Identification of Daily Oil Price Shocks and their Uncertainties via Conditional Heteroskedasticity
基于条件异方差识别日度油价冲击及其不确定性AI 解读 ↓
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基于条件异方差识别日度油价冲击及其不确定性AI 解读 ↓
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This paper develops a daily structural VAR for identifying oil price shocks from conditional heteroskedasticity and quantifies the transmission of their timevarying uncertainty. Identification exploits volatility clustering and spillovers in a structural GARCH specification and the complete identified set is derived. We derive covariance impulse response functions and introduce a time-varying forecast error variance decomposition (TV-FEVD) that allows for a decomposition of short-horizon forecast uncertainty across episodes. We study the asymptotic properties of a two-step quasi-maximum likelihood estimator and demonstrate via extensive simulations the robustness of the estimator across a wide range of data-generating distributions. Empirically, the model identifies three daily shocks with distinct first- and second-order transmission. TV-FEVD shows that oil-price forecast uncertainty in early 2020 shifted from aggregate business-cycle uncertainty, as pandemic news affected expected economic conditions, to oil-market tightness risk during the Saudi–Russia price war and production cuts.