Supplement to “Identification of daily oil price shocks and their uncertainties via conditional heteroskedasticity”

Identification of daily oil price shocks and their uncertainties via conditional heteroskedasticity

Revisiting Oil Supply News Shocks: Proxy vs. Non‐Gaussian Structural Vector Autoregressions

We replicate a study by Känzig ( American Economic Review , 111 (2021), 1092–1125), who employs structural vector autoregressive techniques to examine the impact of changes in oil supply expectations on the price of oil and other macroeconomic aggregates. Känzig identifies an oil supply news shock by constructing...

Working Paper Series

Geopolitical risk, energy shocks, and the dynamics of volatility spillovers in livestock markets

This study examines the effects of macroeconomic uncertainty and market-specific shocks on the dynamics of returns and volatility in feeder cattle, live cattle, and lean hog futures markets. Additionally, the study explores whether volatility transmission varies within and across livestock production systems. We employ...

Let the Tree Decide: FABART. A Non-Parametric Factor Model for Nonlinear Oil Shock Transmission

The question of how oil supply news shocks transmit to real activity, financial conditions and regional labor markets is back at the center of the macroeconomic research agenda. To answer this question, we introduce the Factor Bayesian Additive Regression Tree (FABART) model, a nonlinear factor-augmented vector autoreg...

Hansen-Jagannathan distance with many assets

This paper proposes methods to estimate and compare asset pricing models in settings with a large number of test assets. Models are specified through a linear stochastic discount factor (SDF). We propose two regularization schemes to extend the Hansen-Jagannathan distance to high-dimensional environments. In addition t...