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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

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

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

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

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

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

Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation

Sarno, Lucio - C.E.P.R. Discussion Papers - 2000

This paper proposes an empirical growth model which is consistent with a stochastic steady-state labour productivity level varying over time and across countries, where the disequilibrium mechanism leading to long-run equilibrium follows a nonlinear equilibrium correction model. Using data for...

Persistent link: https://www.econbiz.de/10005123970

Convergence and Cycles in the Euro Zone

Carvalho, Vasco M; Harvey, Andrew - C.E.P.R. Discussion Papers - 2004

income per capita in countries in the euro zone. The aim is to establish stylized facts about convergence as it relates both … to long-run income levels and to cycles. The analysis is based on a new model in which convergence components are … combined with a common trend and similar cycles. These convergence components are formulated as a second-order error correction …

Persistent link: https://www.econbiz.de/10005067405

Global Divergence in Growth Regressions

Battisti, Michele; Di Vaio, Gianfranco; Zeira, Joseph - C.E.P.R. Discussion Papers - 2013

This paper extends the standard growth regression model by adding an assumption that a country follows the global technology frontier either fully or partially. This additional assumption changes significantly the growth regression model and its results in three main ways. First, it shows that...

Persistent link: https://www.econbiz.de/10011083897

Distance to Frontier, Selection, and Economic Growth

Acemoglu, Daron; Aghion, Philippe; Zilibotti, Fabrizio - C.E.P.R. Discussion Papers - 2002

. Non-convergence traps are more likely when policies and institutions are endogenized, enabling beneficiaries of existing …

Persistent link: https://www.econbiz.de/10005789082

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