BAUMEISTER, C.; PEERSMAN, G. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2008
Using a Time-Varying Parameters Bayesian Vector Autoregression model, we investigate how the dynamic effects of oil supply shocks on the US economy have changed over time. In contrast to previous studies, we identify oil supply shocks with sign restrictions which are derived from a simple supply...