Measuring Oil-Price Shocks Using Market-Based Information

Working Paper No. 12/19

Nopic
We study the effects of oil-price shocks on the U.S. economy combining narrative and quantitative approaches. After examining daily oil-related events since 1984, we classify them into various event types. We then develop measures of exogenous shocks that avoid endogeneity and predictability concerns. Estimation results indicate that oil-price... READ MORE...

Publication date: January 2012
ISBN 9781463931810
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Publication date: January 2012

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Publication date: January 2012

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