Why Agnostic Sign Restrictions are not Enough: Understanding the Dynamics of Oil Market VAR Models

By Lutz Kilian, Daniel Murphy. 2009

546 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/10340ee8388c4e151378d9213f897d13587e6ea7

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Citations in the corpus

Effects of Index-Fund Investing on Commodity Futures Prices (2014, unknown): “…available Disaggregated Commitment of Traders Report on weekly net positions of swap dealers and found that these were of no help in predicting returns on 14 different commodity futures 2 For further discussion see Kilian and Murphy (2012) and Fattouh et al. (2013). contracts over 2006–2009.”
Narrative Sign Restrictions for SVARs (2018, unknown): “The latter point was first illustrated by Kilian and Murphy (2012), who showed that, in the context of the global market for crude oil, SVARs identified only through sign restrictions on IRFs imply disputable values for the price elasticity of oil supply to demand shocks.”
The Role of Speculation in Oil Markets: What Have We Learned So Far? (2013, methodology): “…response functions are not a valid summary measure of the central tendency of the impulse response estimates nor do they have an economic interpretation, making it difﬁcult to interpret the results in these papers (see, e.g., Fry and Pagan 2011; Inoue and Kilian 2012; Kilian and Murphy 2012).”
The impact of oil-market shocks on stock returns in major oil-exporting countries (2018, background): “Kilian and Murphy (2012) illustrated that sign restrictions on the impact of responses alone, as shown in equation (3), are generally too weak to be informative for identification of 10 the shocks.”
Delta-method inference for a class of set-identified SVARs (2018, background): “d) Elasticity bounds as in Kilian and Murphy (2012); for example, for some b ∈ R : eiBj/e ′ i′Bj ≥ b ⇐⇒ (ei − bei′)Bj ≥ 0,”
Oil Price Shocks: Causes and Consequences (2014, background): “Kilian and Murphy (2012) examine the robustness of Kilian's (2009) findings to alternative identifying assumptions based on the signs of responses to shocks.”