world Market and this leads to significant energy security concerns for the country. The aim of this paper is to investigate whether or not China is an integral part of the world Oil Market. By reviewing the relevant trade and pricing policies of the Chinese government as well as the behavior of the Chinese national Oil companies, we find that China is actively engaging itself in the world Oil Market. Our time-series results show that the Chinese Oil price is cointegrated with the major Oil prices in the world and a high degree of co-movement between the prices is found. Causality between the price pairs is found to be bi-directional in most cases. The empirical results suggest that China is now an integral part of the world Oil Market.
Daniel Murphy - One of the best experts on this subject based on the ideXlab platform.
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why agnostic sign restrictions are not enough understanding the dynamics of Oil Market var models
Journal of the European Economic Association, 2012Co-Authors: Lutz Kilian, Daniel MurphyAbstract:Sign restrictions on the responses generated by structural vector autoregressive models have been proposed as an alternative approach to the use of exclusion restrictions on the impact multiplier matrix. In recent years such models have been increasingly used to identify demand and supply shocks in the Market for crude Oil. We demonstrate that sign restrictions alone are insufficient to infer the responses of the real price of Oil to such shocks. Moreover, the conventional assumption that all admissible models are equally likely is routinely violated in Oil Market models, calling into question the use of posterior median responses to characterize the responses to structural shocks. When combining sign restrictions with additional empirically plausible bounds on the magnitude of the short-run Oil supply elasticity and on the impact response of real activity, however, it is possible to reduce the set of admissible model solutions to a small number of qualitatively similar estimates. The resulting model estimates are broadly consistent with earlier results regarding the relative importance of demand and supply shocks for the real price of Oil based on structural vector autoregressive (VAR) models identified by exclusion restrictions, but imply very different dynamics from the posterior median responses in VAR models based on sign restrictions only.
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why agnostic sign restrictions are not enough understanding the dynamics of Oil Market var models
Research Papers in Economics, 2009Co-Authors: Lutz Kilian, Daniel MurphyAbstract:Sign restrictions on the responses generated by structural vector autoregressive models have been proposed as an alternative approach to the use of exclusion restrictions on the impact multiplier matrix. In recent years such models have been increasingly used to identify demand and supply shocks in the Market for crude Oil. We demonstrate that sign restrictions alone are insufficient to infer the responses of the real price of Oil to such shocks. Moreover, the conventional assumption that all admissible models are equally likely is routinely violated in Oil Market models, calling into question the use of median responses to characterize the responses to structural shocks. When combining sign restrictions with additional empirically plausible bounds on the magnitude of the short-run Oil supply elasticity and on the impact response of real activity, however, it is possible to reduce the set of admissible model solutions to a small number of qualitatively similar estimates. The resulting model estimates are broadly consistent with earlier results regarding the relative importance of demand and supply shocks for the real price of Oil based on structural VAR models identified by exclusion restrictions, but imply very different dynamics from the median responses in VAR models based on sign restrictions only.
