What is the role of Emerging Asia in global oil prices?

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dc.contributor Bank of Finland
dc.contributor.author Melolinna, Marko
dc.date.accessioned 2014-11-07T14:31:58Z
dc.date.available 2014-11-07T14:31:58Z
dc.date.issued 2014
dc.identifier.isbn 978-952-6699-99-8
dc.identifier.issn 1456-5889
dc.identifier.uri https://helda.helsinki.fi/bof/handle/123456789/13367
dc.description.abstract This paper studies the effects of demand shocks caused by Emerging Asian (EMA) countries on oil prices over the past two decades, using vector autoregression models. The analysis builds on previous work done on identifying different types of oil shocks using structural time series methods. However, uniquely, this paper introduces a commodity demand indicator for EMA economies that is based on data independent of oil production and consumption data, thus properly accounting for oil demand pressures stemming from macroeconomic conditions in the EMA economies and the rest of the world. The analysis strongly suggests that EMA demand shocks have had a persistent and statistically significant effect on the level and variation of global oil prices over the past two decades. This result differs from some of the previous literature and hence proves that the choice of oil demand indicator in an oil-market VAR makes a material difference for the results. Furthermore, tentative evidence suggests that the effect of EMA demand is mainly driven by demand dynamics in China. The results of the benchmark model are robust to different sample periods and to variations in the definition of the oil demand indicators, as well as to an alternative identification strategy based on sign restrictions. Publication keywords: macroeconomic shocks, oil markets, sign restrictions, vector autoregression
dc.format.extent 26
dc.language.iso ENG
dc.rights https://helda.helsinki.fi/bof/copyright
dc.subject Bofit-kokoelma
dc.subject SP
dc.subject RP ST
dc.subject Kiina
dc.subject Aasia
dc.title What is the role of Emerging Asia in global oil prices?
dc.type Paper
dc.identifier.urn URN:NBN:fi:bof-201411073149
dc.subject.jel C32
dc.subject.jel E32
dc.subject.jel Q43
dc.series.name BOFIT Discussion Papers
dc.series.year 2014
dc.series.number 18/2014
dc.series.sortingnumber 18
dc.date.publication 29.9.2014
dc.subject.yso öljyntuotanto
dc.subject.yso hinnat
dc.subject.yso kysyntä
dc.subject.yso kehittyvät markkinat
dc.contributor.orgunit Institute for Economies in Transition (BOFIT)

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