Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions

24 Pages Posted: 23 May 2023

See all articles by Martin Bruns

Martin Bruns

University of East Anglia (UEA) - School of Economics

Helmut Lütkepohl

Free University of Berlin (FUB)

Date Written: May 2023

Abstract

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.

Keywords: Structural vector autoregression, heteroskedastic VAR, proxy VAR, crude oil market

JEL Classification: C32

Suggested Citation

Bruns, Martin and Lütkepohl, Helmut, Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions (May 2023). DIW Berlin Discussion Paper No. 2036, Available at SSRN: https://ssrn.com/abstract=4455121 or http://dx.doi.org/10.2139/ssrn.4455121

Martin Bruns

University of East Anglia (UEA) - School of Economics ( email )

3.06, Registry
University of East Anglia
Norwich, NR4 7TJ
United Kingdom

Helmut Lütkepohl (Contact Author)

Free University of Berlin (FUB)

Otto Suhr Institut for Political Science\
Ihnestrasse 21
Berlin
Germany

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