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Details about Lutz Kilian

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Homepage:http://www-personal.umich.edu/~lkilian/
Workplace:Economics Department, University of Michigan, (more information at EDIRC)

Access statistics for papers by Lutz Kilian.

Last updated 2017-04-04. Update your information in the RePEc Author Service.

Short-id: pki110


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Working Papers

2017

  1. Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2016) Downloads
    CESifo Working Paper Series, CESifo Group Munich (2016) Downloads
  2. How the Tight Oil Boom Has Changed Oil and Gasoline Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2017) Downloads
  3. Is the Discretionary Income Effect of Oil Price Shocks a Hoax?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    Also in CESifo Working Paper Series, CESifo Group Munich (2017) Downloads View citations (2)
  4. Lower Oil Prices and the U.S. Economy: Is This Time Different?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2017) Downloads

    See also Journal Article in Brookings Papers on Economic Activity (2016)

2016

  1. A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
    Staff Working Papers, Bank of Canada Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2016) Downloads
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) Downloads View citations (4)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2014) Downloads View citations (4)
  2. Anticipation, Tax Avoidance, and the Price Elasticity of Gasoline Demand
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (12)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2015) Downloads View citations (4)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads View citations (4)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2015) Downloads View citations (4)
  3. Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (7)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2015) Downloads View citations (2)
    CESifo Working Paper Series, CESifo Group Munich (2016) Downloads View citations (7)

    See also Journal Article in Journal of Economic Perspectives (2016)
  4. Impulse Response Matching Estimators for DSGE Models
    Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University Downloads View citations (2)
    Also in Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics (2014) Downloads
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) Downloads View citations (2)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2014) Downloads View citations (2)
    CESifo Working Paper Series, CESifo Group Munich (2016) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2017)
  5. Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (7)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads View citations (4)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2015) Downloads View citations (4)
  6. Joint Confidence Sets for Structural Impulse Responses
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (3)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) Downloads View citations (1)
    Departmental Working Papers, Southern Methodist University, Department of Economics (2014) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2016)
  7. The Impact of the Fracking Boom on Arab Oil Producers
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (3)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) Downloads View citations (3)
  8. The Impact of the Shale Oil Revolution on U.S. Oil and Gasoline Prices
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (6)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2014) Downloads View citations (3)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) Downloads View citations (3)

    See also Journal Article in Review of Environmental Economics and Policy (2016)
  9. The Role of Oil Price Shocks in Causing U.S. Recessions
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2014) Downloads View citations (2)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) Downloads View citations (2)
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2014) Downloads View citations (2)
  10. Understanding the Decline in the Price of Oil since June 2014
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (11)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads View citations (27)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2015) Downloads View citations (27)

    See also Journal Article in Journal of the Association of Environmental and Resource Economists (2016)

2014

  1. Are There Gains from Pooling Real-Time Oil Price Forecasts?
    Staff Working Papers, Bank of Canada Downloads View citations (9)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) Downloads View citations (9)

    See also Journal Article in Energy Economics (2014)
  2. Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work
    Staff Working Papers, Bank of Canada Downloads View citations (9)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2013) Downloads View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) Downloads

    See also Journal Article in International Journal of Forecasting (2015)
  3. Oil Price Shocks: Causes and Consequences
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (37)
    See also Journal Article in Annual Review of Resource Economics (2014)

2013

  1. Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (15)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2013) Downloads View citations (10)
    Staff Working Papers, Bank of Canada (2013) Downloads View citations (9)
  2. Do Oil Price Increases Cause Higher Food Prices?
    Staff Working Papers, Bank of Canada Downloads View citations (7)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) Downloads View citations (7)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2013) Downloads View citations (7)

    See also Journal Article in Economic Policy (2014)
  3. Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (13)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2013) Downloads View citations (6)
    Staff Working Papers, Bank of Canada (2013) Downloads View citations (6)

    See also Journal Article in Journal of Business & Economic Statistics (2015)
  4. Inference on Impulse Response Functions in Structural VAR Models
    TERG Discussion Papers, Graduate School of Economics and Management, Tohoku University Downloads View citations (33)
    Also in DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University (2013) Downloads
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) Downloads View citations (5)

    See also Journal Article in Journal of Econometrics (2013)
  5. Quantifying the Speculative Component in the Real Price of Oil: The Role of Global Oil Inventories
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (14)
    See also Journal Article in Journal of International Money and Finance (2014)
  6. What Central Bankers Need to Know about Forecasting Oil Prices
    Staff Working Papers, Bank of Canada Downloads View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) Downloads View citations (10)

    See also Journal Article in International Economic Review (2014)

2012

  1. Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2012) Downloads View citations (1)

    See also Journal Article in Journal of Business & Economic Statistics (2013)
  2. Monetary policy responses to oil price fluctuations
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (53)
    See also Journal Article in IMF Economic Review (2012)
  3. Real-Time Analysis of Oil Price Risks Using Forecast Scenarios
    Staff Working Papers, Bank of Canada Downloads View citations (7)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) Downloads View citations (9)

    See also Journal Article in IMF Economic Review (2014)
  4. The Role of Speculation in Oil Markets: What Have We Learned So Far?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (60)
    See also Journal Article in The Energy Journal (2013)

2011

  1. Forecasting the Price of Oil
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (44)
    Also in Staff Working Papers, Bank of Canada (2011) Downloads View citations (21)
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2011) Downloads View citations (20)

    See also Chapter (2013)
  2. Nonlinearities in the Oil Price-Output Relationship
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (47)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2011) Downloads View citations (48)

    See also Journal Article in Macroeconomic Dynamics (2011)
  3. Real-Time Forecasts of the Real Price of Oil
    Staff Working Papers, Bank of Canada Downloads View citations (48)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) Downloads View citations (18)

    See also Journal Article in Journal of Business & Economic Statistics (2011)
  4. Structural Vector Autoregressions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (16)
    See also Chapter (2013)

2010

  1. Oil price volatility: Origins and effects
    WTO Staff Working Papers, World Trade Organization (WTO), Economic Research and Statistics Division Downloads View citations (7)
  2. The Role of Inventories and Speculative Trading in the Global Market for Crude Oil
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (69)
    See also Journal Article in Journal of Applied Econometrics (2014)

2009

  1. Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (15)
    See also Journal Article in Journal of Forecasting (2013)
  2. Do Local Projections Solve the Bias Problem in Impulse Response Inference?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
  3. Does the Fed Respond to Oil Price Shocks?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (10)
    See also Journal Article in Economic Journal (2011)
  4. Estimating the Effect of a Gasoline Tax on Carbon Emissions
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) Downloads View citations (6)

    See also Journal Article in Journal of Applied Econometrics (2011)
  5. Frequentist Inference in Weakly Identified DSGE Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2009) Downloads View citations (3)
  6. Oil Price Shocks, Monetary Policy and Stagflation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    See also Chapter (2010)
  7. Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks
    2009 Meeting Papers, Society for Economic Dynamics Downloads View citations (3)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2009) Downloads View citations (12)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) Downloads View citations (21)
  8. Why Agnostic Sign Restrictions Are Not Enough: Understanding the Dynamics of Oil Market VAR Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (22)
    See also Journal Article in Journal of the European Economic Association (2012)

2008

  1. Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (14)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2008) Downloads View citations (13)

    See also Journal Article in The Review of Economics and Statistics (2011)
  2. The Allocative Cost of Price Ceilings in the U.S. Residential Market for Natural Gas
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Journal of Political Economy (2011)
  3. Why Does Gasoline Cost so Much? A Joint Model of the Global Crude Oil Market and the U.S. Retail Gasoline Market
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)

2007

  1. Oil Shocks and External Balances
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (22)
    Also in Working Papers, Research Seminar in International Economics, University of Michigan (2007) Downloads View citations (8)

    See also Journal Article in Journal of International Economics (2009)
  2. Retail Energy Prices and Consumer Expenditures
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (31)
  3. The Allocative Cost of Price Ceilings: Lessons to be Learned from the US Residential Market for Natural Gas
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
  4. The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    See also Journal Article in Journal of Money, Credit and Banking (2008)
  5. The Economic Effects of Energy Price Shocks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (69)
    See also Journal Article in Journal of Economic Literature (2008)
  6. The Impact of Oil Price Shocks on the U.S. Stock Market
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (52)
    See also Journal Article in International Economic Review (2009)
  7. The Response of Business Fixed Investment to Changes in Energy Prices: A Test of Some Hypotheses About the Transmission of Energy Price Shocks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (43)
    See also Journal Article in The B.E. Journal of Macroeconomics (2007)
  8. What Do We Learn from the Price of Crude Oil Futures?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (29)
    See also Journal Article in Journal of Applied Econometrics (2010)

2006

  1. Do Actions Speak Louder than Words? Household Expectations of Inflation Based on Micro Consumption Data
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2006) Downloads View citations (1)

    See also Journal Article in Journal of Money, Credit and Banking (2009)
  2. Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (26)
    See also Journal Article in American Economic Review (2009)
  3. Time Series Analysis
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (10)
    Also in Working Papers, University of Maryland, Department of Agricultural and Resource Economics (2006) Downloads View citations (2)

2005

  1. Exogenous Oil Supply Shocks: How Big Are They and How Much do they Matter for the US Economy?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (27)
    See also Journal Article in The Review of Economics and Statistics (2008)
  2. How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (14)
  3. The Effects of Exogenous Oil Supply Shocks on Output and Inflation: Evidence from the G7 Countries
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (16)

2004

  1. Bagging Time Series Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (11)
    Also in Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) Downloads View citations (9)
  2. Oil and the Macroeconomy Since the 1970s
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (286)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (282)

    See also Journal Article in Journal of Economic Perspectives (2004)

2003

  1. Asymptotic and Bootstrap Inference for AR( Infinite ) Processes with Conditional Heteroskedasticity
    CIRANO Working Papers, CIRANO Downloads View citations (3)
  2. Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form
    CIRANO Working Papers, CIRANO Downloads View citations (24)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2002) Downloads View citations (4)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2003) Downloads View citations (10)
    Working Paper Series, European Central Bank (2002) Downloads View citations (4)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2003) Downloads View citations (6)

    See also Journal Article in Journal of Econometrics (2004)
  3. On the Selection of Forecasting Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (29)
    Also in Working Paper Series, European Central Bank (2003) Downloads View citations (8)

    See also Journal Article in Journal of Econometrics (2006)
  4. The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)
    Also in Working Paper Series, European Central Bank (2003) Downloads View citations (6)

2002

  1. In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (92)
    Also in Working Paper Series, European Central Bank (2002) Downloads View citations (39)

    See also Journal Article in Econometric Reviews (2005)

2001

  1. A Practitioner's Guide to Lag-Order Selection for Vector Autoregressions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (11)
  2. Do We Really Know that Oil Caused the Great Stagflation? A Monetary Alternative
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (114)
    See also Chapter (2002)
  3. Why Is It So Difficult to Beat the Random Walk Forecast of Exchange Rates?
    Working Papers, Research Seminar in International Economics, University of Michigan Downloads View citations (38)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) Downloads View citations (39)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2001) Downloads View citations (12)
    Working Paper Series, European Central Bank (2001) Downloads View citations (39)

    See also Journal Article in Journal of International Economics (2003)

2000

  1. A Monetary Explanation Of The Great Stagflation Of The 1970s
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    Also in Working Papers, Research Seminar in International Economics, University of Michigan (2000) View citations (1)
    NBER Working Papers, National Bureau of Economic Research, Inc (2000) Downloads View citations (2)
  2. Bootstrapping Autoregressive Processes with Possible Unit Roots
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (6)
    See also Journal Article in Econometrica (2002)
  3. Measuring Predictability: Theory And Macroeconomic Applications
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences View citations (1)
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1997) Downloads View citations (10)
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics (1998) View citations (1)
    Working Papers, Federal Reserve Bank of Philadelphia (1997) Downloads View citations (10)

    See also Journal Article in Journal of Applied Econometrics (2001)
  4. Size Distortions Of Tests Of The Null Hypothesis Of Stationarity: Evidence And Implications For The PPP Debate
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)
    Also in Working Papers, Michigan - Center for Research on Economic & Social Theory (1999) View citations (14)

    See also Journal Article in Journal of International Money and Finance (2001)

1999

  1. Data-Driven Nonparametric Spectral Density Estimators for Economic Time Series: A Monte Carlo Study
    Working Papers, Michigan - Center for Research on Economic & Social Theory View citations (1)
    See also Journal Article in Econometric Reviews (2002)
  2. On the Finite-Sample Accuracy of Nonparametric Resampling Algorithms for Economic Time Series
    Working Papers, Michigan - Center for Research on Economic & Social Theory View citations (14)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1999) Downloads View citations (4)
  3. Quantifying the Half-Life of Deviations from PPP: The Role of Economic Priors
    Working Papers, Research Seminar in International Economics, University of Michigan View citations (1)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (1999) Downloads View citations (2)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (1999) Downloads View citations (1)
    Working Papers, Michigan - Center for Research on Economic & Social Theory (1999) View citations (1)
  4. Size Distortions of Tests of the Null Hypothesis of Stationarity: Evidence and Implications for Applied Work
    Computing in Economics and Finance 1999, Society for Computational Economics Downloads View citations (4)
    Also in ZEI Working Papers, University of Bonn, ZEI - Center for European Integration Studies (1999) Downloads View citations (2)
  5. Unit Root Tests Are Useful for Selecting Forecasting Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) Downloads View citations (14)

    See also Journal Article in Journal of Business & Economic Statistics (2000)
  6. Unit Roots, Trend Breaks and Transitory Dynamics: A Macroeconomic Perspective
    Working Papers, Michigan - Center for Research on Economic & Social Theory View citations (3)
    See also Journal Article in Macroeconomic Dynamics (2002)

1998

  1. A Direct test of the Emerging Consensus about Long-Run PPP
    Working Papers, Department of Economics, Bilkent University
  2. Analyzing Unit Root Tests in Finite Samples Using Power Profiles
    Working Papers, Michigan - Center for Research on Economic & Social Theory View citations (2)
  3. How Reliable Are VAR Estimates of Responses to Monetary bPolicy Shocks?
    Working Papers, Michigan - Center for Research on Economic & Social Theory View citations (3)
  4. Is there a trend break in U.S. GNP? A macroeconomic perspective
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (3)
  5. Pitfalls in Constructing Bootstrap Confidence Intervals for Asymptotically Pivotal Statistics
    Working Papers, Michigan - Center for Research on Economic & Social Theory View citations (1)

1997

  1. Exchange rates and Fundamentals: What Do We Learn From Long-Horizon Regressions?
    Working Papers, Research Seminar in International Economics, University of Michigan
  2. Residual-Based Bootstrap Tests for Normality in Autoregressions
    Working Papers, Michigan - Center for Research on Economic & Social Theory View citations (4)

1996

  1. Recent developments in bootstrapping time series
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (48)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (4)

    See also Journal Article in Econometric Reviews (2000)

Undated

  1. Quantifying the Risk of Deflation
    EcoMod2004, EcoMod Downloads
    See also Journal Article in Journal of Money, Credit and Banking (2007)

Journal Articles

2017

  1. Impulse response matching estimators for DSGE models
    Journal of Econometrics, 2017, 196, (1), 144-155 Downloads
    See also Working Paper (2016)

2016

  1. Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us
    Journal of Economic Perspectives, 2016, 30, (1), 139-60 Downloads View citations (7)
    See also Working Paper (2016)
  2. Joint confidence sets for structural impulse responses
    Journal of Econometrics, 2016, 192, (2), 421-432 Downloads View citations (4)
    See also Working Paper (2016)
  3. Lower Oil Prices and the U.S. Economy: Is This Time Different?
    Brookings Papers on Economic Activity, 2016, 47, (2 (Fall)), 287-357 Downloads
    See also Working Paper (2017)
  4. The Impact of the Shale Oil Revolution on U.S. Oil and Gasoline Prices
    Review of Environmental Economics and Policy, 2016, 10, (2), 185-205 Downloads
    See also Working Paper (2016)
  5. Understanding the Decline in the Price of Oil since June 2014
    Journal of the Association of Environmental and Resource Economists, 2016, 3, (1), 131 - 158 Downloads View citations (11)
    See also Working Paper (2016)

2015

  1. Comment
    Journal of Business & Economic Statistics, 2015, 33, (1), 13-17 Downloads
  2. Do high-frequency financial data help forecast oil prices? The MIDAS touch at work
    International Journal of Forecasting, 2015, 31, (2), 238-252 Downloads View citations (14)
    See also Working Paper (2014)
  3. Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach
    Journal of Business & Economic Statistics, 2015, 33, (3), 338-351 Downloads View citations (6)
    See also Working Paper (2013)
  4. Recent Evolutions of Oil and Commodity Prices
    Review of Environment, Energy and Economics - Re3, 2015 Downloads

2014

  1. Are there gains from pooling real-time oil price forecasts?
    Energy Economics, 2014, 46, (S1), S33-S43 Downloads View citations (9)
    See also Working Paper (2014)
  2. Do oil price increases cause higher food prices?
    Economic Policy, 2014, 29, (80), 691-747 Downloads View citations (19)
    See also Working Paper (2013)
  3. Oil Price Shocks: Causes and Consequences
    Annual Review of Resource Economics, 2014, 6, (1), 133-154 Downloads View citations (36)
    See also Working Paper (2014)
  4. Quantifying the speculative component in the real price of oil: The role of global oil inventories
    Journal of International Money and Finance, 2014, 42, (C), 71-87 Downloads View citations (39)
    See also Working Paper (2013)
  5. Real-Time Analysis of Oil Price Risks Using Forecast Scenarios
    IMF Economic Review, 2014, 62, (1), 119-145 Downloads View citations (8)
    See also Working Paper (2012)
  6. THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL
    Journal of Applied Econometrics, 2014, 29, (3), 454-478 Downloads View citations (149)
    See also Working Paper (2010)
  7. WHAT CENTRAL BANKERS NEED TO KNOW ABOUT FORECASTING OIL PRICES
    International Economic Review, 2014, 55, 869-889 Downloads View citations (20)
    See also Working Paper (2013)

2013

  1. Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003–2008?
    Journal of Forecasting, 2013, 32, (5), 385-394 View citations (81)
    See also Working Paper (2009)
  2. Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries
    Journal of Business & Economic Statistics, 2013, 31, (1), 78-93 Downloads View citations (16)
    See also Working Paper (2012)
  3. Frequentist inference in weakly identified dynamic stochastic general equilibrium models: Acronyms must be spelled out in titles for indexing purposes
    Quantitative Economics, 2013, 4, (2), 197-229 Downloads
  4. Inference on impulse response functions in structural VAR models
    Journal of Econometrics, 2013, 177, (1), 1-13 Downloads View citations (33)
    See also Working Paper (2013)
  5. The Role of Speculation in Oil Markets: What Have We Learned So Far?
    The Energy Journal, 2013, Volume 34, (Number 3) Downloads View citations (72)
    See also Working Paper (2012)

2012

  1. Interviews with the experts on "Financial Speculation in the Oil Market and the Determinants of the Oil Price" (PART II)
    Review of Environment, Energy and Economics - Re3, 2012 Downloads
  2. Monetary Policy Responses to Oil Price Fluctuations
    IMF Economic Review, 2012, 60, (4), 470-504 Downloads View citations (52)
    See also Working Paper (2012)
  3. WHY AGNOSTIC SIGN RESTRICTIONS ARE NOT ENOUGH: UNDERSTANDING THE DYNAMICS OF OIL MARKET VAR MODELS
    Journal of the European Economic Association, 2012, 10, (5), 1166-1188 Downloads View citations (109)
    See also Working Paper (2009)

2011

  1. Are the responses of the U.S. economy asymmetric in energy price increases and decreases?
    Quantitative Economics, 2011, 2, (3), 419-453 Downloads View citations (88)
  2. Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices
    The Review of Economics and Statistics, 2011, 93, (2), 660-671 Downloads View citations (88)
    See also Working Paper (2008)
  3. Does the Fed Respond to Oil Price Shocks?
    Economic Journal, 2011, 121, (555), 1047-1072 Downloads View citations (88)
    See also Working Paper (2009)
  4. Estimating the effect of a gasoline tax on carbon emissions
    Journal of Applied Econometrics, 2011, 26, (7), 1187-1214 View citations (48)
    See also Working Paper (2009)
  5. How Reliable Are Local Projection Estimators of Impulse Responses?
    The Review of Economics and Statistics, 2011, 93, (4), 1460-1466 Downloads View citations (18)
  6. NONLINEARITIES IN THE OIL PRICE–OUTPUT RELATIONSHIP
    Macroeconomic Dynamics, 2011, 15, (S3), 337-363 Downloads View citations (24)
    See also Working Paper (2011)
  7. Real-Time Forecasts of the Real Price of Oil
    Journal of Business & Economic Statistics, 2011, 30, (2), 326-336 Downloads View citations (14)
    See also Working Paper (2011)
  8. The Allocative Cost of Price Ceilings in the U.S. Residential Market for Natural Gas
    Journal of Political Economy, 2011, 119, (2), 212 - 241 Downloads View citations (18)
    See also Working Paper (2008)

2010

  1. Explaining Fluctuations in Gasoline Prices: A Joint Model of the Global Crude Oil Market and the U.S. Retail Gasoline Market
    The Energy Journal, 2010, Volume 31, (Number 2), 87-112 Downloads View citations (55)
  2. What do we learn from the price of crude oil futures?
    Journal of Applied Econometrics, 2010, 25, (4), 539-573 Downloads View citations (185)
    See also Working Paper (2007)

2009

  1. Do Actions Speak Louder Than Words? Household Expectations of Inflation Based on Micro Consumption Data
    Journal of Money, Credit and Banking, 2009, 41, (7), 1331-1363 Downloads View citations (7)
    See also Working Paper (2006)
  2. How sensitive are consumer expenditures to retail energy prices?
    Journal of Monetary Economics, 2009, 56, (6), 766-779 Downloads View citations (137)
  3. Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market
    American Economic Review, 2009, 99, (3), 1053-69 Downloads View citations (825)
    See also Working Paper (2006)
  4. Oil shocks and external balances
    Journal of International Economics, 2009, 77, (2), 181-194 Downloads View citations (92)
    See also Working Paper (2007)
  5. THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET
    International Economic Review, 2009, 50, (4), 1267-1287 Downloads View citations (261)
    See also Working Paper (2007)

2008

  1. A Comparison of the Effects of Exogenous Oil Supply Shocks on Output and Inflation in the G7 Countries
    Journal of the European Economic Association, 2008, 6, (1), 78-121 Downloads View citations (112)
  2. Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?
    The Review of Economics and Statistics, 2008, 90, (2), 216-240 Downloads View citations (265)
    See also Working Paper (2005)
  3. How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation
    Journal of the American Statistical Association, 2008, 103, 511-522 Downloads View citations (38)
  4. The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan
    Journal of Money, Credit and Banking, 2008, 40, (6), 1103-1129 Downloads View citations (27)
    See also Working Paper (2007)
  5. The Economic Effects of Energy Price Shocks
    Journal of Economic Literature, 2008, 46, (4), 871-909 Downloads View citations (234)
    See also Working Paper (2007)

2007

  1. Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
    Econometric Reviews, 2007, 26, (6), 609-641 Downloads View citations (17)
  2. Comment
    Journal of Business & Economic Statistics, 2007, 25, 156-159 Downloads
  3. Quantifying the Risk of Deflation
    Journal of Money, Credit and Banking, 2007, 39, (2-3), 561-590 Downloads View citations (15)
    See also Working Paper
  4. The Response of Business Fixed Investment to Changes in Energy Prices: A Test of Some Hypotheses about the Transmission of Energy Price Shocks
    The B.E. Journal of Macroeconomics, 2007, 7, (1), 1-41 Downloads View citations (46)
    See also Working Paper (2007)

2006

  1. NEW INTRODUCTION TO MULTIPLE TIME SERIES ANALYSIS, by Helmut L tkepohl, Springer, 2005
    Econometric Theory, 2006, 22, (05), 961-967 Downloads
  2. On the selection of forecasting models
    Journal of Econometrics, 2006, 130, (2), 273-306 Downloads View citations (66)
    See also Working Paper (2003)
  3. Understanding the effects of exogenous oil supply shocks
    CESifo Forum, 2006, 7, (2), 21-27 Downloads

2005

  1. A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis
    Studies in Nonlinear Dynamics & Econometrics, 2005, 9, (1), 1-36 Downloads View citations (42)
  2. In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
    Econometric Reviews, 2005, 23, (4), 371-402 Downloads View citations (28)
    See also Working Paper (2002)

2004

  1. Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
    Journal of Econometrics, 2004, 123, (1), 89-120 Downloads View citations (192)
    See also Working Paper (2003)
  2. Oil and the Macroeconomy Since the 1970s
    Journal of Economic Perspectives, 2004, 18, (4), 115-134 Downloads View citations (306)
    See also Working Paper (2004)

2003

  1. THE CONTINUITY OF THE LIMIT DISTRIBUTION IN THE PARAMETER OF INTEREST IS NOT ESSENTIAL FOR THE VALIDITY OF THE BOOTSTRAP
    Econometric Theory, 2003, 19, (06), 944-961 Downloads View citations (9)
  2. Why is it so difficult to beat the random walk forecast of exchange rates?
    Journal of International Economics, 2003, 60, (1), 85-107 Downloads View citations (344)
    See also Working Paper (2001)

2002

  1. Bootstrapping Autoregressive Processes with Possible Unit Roots
    Econometrica, 2002, 70, (1), 377-391 Downloads View citations (63)
    See also Working Paper (2000)
  2. Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR (∞) Models
    International Economic Review, 2002, 43, (2), 309-332 Downloads View citations (23)
  3. DATA-DRIVEN NONPARAMETRIC SPECTRAL DENSITY ESTIMATORS FOR ECONOMIC TIME SERIES: A MONTE CARLO STUDY
    Econometric Reviews, 2002, 21, (4), 449-476 Downloads View citations (2)
    See also Working Paper (1999)
  4. Quantifying the uncertainty about the half-life of deviations from PPP
    Journal of Applied Econometrics, 2002, 17, (2), 107-125 Downloads View citations (49)
  5. UNIT ROOTS, TREND BREAKS, AND TRANSITORY DYNAMICS: A MACROECONOMIC PERSPECTIVE
    Macroeconomic Dynamics, 2002, 6, (05), 614-632 Downloads View citations (12)
    See also Working Paper (1999)

2001

  1. Impulse Response Analysis in Vector Autoregressions with Unknown Lag Order
    Journal of Forecasting, 2001, 20, (3), 161-79 View citations (76)
  2. Measuring predictability: theory and macroeconomic applications
    Journal of Applied Econometrics, 2001, 16, (6), 657-669 Downloads View citations (40)
    See also Working Paper (2000)
  3. Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate
    Journal of International Money and Finance, 2001, 20, (5), 639-657 Downloads View citations (84)
    See also Working Paper (2000)

2000

  1. How accurate are confidence intervals for impulse responses in large VAR models?
    Economics Letters, 2000, 69, (3), 299-307 Downloads View citations (37)
  2. Recent developments in bootstrapping time series
    Econometric Reviews, 2000, 19, (1), 1-48 Downloads View citations (73)
    See also Working Paper (1996)
  3. Residual-Based Tests for Normality in Autoregressions: Asymptotic Theory and Simulation Evidence
    Journal of Business & Economic Statistics, 2000, 18, (1), 40-50 View citations (32)
  4. Unit-Root Tests Are Useful for Selecting Forecasting Models
    Journal of Business & Economic Statistics, 2000, 18, (3), 265-73 View citations (53)
    See also Working Paper (1999)

1999

  1. Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?
    Journal of Applied Econometrics, 1999, 14, (5), 491-510 Downloads View citations (221)
  2. Finite-Sample Properties of Percentile and Percentile-t Bootstrap Confidence Intervals for Impulse Responses
    The Review of Economics and Statistics, 1999, 81, (4), 652-660 Downloads View citations (43)

1998

  1. Confidence intervals for impulse responses under departures from normality
    Econometric Reviews, 1998, 17, (1), 1-29 Downloads View citations (44)
  2. Small-Sample Confidence Intervals For Impulse Response Functions
    The Review of Economics and Statistics, 1998, 80, (2), 218-230 Downloads View citations (380)

1995

  1. The Effects of Real and Monetary Shocks in a Business Cycle Model with Some Sticky Prices
    Journal of Money, Credit and Banking, 1995, 27, (4), 1209-34 Downloads View citations (41)
    Also in Proceedings, 1994, 1209-1240 (1994) View citations (9)

Chapters

2013

  1. Forecasting the Price of Oil
    Elsevier Downloads View citations (29)
    See also Working Paper (2011)
  2. Structural vector autoregressions
    Chapter 22 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 515-554 Downloads View citations (7)
    See also Working Paper (2011)

2010

  1. Oil Price Shocks, Monetary Policy and Stagflation
    A chapter in Inflation in an Era of Relative Price Shocks, 2010 Downloads View citations (16)
    See also Working Paper (2009)

2002

  1. Do We Really Know that Oil Caused the Great Stagflation? A Monetary Alternative
    A chapter in NBER Macroeconomics Annual 2001, Volume 16, 2002, pp 137-198 Downloads View citations (126)
    See also Working Paper (2001)
 
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