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Exogenous Oil supply Shocks in OPEC and Non-OPEC Countries

Abstract:
This paper expands Kilian's (2008) original time series of exogenous oil supply shocks along two dimensions. First, we extend the sample period to include production shortfalls in OPEC member states during 2004:10-2019:12. Second, we also consider production shortfalls in non-OPEC countries. Our extended time series of exogenous oil supply shocks displays statistically significant correlation with alternative estimates of oil supply shocks based on vector-autoregressive models. At the same time, it requires a limited number of assumptions about the counterfactual evolution of production in the countries under consideration and escapes thus the current debate about the validity of common identifying restrictions in multivariate structural models.

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Keywords: Counterfactual analysis, Crude oil production, Exogenous events, Oil supply shocks

DOI: 10.5547/01956574.42.6.jgun

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Published in Volume 42, Number 6 of the bi-monthly journal of the IAEE's Energy Economics Education Foundation.

 

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