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The Econometrics of Oil Market VAR Models

Lutz Kilian (Federal Reserve Bank of Dallas, United States)

Xiaoqing Zhou (Federal Reserve Bank of Dallas, United States)

Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications

ISBN: 978-1-83753-213-1, eISBN: 978-1-83753-212-4

Publication date: 24 April 2023

Abstract

Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact on the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between alternative oil market models, let alone the basis for the sometimes divergent conclusions reached in the literature. The purpose of this survey is to provide a guide to this literature. Our focus is on the econometric foundations of the analysis of oil market models with special attention to the identifying assumptions and methods of inference.

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Acknowledgements

Acknowledgments

The views expressed in this chapter are our own and should not be interpreted as reflecting the views of the Federal Reserve Bank of Dallas or any other member of the Federal Reserve System. We thank Ana Maria Herrera, the editors and the referee for helpful discussions.

Citation

Kilian, L. and Zhou, X. (2023), "The Econometrics of Oil Market VAR Models", Chang, Y., Lee, S. and Miller, J.I. (Ed.) Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications (Advances in Econometrics, Vol. 45B), Emerald Publishing Limited, Leeds, pp. 65-95. https://doi.org/10.1108/S0731-90532023000045B003

Publisher

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Emerald Publishing Limited