Narrow Your Choices

Refine By Countries

Refine By Topic

Refine By Series

Refine By Language

Refine By Date

—

Refine By IMF Taxonomy

Refine By JEL Taxonomy

Refine by LOC Taxonomy

Refine By THEMA Taxonomy

  • Print
  • Save

Browse

You are looking at 1 - 1 of 1 items for :

  • Type: Journal Issue x
  • Macroeconomics: Production x
  • Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access x
  • Price Level; Inflation; Deflation x
  • Petroleum, oil & gas industries x
  • United States x
  • Investment & securities x
  • Business Fluctuations; Cycles x
  • Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models x
Clear All Modify Search
Cover IMF Working Papers
Measuring Oil-Price Shocks Using Market-Based Information
Mr. Tao Wu and Mr. Michele Cavallo
We study the effects of oil-price shocks on the U.S. economy combining narrative and quantitative approaches. After examining daily oil-related events since 1984, we classify them into various event types. We then develop measures of exogenous shocks that avoid endogeneity and predictability concerns. Estimation results indicate that oil-price shocks have had substantial and statistically significant effects during the last 25 years. In contrast, traditional VAR approaches imply much weaker and insignificant effects for the same period. This discrepancy stems from the inability of VARs to separate exogenous oil-supply shocks from endogenous oil-price fluctuations driven by changes in oil demand.
Keywords:
WP; oil-price shock; price level; shock measure; oil-price forecasting equation; oil-price movement; price decline; Oil Shocks; Market-Based Information; VAR Identification; oil-price indicator; oil-price forecasting model; oil price movement; oil-price increase; oil-price channel; exogenous oil-price shock; oil price shock; Oil prices; Oil; Oil production; Consumer price indexes; Inflation; Global; Middle East