Veranstaltung
09
Jun 2017

10:15 - 11:45
IWH Research Seminar

Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks

Traditional approaches to structural interpretation of vector autoregressions can be viewed as special cases of Bayesian inference arising from very strong prior beliefs about certain aspects of the model.

Who
Christiane Baumeister  (University of Notre Dame)
Where
IWH conference room
Christiane Baumeister

Personal details

Prior to joining the Economics Department at Notre Dame in 2015, Christiane Baumeister was a Principal Researcher in the International Economic Analysis Department at the Bank of Canada. Her research interests include empirical macroeconomics, energy economics, applied time series econometrics and monetary economics.

Traditional approaches to structural interpretation of vector autoregressions can be viewed as special cases of Bayesian inference arising from very strong prior beliefs about certain aspects of the model. These traditional methods can be generalized with a less restrictive Bayesian formulation that allows the researcher to summarize uncertainty coming not just from the data but also uncertainty about the model itself. We use this approach to revisit the role of shocks to oil supply and demand and conclude that oil price increases that result from supply shocks lead to a reduction in economic activity after a significant lag, whereas price increases that result from increases in oil consumption demand do not have a significant effect on economic activity.

Ansprechpartner

Felix Pohle
Felix Pohle
Economist

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