This paper proposes a simple but comprehensive structural vector autoregressive model to examine the underlying factors of oil price dynamics. The distinguishing feature is to explicitly assess the role of expectations about future aggregate demand and oil supply in addition to the traditional realized aggregate demand and supply factors. Our empirical analysis shows that identified future demand and supply shocks are as important as the traditional realized demand and supply shocks in explaining historical oil price fluctuations. The empirical result indicates that the influence of oil price changes on global output varies according to the nature of each shock.

中文翻译：

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识别油价冲击及其后果：预期在原油市场中的作用

本文提出了一个简单而全面的结构矢量自回归模型来研究油价动态的潜在因素。区别在于，除了传统的已实现的总需求和供应因素之外，还明确评估了预期对未来总需求和石油供应的作用。我们的经验分析表明，在解释历史油价波动时，确定的未来需求和供应冲击与传统的已实现的需求和供应冲击一样重要。实证结果表明，石油价格变化对全球产出的影响根据每次冲击的性质而变化。