Revisiting Oil Supply News Shocks: Proxy vs. Non‐Gaussian Structural Vector Autoregressions
Year: 2026
Type: article
Abstract: ABSTRACT 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.
Source: Journal of Applied Econometrics
DOI: 10.1002/jae.70092
Authors: Helmut Lütkepohl, Till Strohsal
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W7116642324