Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices
Lutz Kilian and
Clara Vega
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Clara Vega: Federal Reserve Board
The Review of Economics and Statistics, 2011, vol. 93, issue 2, 660-671
Abstract:
We propose a formal test of the hypothesis that energy prices are predetermined with respect to U.S. macroeconomic aggregates. The test is based on regressing changes in daily energy prices on daily news from U.S. macroeconomic data releases. Using a wide range of macroeconomic news, we find no compelling evidence of feedback at daily or monthly horizons, contradicting the view that energy prices respond instantaneously to macroeconomic news and consistent with the commonly used identifying assumption that there is no feedback from U.S. macroeconomic aggregates to monthly innovations in energy prices. © 2011 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.
Date: 2011
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Working Paper: Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices (2008) 
Working Paper: Do energy prices respond to U.S. macroeconomic news? a test of the hypothesis of predetermined energy prices (2008) 
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