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
  • [41] Identifying oil price shocks and their consequences: The role of expectations in the crude oil market
    Fueki, Takuji
    Nakajima, Jouchi
    Ohyama, Shinsuke
    Tamanyu, Yoichiro
    INTERNATIONAL FINANCE, 2021, 24 (01) : 53 - 76
  • [42] Oil price shocks and Nigeria's stock market: what have we learned from crude oil market shocks?
    Effiong, Ekpeno L.
    OPEC ENERGY REVIEW, 2014, 38 (01) : 36 - 58
  • [43] Oil price shocks and OECD equity markets: distinguishing between supply and demand effects
    Dhaoui, Abderrazak
    Guesmi, Khaled
    Saidi, Youssef
    Bourouis, Saad
    INTERNATIONAL JOURNAL OF GLOBAL ENERGY ISSUES, 2018, 41 (1-4) : 25 - 51
  • [44] Exploring the Oil Supply-Demand Shocks and Stock market Stabilities: Experience from OECD Countries
    Dhaoui, Abderrazak
    Streimikiene, Dalia
    Saidi, Youssef
    Shahzad, Syed Jawad Hussain
    Loganathan, Nanthakumar
    Mardani, Abbas
    ACTA MONTANISTICA SLOVACA, 2018, 23 (01) : 100 - 117
  • [45] Wavelet decomposition and regime shifts: Assessing the effects of crude oil shocks on stock market returns
    Jammazi, Rania
    Aloui, Chaker
    ENERGY POLICY, 2010, 38 (03) : 1415 - 1435
  • [46] Asymmetric influence of oil demand and supply shocks on meat commodities
    Vatsa, Puneet
    Baek, Jungho
    ENERGY ECONOMICS, 2023, 128
  • [47] A robust crude oil supply chain design under uncertain demand and market price: A case study
    Beiranvand, Heidar
    Ghazanfari, Mahdi
    Sahebi, Hadi
    Pishvaee, Mir Saman
    OIL & GAS SCIENCE AND TECHNOLOGY-REVUE D IFP ENERGIES NOUVELLES, 2018, 73
  • [48] Do exchange rates respond asymmetrically to shocks in the crude oil market?
    Atems, Bebonchu
    Kapper, Devin
    Lam, Eddery
    ENERGY ECONOMICS, 2015, 49 : 227 - 238
  • [49] The impact of unconventional monetary policy shocks on the crude oil futures market
    Chebbi, Tarek
    JOURNAL OF ENERGY MARKETS, 2018, 11 (01) : 21 - 34
  • [50] Technology shocks and crude oil market connection: The role of climate change
    Salisu, Afees A.
    Isah, Kazeem
    Oloko, Tirimisiyu O.
    ENERGY ECONOMICS, 2024, 130
12345