Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/207293 
Authors: 
Year of Publication: 
2019
Series/Report no.: 
CESifo Working Paper No. 7902
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
Baumeister and Hamilton (2019a) assert that every critique of their work on oil markets by Kilian and Zhou (2019a) is without merit. In addition, they make the case that key aspects of the economic and econometric analysis in the widely used oil market model of Kilian and Murphy (2014) and its precursors are incorrect. Their critiques are also directed at other researchers who have worked in this area and, more generally, extend to research using structural VAR models outside of energy economics. The purpose of this paper is to help the reader understand what the real issues are in this debate. The focus is not only on correcting important misunderstandings in the recent literature, but on the substantive and methodological insights generated by this exchange, which are of broader interest to applied researchers.
Subjects: 
oil supply elasticity
oil demand elasticity
IV estimation
structural VAR
Bayesian inference
oil price
global real activity
JEL: 
Q43
Q41
C36
C52
Document Type: 
Working Paper
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