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Not All Oil Price Shocks Are Alike. A Replication of Kilian (American Economic Review, 2009)

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  • Rich Ryan
  • Nyakundi Michieka

Abstract

The price of oil can rise because of a disruption to supply or an increase in demand. The nature of the price change determines the dynamic effects. As Kilian (2009) put it: "not all oil price shocks are alike." Using the latest available data, we extend Kilian's (2009) analysis using the R ecosystem and provide more evidence for Kilian's (2009) conclusions. Inference based on unknown conditional heteroskedasticity strengthens the conclusions. With the updated shocks, we assess how a local economy responds to the global oil market, an application that is relevant to policymakers concerned with the transition away from fossil fuels.

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  • Rich Ryan & Nyakundi Michieka, 2024. "Not All Oil Price Shocks Are Alike. A Replication of Kilian (American Economic Review, 2009)," Papers 2409.00769, arXiv.org.
    • Handle: RePEc:arx:papers:2409.00769
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