Details about Lutz Kilian

Homepage:	https://sites.google.com/site/lkilian2019/home
Workplace:	Federal Reserve Bank of Dallas, (more information at EDIRC)

Access statistics for papers by Lutz Kilian.

Last updated 2023-09-07. Update your information in the RePEc Author Service.

Short-id: pki110

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Working Papers

2023

1. A broader perspective on the inflationary effects of energy price shocks
   CFS Working Paper Series, Center for Financial Studies (CFS)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2022)
   Working Papers, Federal Reserve Bank of Dallas (2022) View citations (1)
   See also Journal Article in Energy Economics (2023)
2. Estimating Macroeconomic News and Surprise Shocks
   Working Papers, Federal Reserve Bank of Dallas
3. Heterogeneity in the Pass-Through from Oil to Gasoline Prices: A New Instrument for Estimating the Price Elasticity of Gasoline
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
4. Heterogeneity in the Pass-Through from Oil to Gasoline Prices: A New Instrument for Estimating the Price Elasticity of Gasoline Demand
   Working Papers, Federal Reserve Bank of Dallas
   Also in CESifo Working Paper Series, CESifo (2023)
   CFS Working Paper Series, Center for Financial Studies (CFS) (2023)
5. How to Construct Monthly VAR Proxies Based on Daily Futures Market Surprises
   Working Papers, Federal Reserve Bank of Dallas
6. Jointly Estimating Macroeconomic News and Surprise Shocks
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
7. Oil Price Shocks and Inflation
   Working Papers, Federal Reserve Bank of Dallas
8. State-Dependent Local Projections
   Working Papers, Federal Reserve Bank of Dallas

2022

9. Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in CESifo Working Paper Series, CESifo (2022) View citations (2)
   Working Papers, Federal Reserve Bank of Dallas (2022)
10. When Do State-Dependent Local Projections Work?
    Working Papers, Federal Reserve Bank of Dallas View citations (6)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2022)

2021

11. Comment on Giacomini, Kitagawa and Read's 'Narrative Restrictions and Proxies'
    Working Papers, Federal Reserve Bank of Dallas
    See also Journal Article in Journal of Business & Economic Statistics (2022)
12. Comment on Giacomini, Kitagawa and Read’s ‘Narrative Restrictions and Proxies’
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
13. Container Trade and the U.S. Recovery
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2021) View citations (2)
    CESifo Working Paper Series, CESifo (2021) View citations (1)
    Working Papers, Federal Reserve Bank of Dallas (2021)
    See also Journal Article in International Journal of Central Banking (2023)
14. Facts and fiction in oil market modeling
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (1)
    Also in CESifo Working Paper Series, CESifo (2019) View citations (10)
    Working Papers, Federal Reserve Bank of Dallas (2020) View citations (4)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) View citations (10)
    See also Journal Article in Energy Economics (2022)
15. The Impact of Rising Oil Prices on U.S. Inflation and Inflation Expectations in 2020-23
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Working Papers, Federal Reserve Bank of Dallas (2021)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2021) View citations (8)
    CESifo Working Paper Series, CESifo (2021) View citations (5)
    See also Journal Article in Energy Economics (2022)
16. The role of the prior in estimating VAR models with sign restrictions
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (4)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (22)
    Working Papers, Federal Reserve Bank of Dallas (2020) View citations (14)

2020

17. A Quantitative Model of the Oil Tanker Market in the Arabian Gulf
    Working Papers, Federal Reserve Bank of Dallas View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (2)
    CESifo Working Paper Series, CESifo (2020) View citations (1)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2020) View citations (2)
18. Does drawing down the U.S. strategic petroleum reserve help stabilize oil prices?
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (10)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) View citations (7)
    CESifo Working Paper Series, CESifo (2019) View citations (2)
    Working Papers, Federal Reserve Bank of Dallas (2019) View citations (10)
    See also Journal Article in Journal of Applied Econometrics (2020)
19. Impulse Response Analysis for Structural Dynamic Models with Nonlinear Regressors
    Working Papers, Federal Reserve Bank of Dallas
    See also Journal Article in Journal of Econometrics (2021)
20. Joint Bayesian Inference about Impulse Responses in VAR Models
    Working Papers, Federal Reserve Bank of Dallas View citations (7)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2020) View citations (15)
    See also Journal Article in Journal of Econometrics (2022)
21. Oil Prices, Gasoline Prices and Inflation Expectations: A New Model and New Facts
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
    Also in CESifo Working Paper Series, CESifo (2020) View citations (5)
    Working Papers, Federal Reserve Bank of Dallas (2020) View citations (5)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2020) View citations (5)
22. Oil prices, exchange rates and interest rates
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (4)
    Also in 2019 Meeting Papers, Society for Economic Dynamics (2019) View citations (43)
    Working Papers, Federal Reserve Bank of Dallas (2019) View citations (21)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) View citations (41)
    CESifo Working Paper Series, CESifo (2019) View citations (42)
    See also Journal Article in Journal of International Money and Finance (2022)
23. The Econometrics of Oil Market VAR Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (26)
    Also in CESifo Working Paper Series, CESifo (2020) View citations (25)
    Working Papers, Federal Reserve Bank of Dallas (2020) View citations (20)
    See also Chapter (2023)
24. Understanding the Estimation of Oil Demand and Oil Supply Elasticities
    CESifo Working Paper Series, CESifo View citations (6)
    Also in Working Papers, Federal Reserve Bank of Dallas (2020) View citations (4)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2020) View citations (6)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (6)
    See also Journal Article in Energy Economics (2022)

2019

25. Measuring Global Real Economic Activity: Do Recent Critiques Hold Up to Scrutiny?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (111)
    Also in CESifo Working Paper Series, CESifo (2019) View citations (110)
    See also Journal Article in Economics Letters (2019)
26. Recent Developments in Bootstrapping Time Series
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (9)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1996) View citations (50)
    See also Journal Article in Econometric Reviews (2000)
27. The Propagation of Regional Shocks in Housing Markets: Evidence from Oil Price Shocks in Canada
    Working Papers, Federal Reserve Bank of Dallas
    Also in CESifo Working Paper Series, CESifo (2018) View citations (7)
    Staff Working Papers, Bank of Canada (2018) View citations (7)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (7)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2018) View citations (7)
    See also Journal Article in Journal of Money, Credit and Banking (2022)
28. The Uniform Validity of Impulse Response Inference in Autoregressions
    Working Papers, Federal Reserve Bank of Dallas View citations (2)
    Also in Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics (2019) View citations (2)
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics (2019) View citations (2)
    See also Journal Article in Journal of Econometrics (2020)

2018

29. Energy Challenges in an Uncertain World
    Post-Print, HAL
30. Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks: Comment
    CESifo Working Paper Series, CESifo View citations (5)
31. Structural Interpretation of Vector Autoregressions with Incomplete Information: Revisiting the Role of Oil Supply and Demand S
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)

2017

32. Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (8)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2016) View citations (1)
    CESifo Working Paper Series, CESifo (2016) View citations (1)
    Staff Working Papers, Bank of Canada (2017) View citations (8)
33. How the Tight Oil Boom Has Changed Oil and Gasoline Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (16)
    Also in CESifo Working Paper Series, CESifo (2017) View citations (15)
34. Is the Discretionary Income Effect of Oil Price Shocks a Hoax?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
    Also in Staff Working Papers, Bank of Canada (2017) View citations (3)
    CESifo Working Paper Series, CESifo (2017) View citations (3)
35. Lower Oil Prices and the U.S. Economy: Is This Time Different?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
    Also in CESifo Working Paper Series, CESifo (2017) View citations (24)
    See also Journal Article in Brookings Papers on Economic Activity (2016)
36. Modeling Fluctuations in the Global Demand for Commodities
    CESifo Working Paper Series, CESifo View citations (25)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (20)
    See also Journal Article in Journal of International Money and Finance (2018)
37. The Impact of the Fracking Boom on Arab Oil Producers
    Working Papers, Economic Research Forum View citations (92)
    Also in CESifo Working Paper Series, CESifo (2016) View citations (11)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (10)
    See also Journal Article in The Energy Journal (2017)

2016

38. A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
    CESifo Working Paper Series, CESifo View citations (19)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (20)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2014) View citations (20)
    Staff Working Papers, Bank of Canada (2016) View citations (19)
39. Anticipation, Tax Avoidance, and the Price Elasticity of Gasoline Demand
    CESifo Working Paper Series, CESifo View citations (22)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2015) View citations (6)
    NBER Working Papers, National Bureau of Economic Research, Inc (2015) View citations (7)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (6)
    See also Journal Article in Journal of Applied Econometrics (2017)
40. Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us
    CESifo Working Paper Series, CESifo View citations (250)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2015) View citations (9)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (250)
    See also Journal Article in Journal of Economic Perspectives (2016)
41. Impulse Response Matching Estimators for DSGE Models
    CESifo Working Paper Series, CESifo View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (3)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2014) View citations (3)
    Discussion paper series, Hitotsubashi Institute for Advanced Study, Hitotsubashi University (2016) View citations (2)
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics (2014) View citations (3)
    See also Journal Article in Journal of Econometrics (2017)
42. Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump
    CESifo Working Paper Series, CESifo View citations (9)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2015) View citations (4)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (4)
    See also Journal Article in Journal of Applied Econometrics (2017)
43. Joint Confidence Sets for Structural Impulse Responses
    CESifo Working Paper Series, CESifo View citations (33)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (4)
    Departmental Working Papers, Southern Methodist University, Department of Economics (2014) View citations (4)
    See also Journal Article in Journal of Econometrics (2016)
44. The Impact of the Shale Oil Revolution on U.S. Oil and Gasoline Prices
    CESifo Working Paper Series, CESifo View citations (114)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2014) View citations (17)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (20)
    See also Journal Article in Review of Environmental Economics and Policy (2016)
45. The Role of Oil Price Shocks in Causing U.S. Recessions
    CESifo Working Paper Series, CESifo View citations (2)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2014) View citations (11)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (9)
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2014) View citations (7)
    See also Journal Article in Journal of Money, Credit and Banking (2017)
46. Understanding the Decline in the Price of Oil since June 2014
    CESifo Working Paper Series, CESifo View citations (138)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (47)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2015) View citations (49)
    See also Journal Article in Journal of the Association of Environmental and Resource Economists (2016)

2014

47. Are There Gains from Pooling Real-Time Oil Price Forecasts?
    Staff Working Papers, Bank of Canada View citations (65)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (63)
    See also Journal Article in Energy Economics (2014)
48. Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work
    Staff Working Papers, Bank of Canada View citations (13)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2013) View citations (3)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (1)
    See also Journal Article in International Journal of Forecasting (2015)
49. Oil Price Shocks: Causes and Consequences
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (182)
    See also Journal Article in Annual Review of Resource Economics (2014)

2013

50. Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis
    Staff Working Papers, Bank of Canada View citations (25)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2013) View citations (25)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (31)
51. Do Oil Price Increases Cause Higher Food Prices?
    Staff Working Papers, Bank of Canada View citations (14)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (14)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2013) View citations (14)
    See also Journal Article in Economic Policy (2014)
52. Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (16)
    Also in Staff Working Papers, Bank of Canada (2013) View citations (9)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2013) View citations (9)
    See also Journal Article in Journal of Business & Economic Statistics (2015)
53. Inference on Impulse Response Functions in Structural VAR Models
    TERG Discussion Papers, Graduate School of Economics and Management, Tohoku University View citations (177)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) View citations (9)
    DSSR Discussion Papers, Graduate School of Economics and Management, Tohoku University (2013) View citations (179)
    See also Journal Article in Journal of Econometrics (2013)
54. 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 View citations (31)
    See also Journal Article in Journal of International Money and Finance (2014)
55. What Central Bankers Need to Know about Forecasting Oil Prices
    Staff Working Papers, Bank of Canada View citations (6)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (11)
    See also Journal Article in International Economic Review (2014)

2012

56. Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2012) View citations (2)
    See also Journal Article in Journal of Business & Economic Statistics (2013)
57. Monetary policy responses to oil price fluctuations
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (164)
    See also Journal Article in IMF Economic Review (2012)
58. Real-Time Analysis of Oil Price Risks Using Forecast Scenarios
    Staff Working Papers, Bank of Canada View citations (13)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) View citations (13)
    See also Journal Article in IMF Economic Review (2014)
59. The Role of Speculation in Oil Markets: What Have We Learned So Far?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (92)
    See also Journal Article in The Energy Journal (2013)

2011

60. Forecasting the Price of Oil
    Staff Working Papers, Bank of Canada View citations (78)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2011) View citations (29)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) View citations (103)
    See also Chapter (2013)
61. Nonlinearities in the Oil Price-Output Relationship
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (143)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2011) View citations (151)
    See also Journal Article in Macroeconomic Dynamics (2011)
62. Real-Time Forecasts of the Real Price of Oil
    Staff Working Papers, Bank of Canada View citations (71)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) View citations (36)
    See also Journal Article in Journal of Business & Economic Statistics (2011)
63. Structural Vector Autoregressions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (47)
    See also Chapter (2013)

2010

64. Oil price volatility: Origins and effects
    WTO Staff Working Papers, World Trade Organization (WTO), Economic Research and Statistics Division View citations (47)
65. Quantifying the Risk of Deflation
    EcoMod2004, EcoMod
    See also Journal Article in Journal of Money, Credit and Banking (2007)
66. The Role of Inventories and Speculative Trading in the Global Market for Crude Oil
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (99)
    See also Journal Article in Journal of Applied Econometrics (2014)

2009

67. Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (36)
    See also Journal Article in Journal of Forecasting (2013)
68. Do Local Projections Solve the Bias Problem in Impulse Response Inference?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (13)
69. Does the Fed Respond to Oil Price Shocks?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
    See also Journal Article in Economic Journal (2011)
70. Estimating the Effect of a Gasoline Tax on Carbon Emissions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (15)
    See also Journal Article in Journal of Applied Econometrics (2011)
71. Frequentist Inference in Weakly Identified DSGE Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2009) View citations (4)
72. Oil Price Shocks, Monetary Policy and Stagflation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (13)
    See also Chapter (2010)
73. Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (39)
    Also in 2009 Meeting Papers, Society for Economic Dynamics (2009) View citations (34)
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2009) View citations (18)
74. Why Agnostic Sign Restrictions Are Not Enough: Understanding the Dynamics of Oil Market VAR Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (27)
    See also Journal Article in Journal of the European Economic Association (2012)

2008

75. 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 View citations (30)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2008) View citations (24)
    See also Journal Article in The Review of Economics and Statistics (2011)
76. The Allocative Cost of Price Ceilings in the U.S. Residential Market for Natural Gas
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    See also Journal Article in Journal of Political Economy (2011)
77. 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 View citations (7)

2007

78. Oil Shocks and External Balances
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (29)
    Also in Working Papers, Research Seminar in International Economics, University of Michigan (2007) View citations (15)
    See also Journal Article in Journal of International Economics (2009)
79. Retail Energy Prices and Consumer Expenditures
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (44)
80. 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 View citations (2)
81. The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
    See also Journal Article in Journal of Money, Credit and Banking (2008)
82. The Economic Effects of Energy Price Shocks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (87)
    See also Journal Article in Journal of Economic Literature (2008)
83. The Impact of Oil Price Shocks on the U.S. Stock Market
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (66)
    See also Journal Article in International Economic Review (2009)
84. The Response of Business Fixed Investment to Changes in Energy Prices: A Test of Some Hypotheses About the Transmission of Ener
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (126)
85. What Do We Learn from the Price of Crude Oil Futures?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (34)
    See also Journal Article in Journal of Applied Econometrics (2010)

2006

86. Do Actions Speak Louder than Words? Household Expectations of Inflation Based on Micro Consumption Data
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2006) View citations (1)
    See also Journal Article in Journal of Money, Credit and Banking (2009)
87. 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 View citations (59)
    See also Journal Article in American Economic Review (2009)
88. Time Series Analysis
    Working Papers, University of Maryland, Department of Agricultural and Resource Economics View citations (5)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2006) View citations (14)

2005

89. 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 View citations (36)
    See also Journal Article in The Review of Economics and Statistics (2008)
90. 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 View citations (18)
91. 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 View citations (27)

2004

92. Bagging Time Series Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (23)
    Also in Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) View citations (24)
93. Oil and the Macroeconomy Since the 1970s
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (641)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (638)
    See also Journal Article in Journal of Economic Perspectives (2004)

2003

94. Asymptotic and Bootstrap Inference for AR( Infinite ) Processes with Conditional Heteroskedasticity
    CIRANO Working Papers, CIRANO View citations (7)
95. Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (10)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2002) View citations (4)
    Working Paper Series, European Central Bank (2002) View citations (4)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2003) View citations (17)
    CIRANO Working Papers, CIRANO (2003) View citations (23)
    See also Journal Article in Journal of Econometrics (2004)
96. On the Selection of Forecasting Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (34)
    Also in Working Paper Series, European Central Bank (2003) View citations (15)
    See also Journal Article in Journal of Econometrics (2006)
97. The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)
    Also in Working Paper Series, European Central Bank (2003) View citations (13)

2002

98. In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (113)
    Also in Working Paper Series, European Central Bank (2002) View citations (64)
    See also Journal Article in Econometric Reviews (2005)

2001

99. A Practitioner's Guide to Lag-Order Selection for Vector Autoregressions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (16)
100. Do We Really Know that Oil Caused the Great Stagflation? A Monetary Alternative
     NBER Working Papers, National Bureau of Economic Research, Inc View citations (399)
     See also Chapter (2002)
101. Why Is It So Difficult to Beat the Random Walk Forecast of Exchange Rates?
     Working Papers, Research Seminar in International Economics, University of Michigan View citations (63)
     Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) View citations (60)
     Working Paper Series, European Central Bank (2001) View citations (67)
     Tinbergen Institute Discussion Papers, Tinbergen Institute (2001) View citations (64)
     See also Journal Article in Journal of International Economics (2003)

2000

102. A Monetary Explanation Of The Great Stagflation Of The 1970s
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
     Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations (6)
     Working Papers, Research Seminar in International Economics, University of Michigan (2000) View citations (5)
103. Bootstrapping Autoregressive Processes with Possible Unit Roots
     Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (6)
     See also Journal Article in Econometrica (2002)
104. Measuring Predictability: Theory And Macroeconomic Applications
     CEPR Discussion Papers, C.E.P.R. Discussion Papers
     Also in CARESS Working Papres, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences 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) View citations (11)
     NBER Technical Working Papers, National Bureau of Economic Research, Inc (1997) View citations (11)
     See also Journal Article in Journal of Applied Econometrics (2001)
105. 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 View citations (5)
     Also in Working Papers, Michigan - Center for Research on Economic & Social Theory (1999) View citations (16)
     See also Journal Article in Journal of International Money and Finance (2001)

1999

106. 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)
107. 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 (23)
     Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (1999) View citations (6)
108. 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 (6)
     Also in Working Papers, Michigan - Center for Research on Economic & Social Theory (1999) View citations (6)
     FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (1999) View citations (3)
     CEPR Discussion Papers, C.E.P.R. Discussion Papers (1999) View citations (6)
109. 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 View citations (5)
     Also in ZEI Working Papers, University of Bonn, ZEI - Center for European Integration Studies (1999) View citations (3)
110. Unit Root Tests Are Useful for Selecting Forecasting Models
     NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
     Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999) View citations (18)
     See also Journal Article in Journal of Business & Economic Statistics (2000)
111. 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

112. A Direct test of the Emerging Consensus about Long-Run PPP
     Working Papers, Department of Economics, Bilkent University
113. Analyzing Unit Root Tests in Finite Samples Using Power Profiles
     Working Papers, Michigan - Center for Research on Economic & Social Theory View citations (2)
114. How Reliable Are VAR Estimates of Responses to Monetary bPolicy Shocks?
     Working Papers, Michigan - Center for Research on Economic & Social Theory View citations (4)
115. Is there a trend break in U.S. GNP? A macroeconomic perspective
     Staff Report, Federal Reserve Bank of Minneapolis View citations (9)
116. Pitfalls in Constructing Bootstrap Confidence Intervals for Asymptotically Pivotal Statistics
     Working Papers, Michigan - Center for Research on Economic & Social Theory View citations (5)

1997

117. Exchange rates and Fundamentals: What Do We Learn From Long-Horizon Regressions?
     Working Papers, Research Seminar in International Economics, University of Michigan View citations (7)
118. Residual-Based Bootstrap Tests for Normality in Autoregressions
     Working Papers, Michigan - Center for Research on Economic & Social Theory View citations (5)

Journal Articles

2023

1. A broader perspective on the inflationary effects of energy price shocks
   Energy Economics, 2023, 125, (C)
   See also Working Paper (2023)
2. Container Trade and the U.S. Recovery
   International Journal of Central Banking, 2023, 19, (1), 417-450
   See also Working Paper (2021)

2022

3. Comment on Giacomini, Kitagawa, and Read’s “Narrative Restrictions and Proxies”
   Journal of Business & Economic Statistics, 2022, 40, (4), 1429-1433
   See also Working Paper (2021)
4. Facts and fiction in oil market modeling
   Energy Economics, 2022, 110, (C) View citations (5)
   See also Working Paper (2021)
5. Joint Bayesian inference about impulse responses in VAR models
   Journal of Econometrics, 2022, 231, (2), 457-476 View citations (12)
   See also Working Paper (2020)
6. Oil prices, exchange rates and interest rates
   Journal of International Money and Finance, 2022, 126, (C) View citations (3)
   See also Working Paper (2020)
7. Oil prices, gasoline prices, and inflation expectations
   Journal of Applied Econometrics, 2022, 37, (5), 867-881 View citations (5)
8. The Propagation of Regional Shocks in Housing Markets: Evidence from Oil Price Shocks in Canada
   Journal of Money, Credit and Banking, 2022, 54, (4), 953-987 View citations (3)
   See also Working Paper (2019)
9. The impact of rising oil prices on U.S. inflation and inflation expectations in 2020–23
   Energy Economics, 2022, 113, (C) View citations (7)
   See also Working Paper (2021)
10. Understanding the estimation of oil demand and oil supply elasticities
    Energy Economics, 2022, 107, (C) View citations (11)
    See also Working Paper (2020)

2021

11. Impulse response analysis for structural dynamic models with nonlinear regressors
    Journal of Econometrics, 2021, 225, (1), 107-130 View citations (8)
    See also Working Paper (2020)

2020

12. Does drawing down the US Strategic Petroleum Reserve help stabilize oil prices?
    Journal of Applied Econometrics, 2020, 35, (6), 673-691 View citations (14)
    See also Working Paper (2020)
13. The uniform validity of impulse response inference in autoregressions
    Journal of Econometrics, 2020, 215, (2), 450-472 View citations (8)
    See also Working Paper (2019)

2019

14. Measuring global real economic activity: Do recent critiques hold up to scrutiny?
    Economics Letters, 2019, 178, (C), 106-110 View citations (111)
    See also Working Paper (2019)

2018

15. ARE PRODUCT SPREADS USEFUL FOR FORECASTING OIL PRICES? AN EMPIRICAL EVALUATION OF THE VERLEGER HYPOTHESIS
    Macroeconomic Dynamics, 2018, 22, (3), 562-580 View citations (25)
16. Modeling fluctuations in the global demand for commodities
    Journal of International Money and Finance, 2018, 88, (C), 54-78 View citations (136)
    See also Working Paper (2017)

2017

17. Anticipation, Tax Avoidance, and the Price Elasticity of Gasoline Demand
    Journal of Applied Econometrics, 2017, 32, (1), 1-15 View citations (83)
    See also Working Paper (2016)
18. Impulse response matching estimators for DSGE models
    Journal of Econometrics, 2017, 196, (1), 144-155 View citations (30)
    See also Working Paper (2016)
19. Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump
    Journal of Applied Econometrics, 2017, 32, (2), 275-295 View citations (11)
    See also Working Paper (2016)
20. The Impact of the Fracking Boom on Arab Oil Producers
    The Energy Journal, 2017, Volume 38, (Number 6) View citations (92)
    See also Working Paper (2017)
21. The Role of Oil Price Shocks in Causing U.S. Recessions
    Journal of Money, Credit and Banking, 2017, 49, (8), 1747-1776 View citations (63)
    See also Working Paper (2016)

2016

22. Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us
    Journal of Economic Perspectives, 2016, 30, (1), 139-60 View citations (251)
    See also Working Paper (2016)
23. Joint confidence sets for structural impulse responses
    Journal of Econometrics, 2016, 192, (2), 421-432 View citations (35)
    See also Working Paper (2016)
24. Lower Oil Prices and the U.S. Economy: Is This Time Different?
    Brookings Papers on Economic Activity, 2016, 47, (2 (Fall)), 287-357 View citations (80)
    See also Working Paper (2017)
25. 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 View citations (109)
    See also Working Paper (2016)
26. 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 View citations (137)
    See also Working Paper (2016)

2015

27. Comment
    Journal of Business & Economic Statistics, 2015, 33, (1), 13-17
28. Do high-frequency financial data help forecast oil prices? The MIDAS touch at work
    International Journal of Forecasting, 2015, 31, (2), 238-252 View citations (77)
    See also Working Paper (2014)
29. Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach
    Journal of Business & Economic Statistics, 2015, 33, (3), 338-351 View citations (154)
    See also Working Paper (2013)
30. Recent Evolutions of Oil and Commodity Prices
    Review of Environment, Energy and Economics - Re3, 2015

2014

31. Are there gains from pooling real-time oil price forecasts?
    Energy Economics, 2014, 46, (S1), S33-S43 View citations (63)
    See also Working Paper (2014)
32. Do oil price increases cause higher food prices?
    (Biofuels, binding constraints, and agricultural commodity price volatility)
    Economic Policy, 2014, 29, (80), 691-747 View citations (135)
    See also Working Paper (2013)
33. Oil Price Shocks: Causes and Consequences
    Annual Review of Resource Economics, 2014, 6, (1), 133-154 View citations (182)
    See also Working Paper (2014)
34. 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 View citations (212)
    See also Working Paper (2013)
35. Real-Time Analysis of Oil Price Risks Using Forecast Scenarios
    IMF Economic Review, 2014, 62, (1), 119-145 View citations (42)
    See also Working Paper (2012)
36. THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL
    Journal of Applied Econometrics, 2014, 29, (3), 454-478 View citations (663)
    See also Working Paper (2010)
37. WHAT CENTRAL BANKERS NEED TO KNOW ABOUT FORECASTING OIL PRICES
    International Economic Review, 2014, 55, (3), 869-889 View citations (27)
    See also Working Paper (2013)

2013

38. Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003–2008?
    Journal of Forecasting, 2013, 32, (5), 385-394 View citations (209)
    See also Working Paper (2009)
39. 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 View citations (96)
    See also Working Paper (2012)
40. 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
41. Inference on impulse response functions in structural VAR models
    Journal of Econometrics, 2013, 177, (1), 1-13 View citations (179)
    See also Working Paper (2013)
42. The Role of Speculation in Oil Markets: What Have We Learned So Far?
    The Energy Journal, 2013, Volume 34, (Number 3) View citations (264)
    See also Working Paper (2012)

2012

43. 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 View citations (1)
44. Monetary Policy Responses to Oil Price Fluctuations
    IMF Economic Review, 2012, 60, (4), 470-504 View citations (164)
    See also Working Paper (2012)
45. 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 View citations (398)
    See also Working Paper (2009)

2011

46. Are the responses of the U.S. economy asymmetric in energy price increases and decreases?
    Quantitative Economics, 2011, 2, (3), 419-453 View citations (315)
47. 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 View citations (284)
    See also Working Paper (2008)
48. Does the Fed Respond to Oil Price Shocks?
    Economic Journal, 2011, 121, (555), 1047-1072 View citations (254)
    See also Working Paper (2009)
49. Estimating the effect of a gasoline tax on carbon emissions
    Journal of Applied Econometrics, 2011, 26, (7), 1187-1214 View citations (124)
    See also Working Paper (2009)
50. How Reliable Are Local Projection Estimators of Impulse Responses?
    The Review of Economics and Statistics, 2011, 93, (4), 1460-1466 View citations (116)
51. NONLINEARITIES IN THE OIL PRICE–OUTPUT RELATIONSHIP
    Macroeconomic Dynamics, 2011, 15, (S3), 337-363 View citations (67)
    See also Working Paper (2011)
52. Real-Time Forecasts of the Real Price of Oil
    Journal of Business & Economic Statistics, 2011, 30, (2), 326-336 View citations (36)
    See also Working Paper (2011)
53. The Allocative Cost of Price Ceilings in the U.S. Residential Market for Natural Gas
    Journal of Political Economy, 2011, 119, (2), 212 - 241 View citations (62)
    See also Working Paper (2008)

2010

54. 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 View citations (128)
55. What do we learn from the price of crude oil futures?
    Journal of Applied Econometrics, 2010, 25, (4), 539-573 View citations (455)
    See also Working Paper (2007)

2009

56. 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 View citations (13)
    Also in Journal of Money, Credit and Banking, 2009, 41, (7), 1331-1363 (2009) View citations (1)
    See also Working Paper (2006)
57. How sensitive are consumer expenditures to retail energy prices?
    Journal of Monetary Economics, 2009, 56, (6), 766-779 View citations (346)
58. 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 View citations (2442)
    See also Working Paper (2006)
59. Oil shocks and external balances
    Journal of International Economics, 2009, 77, (2), 181-194 View citations (223)
    See also Working Paper (2007)
60. THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET
    International Economic Review, 2009, 50, (4), 1267-1287 View citations (897)
    See also Working Paper (2007)

2008

61. 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 View citations (252)
62. 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 View citations (594)
    See also Working Paper (2005)
63. 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 View citations (102)
64. 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 View citations (18)
    Also in Journal of Money, Credit and Banking, 2008, 40, (6), 1103-1129 (2008) View citations (59)
    See also Working Paper (2007)
65. The Economic Effects of Energy Price Shocks
    Journal of Economic Literature, 2008, 46, (4), 871-909 View citations (592)
    See also Working Paper (2007)

2007

66. Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
    Econometric Reviews, 2007, 26, (6), 609-641 View citations (55)
67. Comment
    Journal of Business & Economic Statistics, 2007, 25, 156-159
68. Quantifying the Risk of Deflation
    Journal of Money, Credit and Banking, 2007, 39, (2‐3), 561-590 View citations (2)
    Also in Journal of Money, Credit and Banking, 2007, 39, (2-3), 561-590 (2007) View citations (27)
    See also Working Paper (2010)
69. 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 View citations (126)

2006

70. NEW INTRODUCTION TO MULTIPLE TIME SERIES ANALYSIS, by Helmut Lütkepohl, Springer, 2005
    Econometric Theory, 2006, 22, (5), 961-967 View citations (1)
71. On the selection of forecasting models
    Journal of Econometrics, 2006, 130, (2), 273-306 View citations (92)
    See also Working Paper (2003)
72. Understanding the effects of exogenous oil supply shocks
    CESifo Forum, 2006, 7, (02), 21-27

2005

73. A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis
    Studies in Nonlinear Dynamics & Econometrics, 2005, 9, (1), 1-36 View citations (149)
74. In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
    Econometric Reviews, 2005, 23, (4), 371-402 View citations (123)
    See also Working Paper (2002)

2004

75. Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
    Journal of Econometrics, 2004, 123, (1), 89-120 View citations (380)
    See also Working Paper (2003)
76. Oil and the Macroeconomy Since the 1970s
    Journal of Economic Perspectives, 2004, 18, (4), 115-134 View citations (645)
    See also Working Paper (2004)

2003

77. THE CONTINUITY OF THE LIMIT DISTRIBUTION IN THE PARAMETER OF INTEREST IS NOT ESSENTIAL FOR THE VALIDITY OF THE BOOTSTRAP
    Econometric Theory, 2003, 19, (6), 944-961 View citations (16)
78. Why is it so difficult to beat the random walk forecast of exchange rates?
    Journal of International Economics, 2003, 60, (1), 85-107 View citations (540)
    See also Working Paper (2001)

2002

79. Bootstrapping Autoregressive Processes with Possible Unit Roots
    Econometrica, 2002, 70, (1), 377-391 View citations (86)
    See also Working Paper (2000)
80. Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR (∞) Models
    International Economic Review, 2002, 43, (2), 309-332 View citations (39)
81. DATA-DRIVEN NONPARAMETRIC SPECTRAL DENSITY ESTIMATORS FOR ECONOMIC TIME SERIES: A MONTE CARLO STUDY
    Econometric Reviews, 2002, 21, (4), 449-476 View citations (3)
    See also Working Paper (1999)
82. Quantifying the uncertainty about the half-life of deviations from PPP
    Journal of Applied Econometrics, 2002, 17, (2), 107-125 View citations (69)
83. UNIT ROOTS, TREND BREAKS, AND TRANSITORY DYNAMICS: A MACROECONOMIC PERSPECTIVE
    Macroeconomic Dynamics, 2002, 6, (5), 614-632 View citations (19)
    See also Working Paper (1999)

2001

84. Impulse Response Analysis in Vector Autoregressions with Unknown Lag Order
    Journal of Forecasting, 2001, 20, (3), 161-79 View citations (102)
85. Measuring predictability: theory and macroeconomic applications
    Journal of Applied Econometrics, 2001, 16, (6), 657-669 View citations (61)
    See also Working Paper (2000)
86. 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 View citations (126)
    See also Working Paper (2000)

2000

87. How accurate are confidence intervals for impulse responses in large VAR models?
    Economics Letters, 2000, 69, (3), 299-307 View citations (45)
88. Recent developments in bootstrapping time series
    Econometric Reviews, 2000, 19, (1), 1-48 View citations (127)
    See also Working Paper (2019)
89. Residual-Based Tests for Normality in Autoregressions: Asymptotic Theory and Simulation Evidence
    Journal of Business & Economic Statistics, 2000, 18, (1), 40-50 View citations (46)
90. Unit-Root Tests Are Useful for Selecting Forecasting Models
    Journal of Business & Economic Statistics, 2000, 18, (3), 265-73 View citations (94)
    See also Working Paper (1999)

1999

91. Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?
    Journal of Applied Econometrics, 1999, 14, (5), 491-510 View citations (317)
92. 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 View citations (86)

1998

93. Accounting for Lag Order Uncertainty in Autoregressions: the Endogenous Lag Order Bootstrap Algorithm
    Journal of Time Series Analysis, 1998, 19, (5), 531-548 View citations (23)
94. Confidence intervals for impulse responses under departures from normality
    Econometric Reviews, 1998, 17, (1), 1-29 View citations (57)
95. Small-Sample Confidence Intervals For Impulse Response Functions
    The Review of Economics and Statistics, 1998, 80, (2), 218-230 View citations (631)

1995

96. 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 View citations (56)
    Also in Proceedings, 1994, 1209-1240 (1994) View citations (8)

Books

2018

1. Structural Vector Autoregressive Analysis
   Cambridge Books, Cambridge University Press View citations (34)
   Also in Cambridge Books, Cambridge University Press (2017) View citations (538)

Chapters

2023

1. The Econometrics of Oil Market VAR Models
   A chapter in Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, 2023, vol. 45B, pp 65-95 View citations (1)
   See also Working Paper (2020)

2013

2. Forecasting the Price of Oil
   Elsevier View citations (363)
   See also Working Paper (2011)
3. Structural vector autoregressions
   Chapter 22 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 515-554 View citations (26)
   See also Working Paper (2011)

2010

4. Oil Price Shocks, Monetary Policy and Stagflation
   A chapter in Inflation in an Era of Relative Price Shocks, 2010 View citations (36)
   See also Working Paper (2009)

2002

5. 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 View citations (374)
   See also Working Paper (2001)