TY - BOOK ID - 84544112 TI - Measuring Oil-Price Shocks Using Market-Based Information AU - Wu, Tao. AU - Cavallo, Michele. AU - IMF Institute PY - 2012 SN - 1463975104 1463967888 PB - Washington, D.C. : International Monetary Fund, DB - UniCat KW - Petroleum products KW - Petroleum industry and trade KW - Energy industries KW - Oil industries KW - Mazut KW - Petroleum KW - Hydraulic fluids KW - Prices KW - Econometric models. KW - Economic aspects KW - Refining KW - Investments: Energy KW - Inflation KW - Macroeconomics KW - Industries: Energy KW - Time-Series Models KW - Dynamic Quantile Regressions KW - Dynamic Treatment Effect Models KW - Diffusion Processes KW - State Space Models KW - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data KW - Data Access KW - Price Level KW - Deflation KW - Business Fluctuations KW - Cycles KW - Energy and the Macroeconomy KW - Energy: Demand and Supply KW - Energy: General KW - Macroeconomics: Production KW - Investment & securities KW - Petroleum, oil & gas industries KW - Oil prices KW - Oil KW - Oil production KW - Consumer price indexes KW - Commodities KW - Production KW - Price indexes KW - United States UR - https://www.unicat.be/uniCat?func=search&query=sysid:84544112 AB - 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 shocks have had substantial and statistically significant effects during the last 25 years. In contrast, traditional VAR approaches imply much weaker and insignificant effects for the same period. This discrepancy stems from the inability of VARs to separate exogenous oil-supply shocks from endogenous oil-price fluctuations driven by changes in oil demand. ER -