石油市场VAR模型的计量经济学

The Econometrics of Oil Market VAR Models

作者：

卢兹·基利安（Lutz Kilian）

周小青

Oil market VAR models have become the standard tool for understanding the evolution of thereal price of oil and its impact in the macro economy. As this literature has expanded at a rapidpace, it has become increasingly difficult for mainstream economists to understand thedifferences between alternative oil market models, let alone the basis for the sometimesdivergent conclusions reached in the literature. The purpose of this survey is to provide a guideto this literature. Our focus is on the econometric foundations of the analysis of oil marketmodels with special attention to the identifying assumptions and methods of inference. We notonly explain how the workhorse models in this literature have evolved, but also examinealternative oil market VAR models. We help the reader understand why the latter modelssometimes generated unconventional, puzzling or erroneous conclusions. Finally, we discuss theconstruction of extraneous measures of oil demand and oil supply shocks that have been used asexternal or internal instruments for VAR models.
石油市场VAR模型已成为了解石油实际价格的演变及其对宏观经济影响的标准工具。随着文献的迅速发展，主流经济学家越来越难以理解替代石油市场模型之间的差异，更不用说文献中有时得出不同结论的基础了。这项调查的目的是为该文献提供指导。我们的重点是分析石油市场模型的计量经济学基础，特别注意确定的假设和推理方法。我们不仅解释了文献中的主力模型是如何演变的，而且还研究了替代石油市场的VAR模型。我们帮助读者理解为什么后一种模型有时会产生非常规，令人困惑或错误的结论。最后，我们讨论了石油需求和石油供应冲击的无关措施的构建，这些措施已用作VAR模型的外部或内部工具。