Modeling Persistence in Global Oil-Market SVARs: Evidence from COVID-19 and the Russia-Ukraine Conflict 

Description

Replication package for “Modeling Persistence in Global Oil-Market SVARs: Evidence from COVID-19 and the Russia–Ukraine Conflict.” The dataset contains MATLAB code, processed data, posterior draws, and estimation output required to reproduce all empirical results, tables, and figures. The package implements a structural fractionally integrated VAR (SFIVAR) framework for modeling persistence in oil-market SVARs and includes historical decompositions for the COVID-19 period and the Russia–Ukraine war, together with benchmark results based on Kilian and Murphy (2014). The replication materials are divided into two folders: DATA_CODES_PART1, containing the main estimation code and primary data files, and DATA_CODES_PART2, containing additional posterior and estimation result files required to reproduce selected tables and figures.

Steps to reproduce

Please refer to the README file for a detailed description.

Institutions

• Universitat Rovira i Virgili

  Catalonia, Tarragona

Categories

Funders

• Generalitat de Catalunya

  Barcelona

  Grant ID: 2021SGR 00729
• Universitat Rovira i Virgili

  Tarragona

  Grant ID: 2023PFR-URV-00729

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Licence