A note on the dynamic effects of supply and demand shocks in the crude oil market

被引：0
|
作者：
Nguyen, Hoang [1 ,5 ]
Osterholm, Par [2 ,3 ,4 ]
机构：
[1] Linkoping Univ, Linkoping, Sweden
[2] Orebro Univ, Sch Business, Orebro, Sweden
[3] Natl Inst Econ Res, Stockholm, Sweden
[4] Univ Sydney, Sch Econ, Camperdown, NSW, Australia
[5] Linkoping Univ, Dept Management & Engn, Campus Valla, S-58183 Linkoping, Sweden
来源：
APPLIED ECONOMICS LETTERS | 2024年
关键词：
Bayesian VAR; time-varying parameters; model selection; oil shocks; PRICE SHOCKS; INFLATION;
D O I：
10.1080/13504851.2024.2308590
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页数：7
相关论文
共 50 条
12345