The source of real oil price fluctuations: a fresh view from the frequency domain

摘要

This paper analyzes the role of different types of oil price shocks for real oil price fluctuations and contributes by exploiting insights from the frequency domain perspective. We find aggregate demand shocks are the most important contributor to real oil price fluctuations in the entire spectrum. Besides, oil-specific demand shocks have a relatively important impact on real oil price changes at high frequencies and business cycle frequencies, while oil supply shocks have a relatively important impact on real oil price changes at low frequencies and frequency zero.