{"title":"Not All Oil Price Shocks Are Alike. A Replication of Kilian (American Economic Review, 2009)","authors":"Rich Ryan, Nyakundi Michieka","doi":"arxiv-2409.00769","DOIUrl":null,"url":null,"abstract":"The price of oil can rise because of a disruption to supply or an increase in\ndemand. The nature of the price change determines the dynamic effects. As\nKilian (2009) put it: \"not all oil price shocks are alike.\" Using the latest\navailable data, we extend Kilian's (2009) analysis using the R ecosystem and\nprovide more evidence for Kilian's (2009) conclusions. Inference based on\nunknown conditional heteroskedasticity strengthens the conclusions. With the\nupdated shocks, we assess how a local economy responds to the global oil\nmarket, an application that is relevant to policymakers concerned with the\ntransition away from fossil fuels.","PeriodicalId":501273,"journal":{"name":"arXiv - ECON - General Economics","volume":"9 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - ECON - General Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2409.00769","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
The price of oil can rise because of a disruption to supply or an increase in
demand. The nature of the price change determines the dynamic effects. As
Kilian (2009) put it: "not all oil price shocks are alike." Using the latest
available data, we extend Kilian's (2009) analysis using the R ecosystem and
provide more evidence for Kilian's (2009) conclusions. Inference based on
unknown conditional heteroskedasticity strengthens the conclusions. With the
updated shocks, we assess how a local economy responds to the global oil
market, an application that is relevant to policymakers concerned with the
transition away from fossil fuels.