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

2018 ◽  
Author(s):  
Lutz Kilian ◽  
Xiaoqing Zhou
Keyword(s):  
Incomplete Information ◽  
Supply And Demand ◽  
Vector Autoregressions ◽  
Demand Shocks ◽  
Structural Interpretation ◽  
Oil Supply ◽  
Supply And Demand Shocks

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

2019 ◽  
Vol 109 (5) ◽  
pp. 1873-1910 ◽  
Author(s):  
Christiane Baumeister ◽  
James D. Hamilton
Keyword(s):  
Supply And Demand ◽  
Vector Autoregressions ◽  
Prior Beliefs ◽  
Oil Supply ◽  
Supply And Demand Shocks ◽  
Special Cases ◽  
Jel C32 ◽  
Traditional Approaches ◽  
Inventory Accumulation

Traditional approaches to structural vector autoregressions (VARs) can be viewed as special cases of Bayesian inference arising from very strong prior beliefs. These methods can be generalized with a less restrictive formulation that incorporates uncertainty about the identifying assumptions themselves. We use this approach to revisit the importance of shocks to oil supply and demand. Supply disruptions turn out to be a bigger factor in historical oil price movements and inventory accumulation a smaller factor than implied by earlier estimates. Supply shocks lead to a reduction in global economic activity after a significant lag, whereas shocks to oil demand do not. (JEL C32, L71, Q35, Q43)

scholarly journals KARAKTERISTIK TEKANAN INFLASI DI INDONESIA: PENGARUH DINAMIS SISI PERMINTAAN-PENAWARAN DAN PROSPEK KE DEPAN

2007 ◽  
Vol 9 (3) ◽  
Author(s):  
Solikin M. Juhro
Keyword(s):  
Supply And Demand ◽  
Jel Classification ◽  
Demand Shocks ◽  
Supply Shocks ◽  
Supply And Demand Shocks ◽  
Supply Shock ◽  
Preliminary Study ◽  
Second Year ◽  
Parsimonious Model

This preliminary study is aimed to look into characteristics of inflation and sources of shocks triggering inflation pressures in Indonesia. A focus will be directed to find a better measurement about the role of supply and demand shocks. Based on parsimonious model estimation, it can be concluded that the contribution of supply shocks predominant demand shocks ‘proportionally’, implying that a prudent monetary policy is still feasible and can be implemented effectively along with the structural efforts to combat inflation in Indonesia. A further preliminary exercise shows that the prospect of inflation pressures in two year ahead will be statistically the same with the 2006 inflation pressures. However, cautious policy response should be taken in the second year as inflation pressures from supply side will be potentially greater.Keywords: Characteristics of inflation, supply shock, demand shock, inflation, Indonesia.JEL Classification:  JEL Classification: E31, P24

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