Further processing options
available via online resource

Have the effects of shocks to oil price expectations changed?: evidence from heteroskedastic proxy vector autoregressions

Saved in:

Authors and Corporations: Bruns, Martin (Author), Lütkepohl, Helmut (Author)
Other Authors: Lütkepohl, Helmut 1951- [Author]
Edition: This version: April 21, 20231
Type of Resource: E-Book
Language: English
Berlin DIW Berlin, German Institute for Economic Research 2023
Series: Deutsches Institut für Wirtschaftsforschung: Discussion papers ; 2036
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Summary: Studies of the crude oil market based on structural vector autoregressive (VAR) models typically assume a time-invariant model and transmission of shocks or they consider a time-varying model and shock transmission. We assume a heteroskedastic reduced-form VAR model with time-invariant slope coefficients and test for time-varying impulse responses in a model for the global crude oil market that includes key macroeconomic variables. We find evidence for changes in the transmission of shocks to oil price expectations during the last decades which can be attributed to heteroskedasticity.
Physical Description: 1 Online-Ressource (circa 24 Seiten); Illustrationen