Submitted manuscript, 1.21 MB, PDF document
Research output: Working paper
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TY - UNPB
T1 - Changes in the global oil market
AU - Bataa, Erdenebat
AU - Izzeldin, Marwan
AU - Osborn, Denise
PY - 2015
Y1 - 2015
N2 - Using a new iterative algorithm that tests for possible breaks in the coefficients and residual variances of recursively identified structural equations, we examine changes in the parameters of the oil market model of Kilian (2009). Our analysis reveals breaks in the coefficients of the oil production and price equations, together with volatility shifts in all equations. In particular, the medium term response of production to aggregate demand shocks increases after 1980 and the price response to supply shocks is more persistent from the mid-1990s. All variables evidence changes in the relative contributions of individual shocks to their forecast error variances.
AB - Using a new iterative algorithm that tests for possible breaks in the coefficients and residual variances of recursively identified structural equations, we examine changes in the parameters of the oil market model of Kilian (2009). Our analysis reveals breaks in the coefficients of the oil production and price equations, together with volatility shifts in all equations. In particular, the medium term response of production to aggregate demand shocks increases after 1980 and the price response to supply shocks is more persistent from the mid-1990s. All variables evidence changes in the relative contributions of individual shocks to their forecast error variances.
KW - Oil price shocks
KW - multiple breaks
KW - breaks in SVAR
M3 - Working paper
T3 - Economics Working Paper Series
BT - Changes in the global oil market
PB - Lancaster University, Department of Economics
CY - Lancaster
ER -