Hidden Bibliographic Details
| Other authors / contributors: | Cavallo, Michele.
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| ISBN: | 9781463967888
1463967888
1463976410
9781463976415
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| Notes: | ReferencesTables; 1. Classification of oil-related events; 2. Test of the Exogeneity of Oil-Shock Series; 3. Robustness and stability checks; Figures; 1. Market-based and VAR-based Measures of Oil Shocks; 2. Alternative Measures of Exogenous Oil Shocks; 3. Impulse Responses to Exogenous Oil-Price Shocks; 4. VAR-Based Measures; 5. Alternative Estimates of Impulse Responses; 6. Impulse Responses to Oil Demand Changes; 7. Impulse Responses to OPEC/Non-OPEC Moves; 8. Impulse Responses to Oil Inventory Changes; 9. Impulse Responses to Military Conflicts; 10. Impulse Responses in Sub-sample Periods.
Print version record.
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| Summary: | 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 sepa.
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| Other form: | Print version: Wu, Tao. Measuring Oil-Price Shocks Using Market-Based Information. Washington : International Monetary Fund, ©2012 9781463931810
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| Standard no.: | 10.5089/9781463976415.001
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