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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 … price of oil is not helpful for out-of-sample forecasting; more robust and more accurate real GDP forecasts are obtained …

Persistent link: https://www.econbiz.de/10011083435

Speculation in the Oil Market

Juvenal, Luciana; Petrella, Ivan - C.E.P.R. Discussion Papers - 2014

The run-up in oil prices since 2004 coincided with growing investment in commodity markets and increased price comovement among different commodities. We assess whether speculation in the oil market played a role in driving this salient empirical pattern. We identify oil shocks from a large...

Persistent link: https://www.econbiz.de/10011084143

The effects of global shocks on small commodity-exporting economies: New evidence from Canada

Charnavoki, Valery; Dolado, Juan J. - C.E.P.R. Discussion Papers - 2012

This paper presents a structural dynamic factor model of a small commodity-exporting economy using Canada as a representative case study. Combining large panel data sets of the global and Canadian economies, we first identify those demand and supply shocks that explain most of the volatility in...

Persistent link: https://www.econbiz.de/10011084371

Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks

Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2009

A common view in the literature is that the effect of energy price shocks on macroeconomic aggregates is asymmetric in energy price increases and decreases. We show that widely used asymmetric vector autoregressive models of the transmission of energy price shocks are misspecified, resulting in...

Persistent link: https://www.econbiz.de/10005000442

Inference on Impulse Response Functions in Structural VAR Models

Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2011

Skepticism toward traditional identifying assumptions based on exclusion restrictions has led to a surge in the use of structural VAR models in which structural shocks are identified by restricting the sign of the responses of selected macroeconomic aggregates to these shocks. Researchers...

Persistent link: https://www.econbiz.de/10009493558

Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices

Kilian, Lutz; Vega, Clara - C.E.P.R. Discussion Papers - 2008

Models that treat innovations to the price of energy as predetermined with respect to U.S. macroeconomic aggregates are widely used in the literature. For example, it is common to order energy prices first in recursively identified VAR models of the transmission of energy price shocks. Since...

Persistent link: https://www.econbiz.de/10005114377

Retail Energy Prices and Consumer Expenditures

Edelstein, Paul; Kilian, Lutz - C.E.P.R. Discussion Papers - 2007

.S. auto industry in domestic real GDP and employment. It is also consistent with the symmetric behavior of real consumption in …

Persistent link: https://www.econbiz.de/10005504244

The Economic Effects of Energy Price Shocks

Kilian, Lutz - C.E.P.R. Discussion Papers - 2007

Large fluctuations in energy prices have been a distinguishing characteristic of the U.S. economy since the 1970s. Turmoil in the Middle East, rising energy prices in the U.S. and evidence of global warming recently have reignited interest in the link between energy prices and economic...

Persistent link: https://www.econbiz.de/10005504581

Understanding the Decline in the Price of Oil since June 2014

Baumeister, Christiane; Kilian, Lutz - C.E.P.R. Discussion Papers - 2015

Some observers have conjectured that the decline in the price of oil after June 2014 resulted from positive oil supply shocks in the second half of 2014. Others have suggested that a major shock to oil price expectations occurred when in late November 2014 OPEC announced that it would maintain...

Persistent link: https://www.econbiz.de/10011165651

Oil Price Shocks: Causes and Consequences

Kilian, Lutz - C.E.P.R. Discussion Papers - 2014

Research on oil markets conducted during the last decade has challenged long-held beliefs about the causes and consequences of oil price shocks. As the empirical and theoretical models used by economists have evolved, so has our understanding of the determinants of oil price shocks and of the...

Persistent link: https://www.econbiz.de/10011083294