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Growth, Volatility and Political Instability: Non-Linear Time-Series Evidence for Argentina, 1896-2000
Campos, Nauro F; Karanasos, Menelaos - C.E.P.R. Discussion Papers - 2007
What is the relationship between economic growth and its volatility? Does political instability affect growth directly … or indirectly, through volatility? This paper tries to answer such questions using a power-ARCH framework with annual … legislative changes) has an indirect (through volatility) negative impact. We also find preliminary support for the idea that …
Persistent link: https://www.econbiz.de/10005667076
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Institutional Causes, Macroeconomic Symptoms: Volatility, Crises and Growth
Acemoglu, Daron; Johnson, Simon; Robinson, James A; … - C.E.P.R. Discussion Papers - 2002
misaligned exchange rates, appear to have suffered more macroeconomic volatility and also grown more slowly during the postwar … more ‘extractive’ institutions from their colonial past were more likely to experience high volatility and economic crises … appear to have only a minor impact on volatility and crises. This suggests that distortionary macroeconomic policies are more …
Persistent link: https://www.econbiz.de/10005136626
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Two to Tangle: Financial Development, Political Instability and Economic Growth in Argentina (1896-2000)
Campos, Nauro F; Karanasos, Menelaos; Tan, Bin - C.E.P.R. Discussion Papers - 2008
.g., cabinet changes) has an indirect (through volatility) impact on growth; (iii) the effect of financial development is positive … and, surprisingly, not via volatility; (iv) the informal instability effects are much larger in the short- than in the …
Persistent link: https://www.econbiz.de/10005114221
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Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work
Baumeister, Christiane; Guérin, Pierre; Kilian, Lutz - C.E.P.R. Discussion Papers - 2013
The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast monthly and quarterly oil prices. There also has been increased interest in the link between financial markets and oil markets, including the question of whether financial market...
Persistent link: https://www.econbiz.de/10011083339
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Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries
Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2012
There is a long tradition of using oil prices to forecast U.S. real GDP. It has been suggested that the predictive relationship between the price of oil and one-quarter ahead U.S. real GDP is nonlinear in that (1) oil price increases matter only to the extent that they exceed the maximum oil...
Persistent link: https://www.econbiz.de/10011083435
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The Role of Oil Price Shocks in Causing U.S. Recessions
Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2014
Although oil price shocks have long been viewed as one of the leading candidates for explaining U.S. recessions, surprisingly little is known about the extent to which oil price shocks explain recessions. We provide the first formal analysis of this question with special attention to the...
Persistent link: https://www.econbiz.de/10011083465
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Are there Gains from Pooling Real-Time Oil Price Forecasts?
Baumeister, Christiane; Kilian, Lutz; Lee, Thomas K - C.E.P.R. Discussion Papers - 2014
The answer depends on the objective. The approach of combining five of the leading forecasting models with equal weights dominates the strategy of selecting one model and using it for all horizons up to two years. Even more accurate forecasts, however, are obtained when allowing the forecast...
Persistent link: https://www.econbiz.de/10011083466
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Monetary policy responses to oil price fluctuations
Bodenstein, Martin; Guerrieri, Luca; Kilian, Lutz - C.E.P.R. Discussion Papers - 2012
The recent volatility in global commodity prices and in the price of oil, in particular, has created renewed interest …
Persistent link: https://www.econbiz.de/10011083477
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Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis
Baumeister, Christiane; Kilian, Lutz; Zhou, Xiaoqing - C.E.P.R. Discussion Papers - 2013
Notwithstanding a resurgence in research on out-of-sample forecasts of the price of oil in recent years, there is one important approach to forecasting the real price of oil which has not been studied systematically to date. This approach is based on the premise that demand for crude oil derives...
Persistent link: https://www.econbiz.de/10011083532
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A General Approach to Recovering Market Expectations from Futures Prices With an Application to Crude Oil
Baumeister, Christiane; Kilian, Lutz - C.E.P.R. Discussion Papers - 2014
Futures markets are a potentially valuable source of information about market expectations. Exploiting this information has proved difficult in practice, because the presence of a timevarying risk premium often renders the futures price a poor measure of the market expectation of the price of...
Persistent link: https://www.econbiz.de/10011083547