Identifying oil price shocks with global, developed, and emerging latent real economy activity factors
提出一种识别国际油价冲击的策略，通过区分全球、发达和新兴经济体的异质性石油需求来源，使用结构因子增强向量自回归模型和两级因子模型提取潜在因子，以量化不同冲击对油价、产量和因子的影响。
Summary This paper proposes an identification strategy for international oil price shocks while accounting for the heterogeneous sources of oil demand from global, developed, and emerging economies. Unlike existing works, we isolate global oil demand shocks, associated with a global real economic activity factor, from oil demand shocks originating specifically from developed and emerging economies, associated with real economic activity factors within these two groups of economies. The paper uses a structural factor‐augmented vector autoregression (FAVAR) model with latent global and specific factors to model crude oil demand and supply. To identify the shocks, we extract real economic activity factors from a large panel of emerging and developed economies' real activity variables using a two‐level factor model. The paper shows how structural shocks can be identified by solving equations that arise from economically meaningful zero restrictions on the impact matrix of the reduced‐form FAVAR model innovations. The empirical application shows that identifying the international oil demand shocks based on the global and specific latent factors is essential to appropriately quantify their heterogeneous impacts on these factors, the crude oil production, and the real oil price.