This chapter provides an overview of and user's guide to dynamic factor models (DFMs),
their estimation, and their uses in empirical macroeconomics. It also surveys recent …

Exogenous OPEC and non-OPEC oil supply cuts, which are identified within an SVAR
model with unplanned oil supply outage as an external instrument, decrease industrial …

A number of economic studies have used a proxy for world real economic activity derived
from shipping costs. This measure turns out to depend on a normalization that has …

We study the impact of oil price uncertainty (OPU) on macroeconomic activity. We construct
a new measure of OPU by extracting information on oil markets from 50 newspapers around …

Conventional structural vector autoregressive (SVAR) models with Gaussian errors are not
identified, and additional identifying restrictions are needed in applied work. We show that …

Abstract Changes in residual volatility are often used for identifying structural shocks in
vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or …

The purpose of this paper is to identify the changes in the impact of energy shocks on
economic activity—with an interest in assessing if an economy's vulnerability and resilience …

This paper constructs a five-variable Markov switching vector autoregressions (Markov
switching VAR) model based on oil prices, oil aggregate supply, oil aggregate demand …

Oil market VAR models have become the standard tool for understanding the evolution of
the real price of oil and its impact on the macro economy. As this literature has expanded at …

In this paper we use monthly data (over the period from January 1976 to December 2012)
and a structural VAR model to disentangle demand and supply shocks in the global crude …