Oil price elasticities and oil price fluctuations

• 成果类型: Article
• 署名作者: Caldara, Dario; Cavallo, Michele; Iacoviello, Matteo
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2018.08.004
• 发表日期: 2019
• 页码: 1-20
• 关键词: Oil market; Oil elasticity; vector autoregressions; Narrative analysis; instrumental variables

摘要

Studies identifying oil shocks using structural vector autoregressions (VARs) reach different conclusions on the relative importance of supply and demand factors in explaining oil market fluctuations. This disagreement is due to different assumptions on the oil supply and demand elasticities that determine the identification of the oil shocks. We provide new estimates of oil-market elasticities by combining a narrative analysis of episodes of large drops in oil production with country-level instrumental variable regressions. When the estimated elasticities are embedded into a structural VAR, supply and demand shocks play an equally important role in explaining oil prices and oil quantities. Published by Elsevier B.V.