A dataset containing oil market variables and macroeconomic indicators for Vector Autoregression (VAR) analysis, along with a high-frequency external instrument for identification.
Details
This dataset is designed for estimating structural Vector Autoregression models of the global oil market. The high-frequency instrument can be used for external instrument identification of oil supply or demand shocks.
Examples
# Load the data
data(kaenzig_data)
# View the first few rows
head(kaenzig_data)
#> # A tibble: 6 × 8
#> date Oil_Price World_Oil_Prod World_Oil_Inven World_IP US_IP
#> <dttm> <dbl> <dbl> <dbl> <dbl> <dbl>
#> 1 1974-01-01 00:00:00 307. 1092. 628. 379. 385.
#> 2 1974-02-01 00:00:00 306. 1093. 632. 378. 385.
#> 3 1974-03-01 00:00:00 305. 1094. 631. 378. 385.
#> 4 1974-04-01 00:00:00 305. 1095. 634. 378. 385.
#> 5 1974-05-01 00:00:00 304. 1096. 638. 379. 385.
#> 6 1974-06-01 00:00:00 303. 1095. 640. 378. 385.
#> # ℹ 2 more variables: US_CPI <dbl>, iv_kanzig_final <dbl>
# Summary statistics
summary(kaenzig_data)
#> date Oil_Price World_Oil_Prod World_Oil_Inven
#> Min. :1974-01-01 00:00:00 Min. :192.6 Min. :1082 Min. :627.7
#> 1st Qu.:1984-12-24 06:00:00 1st Qu.:271.1 1st Qu.:1098 1st Qu.:748.9
#> Median :1995-12-16 12:00:00 Median :305.1 Median :1106 Median :767.4
#> Mean :1995-12-16 11:00:00 Mean :307.5 Mean :1108 Mean :751.2
#> 3rd Qu.:2006-12-08 18:00:00 3rd Qu.:345.8 3rd Qu.:1120 3rd Qu.:780.4
#> Max. :2017-12-01 00:00:00 Max. :412.0 Max. :1132 Max. :791.4
#>
#> World_IP US_IP US_CPI iv_kanzig_final
#> Min. :366.6 Min. :372.2 Min. :384.6 Min. :-9.901
#> 1st Qu.:396.7 1st Qu.:403.3 1st Qu.:466.0 1st Qu.: 0.000
#> Median :428.1 Median :432.2 Median :503.9 Median : 0.000
#> Mean :429.9 Mean :430.1 Mean :493.7 Mean : 0.000
#> 3rd Qu.:464.6 3rd Qu.:457.0 3rd Qu.:531.6 3rd Qu.: 0.000
#> Max. :484.4 Max. :467.6 Max. :551.3 Max. : 9.383
#> NA's :111