Work

Oil Prices and Expectations: A Quantile Structural VAR Approach

Year: 2024

Type: article

Abstract: Using a quantile structural vector autoregressive (QSVAR) approach, this study examines oil price reactions to consumer and business expectations. Unlike mean-based structural VARs, QSVAR analyses the full response distribution after an expectational shock. Findings indicate that the impact of expectation innovations on oil prices varies by quantile and agent. Positive business expectations increase oil prices via commodity demand, while consumer optimism mainly affects low oil prices. These insights aid policymakers in grasping how different agent expectations shape oil price distribution.

Source: Energy RESEARCH LETTERS

DOI: 10.46557/001c.116227

Authors: Mikidadu Mohammed, Jose Barrales-Ruiz

Institutions: Austin College, Federal Reserve Bank of Dallas, San Sebastián University, Universidad Católica de la Santísima Concepción

Language: English

Topic: Market Dynamics and Volatility

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

Funder: Universidad Católica de la Santísima Concepción

OpenAlex ID: W4402131608