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Inference on Impulse Response Functions in Structural VAR Models
Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2011
Skepticism toward traditional identifying assumptions based on exclusion restrictions has led to a surge in the use of structural VAR models in which structural shocks are identified by restricting the sign of the responses of selected macroeconomic aggregates to these shocks. Researchers...
Persistent link: https://www.econbiz.de/10009493558
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Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks
Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2009
A common view in the literature is that the effect of energy price shocks on macroeconomic aggregates is asymmetric in energy price increases and decreases. We show that widely used asymmetric vector autoregressive models of the transmission of energy price shocks are misspecified, resulting in...
Persistent link: https://www.econbiz.de/10005000442
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Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices
Kilian, Lutz; Vega, Clara - C.E.P.R. Discussion Papers - 2008
Models that treat innovations to the price of energy as predetermined with respect to U.S. macroeconomic aggregates are widely used in the literature. For example, it is common to order energy prices first in recursively identified VAR models of the transmission of energy price shocks. Since...
Persistent link: https://www.econbiz.de/10005114377
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Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries
Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2012
There is a long tradition of using oil prices to forecast U.S. real GDP. It has been suggested that the predictive … relationship between the price of oil and one-quarter ahead U.S. real GDP is nonlinear in that (1) oil price increases matter only … price of oil is not helpful for out-of-sample forecasting; more robust and more accurate real GDP forecasts are obtained …
Persistent link: https://www.econbiz.de/10011083435
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Speculation in the Oil Market
Juvenal, Luciana; Petrella, Ivan - C.E.P.R. Discussion Papers - 2014
The run-up in oil prices since 2004 coincided with growing investment in commodity markets and increased price comovement among different commodities. We assess whether speculation in the oil market played a role in driving this salient empirical pattern. We identify oil shocks from a large...
Persistent link: https://www.econbiz.de/10011084143
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The effects of global shocks on small commodity-exporting economies: New evidence from Canada
Charnavoki, Valery; Dolado, Juan J. - C.E.P.R. Discussion Papers - 2012
This paper presents a structural dynamic factor model of a small commodity-exporting economy using Canada as a representative case study. Combining large panel data sets of the global and Canadian economies, we first identify those demand and supply shocks that explain most of the volatility in...
Persistent link: https://www.econbiz.de/10011084371
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Oil Price Shocks, Monetary Policy and Stagflation
Kilian, Lutz - C.E.P.R. Discussion Papers - 2009
One of the central questions in recent macroeconomic history is to what extent monetary policy as opposed to oil price shocks contributed to the stagflation of the 1970s. Understanding what went wrong in the 1970s is the key to learning from the past. One explanation explored in Barsky and...
Persistent link: https://www.econbiz.de/10005016247
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Real-Time Analysis of Oil Price Risks Using Forecast Scenarios
Baumeister, Christiane; Kilian, Lutz - C.E.P.R. Discussion Papers - 2011
Recently, there has been increased interest in real-time forecasts of the real price of crude oil. Standard oil price forecasts based on reduced-form regressions or based on oil futures prices do not allow consumers of forecasts to explore how much the forecast would change relative to the...
Persistent link: https://www.econbiz.de/10009385759
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Real-Time Forecasts of the Real Price of Oil
Baumeister, Christiane; Kilian, Lutz - C.E.P.R. Discussion Papers - 2011
We construct a monthly real-time data set consisting of vintages for 1991.1-2010.12 that is suitable for generating forecasts of the real price of oil from a variety of models. We document that revisions of the data typically represent news, and we introduce backcasting and nowcasting techniques...
Persistent link: https://www.econbiz.de/10009493559
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Forecasting the Price of Oil
Alquist, Ron; Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2011
with oil price forecasts? Can joint forecasts of the price of oil and of U.S. real GDP growth be improved upon by allowing …
Persistent link: https://www.econbiz.de/10009643504