Quantitative Economics
Journal Of The Econometric Society
Edited by: Stéphane Bonhomme • Print ISSN: 1759-7323 • Online ISSN: 1759-7331
Quantitative Economics: Nov, 2023, Volume 14, Issue 4
The importance of supply and demand for oil prices: evidence from non-Gaussianity
https://doi.org/10.3982/QE2091
p. 1163-1198
Robin Braun
When quantifying the importance of supply and demand for oil price fluctuations, a wide range of estimates have been reported. Models identified via a sharp upper bound on the short‐run price elasticity of supply find supply shocks to be minor drivers. In turn, when replacing the upper bound with a weakly informative prior, supply shocks turn out to be substantially more important. In this paper, I revisit the evidence in a model that combines weakly informative priors with identification by non‐Gaussianity. For this purpose, a SVAR is developed where the unknown distributions of the structural shocks are modeled nonparametrically. The empirical findings suggest that once identification by non‐Gaussianity is incorporated into the model, posterior mass of the short‐run oil supply elasticity shifts toward zero and oil supply shocks become minor drivers of oil prices. In terms of contributions to the forecast error variance of oil prices, the model arrives at median estimates of just 6% over a 16‐month horizon.
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Supplemental Material
Supplement to "The importance of supply and demand for oil prices: evidence from non-Gaussianity"
Robin Braun
This online appendix contains material not found within the manuscript.
Supplement to "The importance of supply and demand for oil prices: evidence from non-Gaussianity"
Robin Braun
This zip file contains replication material for the manuscript.
Journal News
March 5, 2024
Announcing the New Journal Editors
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
