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Nonlinearities in the Oil Price-Output Relationship
Kilian, Lutz; Vigfusson, Robert J. - 2011
It is customary to suggest that the asymmetry in the transmission of oil price shocks to real output is well established. Much of the empirical work cited as being in support of asymmetries, however, has not directly tested the hypothesis of an asymmetric transmission of oil price innovations....
Persistent link: https://www.econbiz.de/10014184997
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News and uncertainty shocks
Cascaldi-Garcia, Danilo; Galvão, Ana Beatriz C. - 2018
We provide novel evidence that technological news and uncertainty shocks, identified one at a time using VAR models as in the literature, are correlated; that is, they are not truly structural. We then proceed by proposing an identification scheme to disentangle the effects of news and financial...
Persistent link: https://www.econbiz.de/10011967370
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Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries
Kilian, Lutz - 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/10013100207
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Oil prices and consumption across countries and U.S. states
De Michelis, Andrea; Ferreira, Thiago R. T.; … - 2019
We study the effects of oil prices on consumption across countries and U.S. states, by exploiting the time-series and cross-sectional variation in oil dependency of these economies. We build two large datasets: one with 55 countries over the years 1975-2018, and another with all U.S. states over...
Persistent link: https://www.econbiz.de/10012126165
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Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries
Kilian, Lutz; Vigfusson, Robert J. - 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/10014167514
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The effect of U.S. stress tests on monetary policy spillovers to emerging markets
Liu, Emily; Niepmann, Friederike; Schmidt-Eisenlohr, Tim - 2019
This paper shows that monetary policy and prudential policies interact. U.S. banks issue more commercial and industrial loans to emerging market borrowers when U.S. monetary policy eases. The effect is less pronounced for banks that are more constrained through the U.S. bank stress tests,...
Persistent link: https://www.econbiz.de/10012126184
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Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks
Kilian, Lutz - 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/10013158882
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Oil Price Elasticities and Oil Price Fluctuations
Caldara, Dario - 2016
We study the identification of oil shocks in a structural vector autoregressive (SVAR) model of the oil market. First, we show that the cross-equation restrictions of a SVAR impose a nonlinear relation between the short-run price elasticities of oil supply and oil demand. This relation implies...
Persistent link: https://www.econbiz.de/10013210426
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The Systematic Component of Monetary Policy in SVARs : An Agnostic Identification Procedure
Arias, Jonas - 2015
do not restrict the response of output to a monetary policy shock, we are agnostic in Uhlig's (2005) sense. But, in … contrast to Uhlig (2005), our results support the conventional view that a monetary policy shock leads to a decline in output …
Persistent link: https://www.econbiz.de/10013023864
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Assessing Structural Vars
Christiano, Lawrence J.; Eichenbaum, Martin; Vigfusson, … - 2006
This paper analyzes the quality of VAR-based procedures for estimating the response of the economy to a shock. We focus … question that has attracted a great deal of attention in the literature: How do hours worked respond to an identified shock? In … all of our examples, as long as the variance in hours worked due to a given shock is above the remarkably low number of 1 …
Persistent link: https://www.econbiz.de/10014054896