Identifying Oil Price Shocks and Their Consequences: The Role of Expectations in the Crude Oil Market

@article{Fueki2018IdentifyingOP,
  title={Identifying Oil Price Shocks and Their Consequences: The Role of Expectations in the Crude Oil Market},
  author={T. Fueki and Hiroka Higashi and N. Higashio and Jouchi Nakajima and S. Ohyama and Yoichiro Tamanyu},
  journal={EnergyRN: Petroleum (Topic)},
  year={2018}
}
This paper proposes a simple but comprehensive structural vector autoregressive (SVAR) model to examine the underlying factors of oil price dynamics. The distinguishing feature is to explicitly assess the role of expectations on future aggregate demand and oil supply in addition to the traditional realized aggregate demand and supply factors. Our empirical analysis shows that identified future demand and supply shocks explain about 30-35 percent of historical oil price fluctuations. In… Expand
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