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Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?

Hicks, Bruce; Kilian, Lutz - C.E.P.R. Discussion Papers - 2009

between mid-2003 and mid-2008 was driven by repeated positive shocks to the demand for all industrial commodities, reflecting … different econometric methodology. Rather than inferring demand shocks from an econometric model, we utilize a direct measure of … global demand shocks based on revisions of professional real GDP growth forecasts. We show that recent forecast surprises …

Persistent link: https://www.econbiz.de/10005666885

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

The Role of Inventories and Speculative Trading in the Global Market for Crude Oil

Kilian, Lutz; Murphy, Daniel P - C.E.P.R. Discussion Papers - 2010

evidence, however, that speculative demand shifts played an important role during earlier oil price shock episodes including … to the speculative demand for oil as well as shocks to the flow demand and flow supply. The forward-looking element of … find that this surge was caused by fluctuations in the flow demand for oil driven by the global business cycle. There is …

Persistent link: https://www.econbiz.de/10008530341

Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work

Baumeister, Christiane; Guérin, Pierre; Kilian, Lutz - C.E.P.R. Discussion Papers - 2013

The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast monthly and quarterly oil prices. There also has been increased interest in the link between financial markets and oil markets, including the question of whether financial market...

Persistent link: https://www.econbiz.de/10011083339

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 to the extent that they exceed the maximum oil...

Persistent link: https://www.econbiz.de/10011083435

The Role of Oil Price Shocks in Causing U.S. Recessions

Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2014

Although oil price shocks have long been viewed as one of the leading candidates for explaining U.S. recessions, surprisingly little is known about the extent to which oil price shocks explain recessions. We provide the first formal analysis of this question with special attention to the...

Persistent link: https://www.econbiz.de/10011083465

Are there Gains from Pooling Real-Time Oil Price Forecasts?

Baumeister, Christiane; Kilian, Lutz; Lee, Thomas K - C.E.P.R. Discussion Papers - 2014

The answer depends on the objective. The approach of combining five of the leading forecasting models with equal weights dominates the strategy of selecting one model and using it for all horizons up to two years. Even more accurate forecasts, however, are obtained when allowing the forecast...

Persistent link: https://www.econbiz.de/10011083466

Monetary policy responses to oil price fluctuations

Bodenstein, Martin; Guerrieri, Luca; Kilian, Lutz - C.E.P.R. Discussion Papers - 2012

The recent volatility in global commodity prices and in the price of oil, in particular, has created renewed interest in the question of how monetary policy makers should respond to oil price fluctuations. In this paper, we discuss why this question is ill-posed and has no general answer. The...

Persistent link: https://www.econbiz.de/10011083477

Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis

Baumeister, Christiane; Kilian, Lutz; Zhou, Xiaoqing - C.E.P.R. Discussion Papers - 2013

based on the premise that demand for crude oil derives from the demand for refined products such as gasoline or heating oil …

Persistent link: https://www.econbiz.de/10011083532

A General Approach to Recovering Market Expectations from Futures Prices With an Application to Crude Oil

Baumeister, Christiane; Kilian, Lutz - C.E.P.R. Discussion Papers - 2014

Futures markets are a potentially valuable source of information about market expectations. Exploiting this information has proved difficult in practice, because the presence of a timevarying risk premium often renders the futures price a poor measure of the market expectation of the price of...

Persistent link: https://www.econbiz.de/10011083547