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The econometrics of oil market VAR Models
Kilian, Lutz; Zhou, Xiaoqing - 2020
Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between...
Persistent link: https://www.econbiz.de/10012174841
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Refining the workhorse oil market model
Zhou, Xiaoqing - 2019
The Kilian and Murphy (2014) structural vector autoregressive model has become the workhorse model for the analysis of oil markets. I explore various refinements and extensions of this model, including the effects of (1) correcting an error in the measure of global real economic activity, (2)...
Persistent link: https://www.econbiz.de/10012230336
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The econometrics of oil market VAR models
Kilian, Lutz; Zhou, Xiaoqing - 2020
Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between...
Persistent link: https://www.econbiz.de/10012230527
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The Econometrics of Oil Market VAR Models
Kilian, Lutz - 2020
Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between...
Persistent link: https://www.econbiz.de/10012839764
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Are product spreads useful for forecasting? : an empirical evaluation of the Verleger hypothesis
Baumeister, Christiane; Kilian, Lutz; Zhou, Xiaoqing - 2013
important approach to forecasting the real price of oil which has not been studied systematically to date. This approach is …. Our objective is to evaluate this proposition. We derive from first principles a number of alternative forecasting model … not all product spread models are useful for out-of-sample forecasting, but some models are, even at horizons between one …
Persistent link: https://www.econbiz.de/10009781115
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The propagation of regional shocks in housing markets : evidence from oil price shocks in Canada
Kilian, Lutz; Zhou, Xiaoqing - 2019 - This version: September 4, 2019
Shocks to the demand for housing that originate in one region may seem important only for that regional housing market. We provide evidence that such shocks can also affect housing markets in other regions. Our analysis focuses on the response of Canadian housing markets to oil price shocks. Oil...
Persistent link: https://www.econbiz.de/10012227501
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Oil prices, exchange rates and interest rates
Kilian, Lutz; Zhou, Xiaoqing - 2019 - This version: November 8, 2019
There has been much interest in the relationship between the price of crude oil, the value of the U.S. dollar, and the U.S. interest rate since the 1980s. For example, the sustained surge in the real price of oil in the 2000s is often attributed to the declining real value of the U.S. dollar as...
Persistent link: https://www.econbiz.de/10012230400
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The propagation of regional shocks in housing markets : evidence from oil price shocks in Canada
Kilian, Lutz; Zhou, Xiaoqing - 2018
Shocks to the demand for housing that originate in one region may seem important only for that regional housing market. We provide evidence that such shocks can also affect housing markets in other regions. Our analysis focuses on the response of Canadian housing markets to oil price shocks. We...
Persistent link: https://www.econbiz.de/10011840759
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The propagation of regional shocks in housing markets : evidence from oil price shocks in Canada
Kilian, Lutz; Zhou, Xiaoqing - 2018 - This version: October 22, 2018
Shocks to the demand for housing that originate in one region may seem important only for that regional housing market. We provide evidence that such shocks can also affect housing markets in other regions. Our analysis focuses on the response of Canadian housing markets to oil price shocks. Oil...
Persistent link: https://www.econbiz.de/10011918945
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Oil prices, exchange rates and interest rates
Kilian, Lutz; Zhou, Xiaoqing - 2019
There has been much interest in the relationship between the price of crude oil, the value of the U.S. dollar, and the U.S. interest rate since the 1980s. For example, the sustained surge in the real price of oil in the 2000s is often attributed to the declining real value of the U.S. dollar as...
Persistent link: https://www.econbiz.de/10011966739