Work

Effects of Oil Supply News on the Macroeconomy: A Proxy FAVAR Approach in the Korean Economy

Year: 2024

Type: article

Abstract: IntroductionChanges in oil prices have been widely regarded by macroeconomists as a key source of economic fluctuations (Blanchard and Galí, 2010;Kim, 2024).Consequently, numerous studies have sought to accurately identify the effects of oil prices on the macroeconomy.In this study, we examine the impact of oil prices on the Korean economy using a proxy FAVAR (Factor-Augmented Vector Autoregression) model.Most research on the impact of oil prices on the macroeconomy employs VAR models, which typically use recursive ordering or sign restrictions to identify structural shocks.However,

Source: Journal of Economic Integration

DOI: 10.11130/jei.2024042

Authors: Cheol-Keun Cho, Myunghyun Kim

Institutions: University of Ulsan, Sungkyunkwan University

Language: English

Topic: Market Dynamics and Volatility

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

Funders: National Research Foundation, Ministry of Education, Korea Energy Economics Institute, National Research Foundation of Korea

Award: G2286765923