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Measuring Oil-Price Shocks Using Market-Based Information

Measuring Oil-Price Shocks Using Market-Based Information by Tao Wu
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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.
International Monetary Fund; January 2012
42 pages; ISBN 9781463967888
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Title: Measuring Oil-Price Shocks Using Market-Based Information
Author: Tao Wu; Michele Cavallo
 
ISBNs
1463967888
9781463931810
9781463967888
9781463976415