Research Discussion Papers, Bank of Finland
Using financial markets information to identify oil supply shocks in a restricted VAR
Abstract: This paper introduces a methodology for identifying oil
supply shocks in a restricted VAR system for a small open economy.
Financial market information is used to construct an identification scheme
that forces the response of the restricted VAR model to an oil shock to be
the same as that implied by futures markets. Impulse responses are then
calculated by using a bootstrapping procedure for partial identification.
The methodology is applied to Finland and Sweden in illustrative examples
in a simple 5-variable model. While oil supply shocks have an inflationary
effect on domestic inflation in these countries during the past decade or
so, the effect on domestic GDP is more ambiguous.
Keywords: oil futures; partial identification; macroeconomic shocks; (follow links to similar papers)
JEL-Codes: C01; E32; E44; (follow links to similar papers)
35 pages, March 18, 2008
Before downloading any of the electronic versions below
you should read our statement on
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Full text versions of the paper:
Questions (including download problems) about the papers in this series should be directed to Minna Nyman ()
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Design by Joachim Ekebom