New Research: Economic effects of shocks to oil supply and demand

James Hamilton [ucsd.edu] gives a nice overview on his own blog [econbrowser.com] of a new research paper [ucsd.edu, pdf] with Christiane Baumeister [sites.google.com] wherein they use a previously developed bayesian estimation method for VAR models on oil supply and demand shocks. The method allows for a generalisation and flexible adaptation of Killian (2009, AER [aeaweb.org]) and following articles.

Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks

Abstract

Traditional approaches to structural interpretation of vector autoregressions can be viewed as special cases of Bayesian inference arising from very strong prior beliefs about certain aspects of the model. These traditional methods can be generalized with a less restrictive Bayesian formulation that allows the researcher to summarize uncertainty coming not just from the data but also uncertainty about the model itself. We use this approach to revisit the role of shocks to oil supply and demand and conclude that oil price increases that result from supply shocks lead to a reduction in economic activity after a significant lag, whereas price increases that result from increases in oil consumption demand do not have a significant effect on economic activity.

at VoxEU: Plummeting oil prices, depreciating oil currencies? Not so simple

VoxEU features a post [voxeu.org] by Sascha Bützer, Maurizio Michael Habib and Livio Stracca on the effect of oil price changes on currencies, finding some unexpected results:

The large dip in oil prices reverberated across asset markets, contributing to the depreciation of the Russian rouble. This column argues that the recent fall of the rouble may be more an exception than the norm. Oil shocks have only a limited impact on global exchange rate configurations, since oil exporters tend to lean against exchange rate pressures by running down or accumulating foreign exchange reserves.

There is a paper underlying it, here [europa.eu].

New OxCARRE research. New discussion papers from January

January has seen some new discussion papers submitted to the OxCARRE website.

Intergenerational Inequality Aversion, Growth and the Role of Damages: Occam's rule for the global carbon tax by Armon Rezai & Rick van der Ploeg


The Relationship Between Oil Price and Costs in the Oil and Gas Industry by Gerhard Toews & Alexander Naumov


News Shocks in Open Economies: Evidence from Giant Oil Discoveries by Rabah Arezki, Valerie A Ramey & Liugang Sheng


Seven Principles for Managing Resource Wealth by Sam Wills.


and finally a forthcoming paper

Dutch Disease and the Mitigation Effect of Migration: Evidence from Canadian Provinces, by Michel Beine, Serge Coulombe & Wessel Vermeulen