A weekly structural VAR model of the US crude oil market

We present a weekly structural Vector Autoregressive model of the US crude oil market. Exploiting data we can explain short-run price dynamics, including variations related with COVID-19 pandemic and Russia’s invasion Ukraine. The is set identified Bayesian approach that allows to impose restrictions directly on parameters interest, such as supply demand elasticizes. Our incorporates both futures-spot spread capture shocks real driven by changes in expectations inventories describe fluctuations due unexpected above-ground stocks. Including key for accounting feedback effects from financial physical market identifying new shock label expectational shock. This plays crucial role when describing series events have led spike recorded aftermath