**Benchmark model.** In this model, consists of year-on-year changes in log crude oil production (global variable), log real crude oil prices (global variable), log real GDP (country-specific variable), and current tt account balance as percentage of GDP (country-specific variable). Following studies such as by Cashin et zz al. (2014), Allegret et al. (2015) and Gnimassoun et al. (2017), the following sign restrictions are imposed for four quarters to distinguish between oil demand and oil supply shocks in country-specific estimations:

- Following a positive oil demand shock:

- Real oil prices increase.

- Oil production increases.

- Real GDP increases for all countries.

- Following a negative oil supply shock:

- Real oil prices increase.

- Oil production decreases.

- Real GDP decreases for only oil importing countries.

All other responses, including those of current account balances, are unrestricted. We also test the robustness of the benchmark model to an alternative identification scheme and model specification.

**Robustness #1.** Sign restrictions may not be sufficient to exactly identify the macroeconomic effects of oil-demand and oil-supply shocks because some permissible models based on sign restrictions can involve responses that are not economically plausible (for example, a large instantaneous increase in oil production in response to higher oil prices). We, therefore, check the robustness of the benchmark model for an alternative identification scheme, where, on top of the sign restrictions in the benchmark model, we follow Kilian and Murphy (2014) and Cashin et al. (2014) by imposing restrictions on the impact price elasticities of oil demand and oil supply. This is achieved by having a lower bound of -0.8 on the impact price elasticity of oil demand (measured by the ratio of the impact responses of oil production and of the real price of oil to an oil supply shock) and an upper bound of 0.025 on the impact price elasticity of oil supply (measured by the ratio of the impact responses of oil production and of the real price of oil to an oil demand shock).

**Robustness #2.** As before, we check the robustness of the benchmark model for the inclusion of countryspecific real effective exchange rates as an additional endogenous variable. The real effective exchange rate variable is ordered last in the SVAR while all other details are the same as in the benchmark model.

# **3.4. Database and descriptive statistics**

The quarterly data cover the period between 1991Q1 and 2022Q3 for 45 EMDEs for the models without the real effective exchange rates and 29 EMDEs for the models with real effective exchange rates (both due to data availability).<sup>7</sup> After considering year-on-year changes, the sample period reduces to 1992Q22022Q3, although it can change across countries due to data availability (with at least forty quarters of observations).

All energy prices are taken from the World Bank Commodities Price Data (‘ _The Pink Sheet’_ ). Global crude oil prices are measured as the average between Brent, Dubai and West Texas Intermediate crude oil prices, represented as U.S. dollars per barrel. Global natural gas prices are measured by the natural gas index. Global coal prices are measured as the average between South Africa and Australia coal prices,

> 7 The list of countries and country groups is available in the Online Appendix Table A.1.

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