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Structural Interpretation of Vector Autoregressions with Incomplete Information : Revisiting the Role of Oil Supply and Demand Shocks: Comment

Kilian, Lutz; Zhou, Xiaoqing - 2021

Recently, Baumeister and Hamilton (henceforth: BH) have argued that existing studies of the global oil market fail to account for uncertainty about their identifying assumptions. They recommend an alternative econometric approach intended to address this concern by formulating priors on the...

Persistent link: https://www.econbiz.de/10013315410

The Impact of the Shale Oil Revolution on U.S. Oil and Gasoline Prices

Kilian, Lutz - 2021

This article examines how the shale oil revolution has shaped the evolution of U.S. crude oil and gasoline prices. It puts the evolution of shale oil production into historical perspective, highlights uncertainties about future shale oil production, and cautions against the view that the U.S....

Persistent link: https://www.econbiz.de/10013315512

Is the Discretionary Income Effect of Oil Price Shocks a Hoax?

Baumeister, Christiane - 2017

The transmission of oil price shocks has been a question of central interest in macroeconomics since the 1970s. There has been renewed interest in this question after the large and persistent fall in the real price of oil in 2014-16. In the context of this debate, Ramey (2017) makes the striking...

Persistent link: https://www.econbiz.de/10012960111

Forty Years of Oil Price Fluctuations : Why the Price of Oil May Still Surprise Us

Baumeister, Christiane - 2016

It has been forty years since the oil crisis of 1973/74. This crisis has been one of the defining economic events of the 1970s and has shaped how many economists think about oil price shocks. In recent years, a large literature on the economic determinants of oil price fluctuations has emerged....

Persistent link: https://www.econbiz.de/10012998728

The Propagation of Regional Shocks in Housing Markets : Evidence from Oil Price Shocks in Canada

Kilian, Lutz - 2018

Shocks to the demand for housing that originate in one region may seem important only for that regional housing market. We provide evidence that such shocks can also affect housing markets in other regions. Our analysis focuses on the response of Canadian housing markets to oil price shocks. We...

Persistent link: https://www.econbiz.de/10012916565

How the Tight Oil Boom Has Changed Oil and Gasoline Markets

Kilian, Lutz - 2017

Starting in late 2008, the U.S. production of tight oil surged, causing a renaissance in the U.S. oil sector that few industry analysts had anticipated. This tight oil boom reduced the dependence of the United States on petroleum imports and allowed it to become a major exporter of gasoline and...

Persistent link: https://www.econbiz.de/10012960095

Lower Oil Prices and the U.S. Economy : Is this Time Different?

Baumeister, Christiane - 2017

We explore the effect on U.S. real GDP growth of the sharp and sustained decline in the global price of crude oil and hence in the U.S. price of gasoline after June 2014. Our analysis suggests that this decline produced a cumulative stimulus of about 0.9 percentage points of real GDP growth by...

Persistent link: https://www.econbiz.de/10012962117

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

Kilian, Lutz - 2016

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 a formal analysis of this question with special attention to the possible role...

Persistent link: https://www.econbiz.de/10012997161

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

Baumeister, Christiane - 2016

Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset....

Persistent link: https://www.econbiz.de/10012996209

Understanding the Decline in the Price of Oil Since June 2014

Baumeister, Christiane - 2016

positive oil supply shocks in the second half of 2014. Others have suggested that a major shock to oil price expectations … expected oil production that occurred prior to July 2014. The remaining oil price decline is accounted for by a shock to oil … price expectations in July 2014 that lowered the demand for oil inventories and a shock to the demand for oil associated …

Persistent link: https://www.econbiz.de/10012996804