Econ Papers Daily / 期刊论文
重新审视石油供应新闻冲击：代理变量与非线性结构向量自回归的比较
Revisiting Oil Supply News Shocks: Proxy vs. Non‐Gaussian Structural Vector Autoregressions
摘要
We replicate a study by Känzig ( American Economic Review , 111 (2021), 1092–1125), who employs structural vector autoregressive techniques to examine the impact of changes in oil supply expectations on the price of oil and other macroeconomic aggregates. Känzig identifies an oil supply news shock by constructing a proxy from OPEC announcements about their production plans. As an alternative approach, we use non‐Gaussianity and independence to identify structural shocks and find that one of them corresponds closely to Känzig's oil supply news shock, implying that the proxy is not necessarily needed to obtain a shock with the same characteristics.
中文摘要
我们复现了Känzig（《美国经济评论》，111（2021），1092–1125）的一项研究，该研究采用结构向量自回归技术考察石油供给预期变化对石油价格及其他宏观经济总量的影响。Känzig通过根据欧佩克关于其生产计划的公告构建一个代理变量，识别出石油供给新闻冲击。作为一种替代方法，我们利用非高斯性和独立性来识别结构冲击，并发现其中一个冲击与Känzig的石油供给新闻冲击高度吻合，这意味着并非一定需要该代理变量才能获得具有相同特征的冲击。