Lutz Kilian

Federal Reserve Banks - Federal Reserve Bank of Dallas

2200 North Pearl Street

PO Box 655906

Dallas, TX 75265-5906

United States

Centre for Economic Policy Research (CEPR)

Fellow

London

United Kingdom

SCHOLARLY PAPERS

101

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Top 3,279

in Total Papers Downloads

14,793

SSRN CITATIONS
Rank 82

SSRN RANKINGS

Top 82

in Total Papers Citations

2,050

CROSSREF CITATIONS

3,746

Scholarly Papers (101)

Understanding the Decline in the Price of Oil Since June 2014

CFS Working Paper No. 501
Number of pages: 36 Posted: 29 Jan 2015 Last Revised: 31 Mar 2015
Christiane Baumeister and Lutz Kilian
University of Notre Dame and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 3,030 (5,015)
Citation 32

Abstract:

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Oil price declines, OPEC, oil supply, oil demand, shale oil

Understanding the Decline in the Price of Oil Since June 2014

Number of pages: 41 Posted: 15 Mar 2016
Christiane Baumeister and Lutz Kilian
University of Notre Dame and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 512 (69,782)
Citation 5

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oil price declines, OPEC, oil supply, oil demand, shale oil

Understanding the Decline in the Price of Oil Since June 2014

Number of pages: 37 Posted: 10 Feb 2015
Christiane Baumeister and Lutz Kilian
University of Notre Dame and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 4 (805,170)
Citation 22
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Oil demand, Oil price declines, Oil supply, OPEC, Shale oil

The Impact of the Shale Oil Revolution on U.S. Oil and Gasoline Prices

CFS Working Paper No. 499
Number of pages: 43 Posted: 15 Dec 2014
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 852 (35,658)
Citation 15

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Shale oil, unconventional oil, tight oil, infrastructure, export ban, refining, U.S. oil independence, oil sands, capacity constraints, oil trade

The Impact of the Shale Oil Revolution on U.S. Oil and Gasoline Prices

Number of pages: 47 Posted: 09 Mar 2016
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 424 (87,664)
Citation 3

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shale oil, unconventional oil, tight oil, infrastructure, export ban, refining, U.S. oil independence, oil sands, capacity constraints, oil trade

The Impact of the Shale Oil Revolution on U.S. Oil and Gasoline Prices

Number of pages: 42 Posted: 23 Jan 2015
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 1 (838,183)
Citation 16
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Capacity constraints, Export ban, Infrastructure, Oil independence, Oil sands, Oil trade, Refining, Shale oil, Tight oil, Unconventional oil

3.

Time Series Analysis

PIER Working Paper No. 06-019
Number of pages: 24 Posted: 21 Jun 2006
Francis X. Diebold, Lutz Kilian and Marc Nerlove
University of Pennsylvania - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Maryland
Downloads 1,154 (23,485)
Citation 1

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Time series analysis, time domain, frequency domain

In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?

Number of pages: 43 Posted: 27 Feb 2003
Atsushi Inoue and Lutz Kilian
Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 793 (39,471)

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Predictability test, data mining, structural change, out-of-sample inference

In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?

Number of pages: 34 Posted: 15 Jan 2003
Atsushi Inoue and Lutz Kilian
Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 17 (694,801)
Citation 31
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Data mining, parameter instability, predictability test, reliability of inference

Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us

CFS Working Paper, No. 525
Number of pages: 40 Posted: 13 Jan 2016 Last Revised: 04 Jan 2018
Christiane Baumeister and Lutz Kilian
University of Notre Dame and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 545 (64,453)
Citation 13

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Oil market, oil price shock, heterogeneous price expectations, OPEC, peak oil, unconventional oil

Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us

Number of pages: 38 Posted: 18 Feb 2016
Christiane Baumeister and Lutz Kilian
University of Notre Dame and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 107 (321,003)
Citation 2

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oil market, oil price shock, heterogeneous price expectations, OPEC, peak oil, unconventional oil

Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us

Number of pages: 39 Posted: 20 Jan 2016
Christiane Baumeister and Lutz Kilian
University of Notre Dame and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 1 (838,183)
Citation 22
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Oil market, Oil price expectations, Oil price shock, Peak oil, Unconventional oil

6.
Downloads 617 ( 55,782)
Citation 83

Forecasting the Price of Oil

Number of pages: 123 Posted: 20 Sep 2011
Ron Alquist, Lutz Kilian and Robert J. Vigfusson
Office of Financial Research, Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 613 (55,571)
Citation 20

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Asymmetries, demand and supply, forecasting, oil price, predictability

Forecasting the Price of Oil

Number of pages: 120 Posted: 19 May 2011
Ron Alquist, Lutz Kilian and Robert J. Vigfusson
Office of Financial Research, Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 4 (805,170)
Citation 20
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Asymmetries, Demand and supply, Forecasting, Oil price, Predictability

7.

Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?

University of Michigan Research Seminar on International Economics WP 401
Number of pages: 56 Posted: 15 Jan 1998
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 598 (57,982)
Citation 23

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A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil

CFS Working Paper, No. 466
Number of pages: 58 Posted: 23 Sep 2014
Christiane Baumeister and Lutz Kilian
University of Notre Dame and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 265 (147,200)
Citation 23

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futures, risk premium, market expectation, model uncertainty, forecast, oil price

A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil

Number of pages: 47 Posted: 24 Mar 2016
Christiane Baumeister and Lutz Kilian
University of Notre Dame and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 119 (297,538)

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futures, risk premium, market expectation, model uncertainty, forecast, oil price

A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil

Number of pages: 58 Posted: 30 Sep 2014
Christiane Baumeister and Lutz Kilian
University of Notre Dame and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0
Citation 2
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Forecast, Futures, Market expectation, Model uncertainty, Oil price, Risk premium

9.
Downloads 378 (100,891)
Citation 9

Oil Prices, Exchange Rates and Interest Rates

Number of pages: 56 Posted: 21 Feb 2019
Lutz Kilian and Beata Smarzynska Javorcik
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Oxford - Department of Economics
Downloads 268 (145,557)

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exchange rate, interest rate, oil price, global real activity, commodity, carry trade

Oil Prices, Exchange Rates and Interest Rates

CFS Working Paper, No. 646, 2020
Number of pages: 46 Posted: 08 Jan 2021
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 58 (460,930)
Citation 8

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Exchange rate; market rate of interest; oil price; global real activity; commodity

Oil Prices, Exchange Rates and Interest Rates

Number of pages: 45 Posted: 02 Dec 2019
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 51 (489,432)
Citation 3

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Exchange rate, interest rate, oil price, global real activity, commodity, carry trade

Oil Prices, Exchange Rates and Interest Rates

Number of pages: 57 Posted: 28 Jan 2019
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 1 (838,183)
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carry trade, commodity, Exchange rate, global real activity, interest rate, oil price

10.
Downloads 336 (115,163)
Citation 33

The Impact of the Fracking Boom on Arab Oil Producers

Number of pages: 40 Posted: 14 Mar 2016
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 336 (114,426)
Citation 9

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Arab oil producers, Saudia Arabia, shale oil, tight oil, oil price, oil imports, oil exports, refined product exports, oil revenue, foreign exchange reserves, oil supply shock

The Impact of the Fracking Boom on Arab Oil Producers

Number of pages: 41 Posted: 17 Feb 2016
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0
Citation 12
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Arab oil producers, oil price, oil trade, refined products, Saudi Arabia, shale oil, tight oil

11.
Downloads 256 (153,014)
Citation 25

On the Selection of Forecasting Models

Number of pages: 60 Posted: 15 Mar 2003
Atsushi Inoue and Lutz Kilian
Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 239 (163,161)

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Model selection, Forecast accuracy, Structural change, Information criteria, Simulated out-of-sample method

On the Selection of Forecasting Models

Number of pages: 51 Posted: 29 Apr 2003
Atsushi Inoue and Lutz Kilian
Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 17 (694,801)
Citation 1
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Forecast accuracy, model selection, structural change, information criteria, simulated out-of-sample method

12.
Downloads 253 (154,867)
Citation 1

The Econometrics of Oil Market VAR Models

Number of pages: 63 Posted: 11 Mar 2020
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 208 (186,490)

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identification, model specification, elasticity, Bayesian estimation, structural VAR, instruments, textual analysis

The Econometrics of Oil Market VAR Models

Number of pages: 63 Posted: 04 May 2020 Last Revised: 07 May 2020
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 45 (516,671)
Citation 1

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Oil supply elasticity, structural VAR, IV estimation, oil demand elasticity

The Econometrics of Oil Market VAR Models

Number of pages: 64 Posted: 03 Mar 2020
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0
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Bayesian estimation, Elasticity, identification, Model specification, structural VAR, textual analysis

13.

Why is it so Difficult to Beat the Random Walk Rorecast of Exchange Rates?

Number of pages: 56 Posted: 27 Feb 2003
Lutz Kilian and Mark P. Taylor
Federal Reserve Banks - Federal Reserve Bank of Dallas and Washington University in St. Louis - John M. Olin Business School
Downloads 252 (155,485)

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Purchasing power parity; real exchange rate; random walk; economic models of exchange rate determination; long-horizon regression tests

14.
Downloads 224 (174,212)
Citation 195

Oil and the Macroeconomy Since the 1970s

Number of pages: 36 Posted: 27 Oct 2004 Last Revised: 30 Aug 2021
Robert Barsky and Lutz Kilian
Research Department, Federal Reserve Bank of Chicago and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 174 (219,121)
Citation 21

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Oil and the Macroeconomy Since the 1970s

Number of pages: 37 Posted: 08 Sep 2004
Robert Barsky and Lutz Kilian
Research Department, Federal Reserve Bank of Chicago and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 50 (493,805)
Citation 53
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Oil shock, stagflation, OPEC, recession

Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump

CFS Working Paper No. 500
Number of pages: 46 Posted: 17 Jan 2015
University of Notre Dame, Federal Reserve Banks - Federal Reserve Bank of Dallas and Energy Information Administration - US DOE
Downloads 190 (202,719)
Citation 5

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Retail gasoline price, oil market, real-time data, WTI, Brent, survey expectations, expert forecasts, forecast combination

Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump

Number of pages: 47 Posted: 18 Mar 2016
University of Notre Dame, Federal Reserve Banks - Federal Reserve Bank of Dallas and Energy Information Administration - US DOE
Downloads 33 (580,303)

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retail gasoline price, oil market, real-time data, WTI, Brent, survey expectations, expert forecasts, forecast combination

Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump

Number of pages: 45 Posted: 02 Feb 2015
University of Notre Dame, Federal Reserve Banks - Federal Reserve Bank of Dallas and Energy Information Administration - US DOE
Downloads 0
Citation 5
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Brent, Expert forecasts, Forecast combination, Oil market, Real-time data, Retail gasoline price, Survey expectations, WTI

How the Tight Oil Boom Has Changed Oil and Gasoline Markets

Number of pages: 31 Posted: 27 Mar 2017
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 218 (178,450)

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tight oil, shale oil, oil price, gasoline price, oil investment, real GDP growth

How the Tight Oil Boom Has Changed Oil and Gasoline Markets

Number of pages: 33 Posted: 02 Mar 2017
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0
Citation 1
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gasoline price, oil investment, oil price, real GDP growth, shale oil, Tight oil

17.

The Central Bank as a Risk Manager: Quantifying and Forecasting Inflation Risks

Number of pages: 57 Posted: 04 Jun 2003
Lutz Kilian and Simone Manganelli
Federal Reserve Banks - Federal Reserve Bank of Dallas and European Central Bank (ECB)
Downloads 218 (178,768)

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Inflation, deflation, risk, forecast, monetary policy

18.
Downloads 217 (179,512)
Citation 52

Oil Shocks and External Balances

Number of pages: 41 Posted: 25 Jun 2007
Federal Reserve Banks - Federal Reserve Bank of Dallas, Johns Hopkins University - Carey Business School and International Monetary Fund (IMF)
Downloads 214 (181,588)
Citation 2

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Oil Shocks and External Balances

Number of pages: 45 Posted: 23 May 2008
Federal Reserve Banks - Federal Reserve Bank of Dallas, Johns Hopkins University - Carey Business School and International Monetary Fund (IMF)
Downloads 3 (814,114)
Citation 6
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Balance of payments, External balances, International financial integration, Oil demand shocks, Oil prices, Oil supply shocks

19.

On the Finite Sample Accuracy of Nonparametric Resampling Algorithms for Economic Time Series

Board of Governors of the Federal Reserve System, Finance and Economics Discussion Series Paper No. 99-4
Number of pages: 37 Posted: 02 Apr 1999
Jeremy Berkowitz, Ionel Birgean and Lutz Kilian
University of Houston - Department of Finance, affiliation not provided to SSRN and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 165 (229,089)
Citation 6

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20.

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Number of pages: 49 Posted: 09 Apr 2003
Sílvia Gonçalves and Lutz Kilian
University of Montreal - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 161 (233,817)

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Wild bootstrap, pairwise bootstrap, robust inference, GARCH, stochastic volatility

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

Number of pages: 35 Posted: 08 Dec 2008
Lutz Kilian and Clara Vega
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 155 (241,830)
Citation 25

Abstract:

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Oil price, gasoline price, news, identification, impulse responses

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

Number of pages: 32 Posted: 18 Dec 2008
Lutz Kilian and Clara Vega
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 2 (824,806)
Citation 27
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Gasoline price, Identification, Impulse responses, News, Oil price

22.
Downloads 154 (242,643)
Citation 8

Impulse Response Matching Estimators for DSGE Models

CFS Working Paper No. 498
Number of pages: 56 Posted: 05 Dec 2014
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Vanderbilt University - College of Arts and Science - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 121 (293,943)
Citation 1

Abstract:

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Structural estimation, DSGE, VAR, impulse response, nonstandard asymptotics, bootstrap, weak identi cation, robust inference

Impulse Response Matching Estimators for DSGE Models

Number of pages: 55 Posted: 10 Mar 2016
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Vanderbilt University - College of Arts and Science - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 33 (580,303)

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structural estimation, DSGE, VAR, impulse response, nonstandard asymptotics, bootstrap, weak identification, robust inference

Impulse Response Matching Estimators for DSGE Models

Number of pages: 55 Posted: 23 Jan 2015
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Vanderbilt University - College of Arts and Science - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0
Citation 6
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bootstrap, DSGE, impulse response, nonstandard asymptotics, robust inference, structual estimation, VAR, weak identification

Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks

Number of pages: 60 Posted: 16 Jun 2009
Lutz Kilian and Robert J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 150 (248,652)

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Asymmetry, oil price, energy prices, net increase, shocks, propagation, transmission, vector autoregression

Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks

Number of pages: 57 Posted: 15 Jul 2009
Lutz Kilian and Robert J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 4 (805,170)
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Asymmetry, Energy price, Impulse response, Net increase, Oil price, Propagation, Shock, Transmission, Vector autoregression

Understanding the Estimation of Oil Demand and Oil Supply Elasticities

CFS Working Paper, No. 649, 2020
Number of pages: 33 Posted: 28 Feb 2021
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 113 (308,818)

Abstract:

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Oil supply elasticity, oil demand elasticity, IV estimation, structural VAR, Bayesian inference, oil price, gasoline price.

Understanding the Estimation of Oil Demand and Oil Supply Elasticities

Number of pages: 32 Posted: 25 Sep 2020
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 18 (686,923)

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oil supply elasticity, oil demand elasticity, IV estimation, structural VAR, Bayesian inference, oil price, gasoline price

Understanding the Estimation of Oil Demand and Oil Supply Elasticities

Number of pages: 31 Posted: 08 Sep 2020
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 12 (736,692)

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oil supply elasticity, oil demand elasticity, IV estimation, structural VAR, Bayesian inference, oil price, gasoline price

Understanding the Estimation of Oil Demand and Oil Supply Elasticities

Number of pages: 33 Posted: 12 Sep 2020
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0
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Bayesian inference, gasoline price, IV estimation, Oil demand elasticity, oil price, oil supply elasticity, structural VAR

The Propagation of Regional Shocks in Housing Markets: Evidence from Oil Price Shocks in Canada

CFS Working Paper, No. 606, 2018
Number of pages: 56 Posted: 19 Nov 2018
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 106 (323,089)
Citation 5

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House price; regional heterogeneity; oil price; redistribution; resource boom; regional propagation, Canada

The Propagation of Regional Shocks in Housing Markets: Evidence from Oil Price Shocks in Canada

Number of pages: 48 Posted: 08 Jul 2018
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 22 (655,641)

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House Price, Regional Heterogeneity, Oil Price, Redistribution, Resource Boom, Canada

The Propagation of Regional Shocks in Housing Markets: Evidence from Oil Price Shocks in Canada

Number of pages: 55 Posted: 22 Oct 2019 Last Revised: 29 Apr 2020
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 4 (805,170)

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House price, regional heterogeneity, oil price, redistribution, resource boom, regional propagation, Canada

The Propagation of Regional Shocks in Housing Markets: Evidence from Oil Price Shocks in Canada

Number of pages: 49 Posted: 12 Apr 2018
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
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Canada, Housing, oil price, redistribution, regional heterogeneity, resource boom

26.
Downloads 125 (285,787)
Citation 25

Nonlinearities in the Oil Price-Output Relationship

Number of pages: 57 Posted: 12 Mar 2011
Lutz Kilian and Robert J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 123 (290,447)
Citation 22

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Oil prices, energy prices, net increase, shocks, propagation, transmission, vector autoregression

Nonlinearities in the Oil Price-Output Relationship

Number of pages: 54 Posted: 18 Jan 2011
Lutz Kilian and Robert J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 2 (824,806)
Citation 1
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Asymmetry, Nonlinearity, Oil price, Real Output, Uncertainty

27.
Downloads 124 (287,460)
Citation 13

The Role of Oil Price Shocks in Causing U.S. Recessions

Number of pages: 41 Posted: 10 Mar 2016
Lutz Kilian and Robert J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 81 (384,127)

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real GDP, nonlinearity, asymmetry, time variation, conditional response, prediction

The Role of Oil Price Shocks in Causing U.S. Recessions

Number of pages: 41 Posted: 31 May 2017
Lutz Kilian and Robert J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 43 (526,273)
Citation 1

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Real GDP, nonlinearity, asymmetry, time variation, conditional response, prediction.

The Role of Oil Price Shocks in Causing U.S. Recessions

Number of pages: 43 Posted: 25 Sep 2014
Lutz Kilian and Robert J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 0
Citation 5
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asymmetry, conditional response, nonlinearity, oil price, real GDP, recession, time variation

Anticipation, Tax Avoidance, and the Price Elasticity of Gasoline Demand

CFS Working Paper, No. 503, 2015
Number of pages: 38 Posted: 27 Feb 2015
Board of Governors of the Federal Reserve System, University of California, Berkeley - Haas School of Business, Federal Reserve Banks - Federal Reserve Bank of Dallas and Harvard University - Department of Economics
Downloads 60 (453,220)

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Anticipation, Tax Avoidance, and the Price Elasticity of Gasoline Demand

Number of pages: 29 Posted: 22 Mar 2016
Board of Governors of the Federal Reserve System, University of California, Berkeley - Haas School of Business, Federal Reserve Banks - Federal Reserve Bank of Dallas and Harvard University - Department of Economics
Downloads 49 (498,107)

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IV, price elasticity of demand, gasoline, anticipation, intertemporal substitution, storage

Anticipation, Tax Avoidance, and the Price Elasticity of Gasoline Demand

Number of pages: 36 Posted: 02 Mar 2015 Last Revised: 30 Oct 2021
Board of Governors of the Federal Reserve System, University of California, Berkeley - Haas School of Business, Federal Reserve Banks - Federal Reserve Bank of Dallas and Harvard University - Department of Economics
Downloads 9 (762,510)
Citation 1

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Anticipation, Tax Avoidance, and the Price Elasticity of Gasoline Demand

Number of pages: 37 Posted: 24 Feb 2015
Board of Governors of the Federal Reserve System, University of California, Berkeley - Haas School of Business, Federal Reserve Banks - Federal Reserve Bank of Dallas and Harvard University - Department of Economics
Downloads 0
Citation 15
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Anticipation, Forward-looking behavior, Gasoline market, Gasoline tax, IV, Price elasticity of demand

29.

A Monetary Explanation of the Great Stagflation of the 1970s

Number of pages: 48 Posted: 05 May 2000 Last Revised: 16 Aug 2021
Robert Barsky and Lutz Kilian
Research Department, Federal Reserve Bank of Chicago and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 118 (297,856)

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30.

Do We Really Know that Oil Caused the Great Stagflation? A Monetary Alternative

Number of pages: 52 Posted: 20 Jul 2001 Last Revised: 05 Jun 2021
Robert Barsky and Lutz Kilian
Research Department, Federal Reserve Bank of Chicago and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 115 (303,356)
Citation 28

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Unit Root Tests are Useful for Selecting Forecasting Models

NYU Working Paper No. FIN-99-063
Number of pages: 32 Posted: 11 Nov 2008
Francis X. Diebold and Lutz Kilian
University of Pennsylvania - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 45 (516,671)
Citation 1

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Unit Root Tests are Useful for Selecting Forecasting Models

Number of pages: 30 Posted: 26 Mar 1999 Last Revised: 07 Jun 2021
Francis X. Diebold and Lutz Kilian
University of Pennsylvania - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 44 (521,460)

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A Quantitative Model of the Oil Tanker Market in the Arabian Gulf

CFS Working Paper, No. 648, 2020
Number of pages: 34 Posted: 28 Feb 2021
Lutz Kilian, Nikos K. Nomikos and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas, Cass Business School, City University London and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 47 (507,352)
Citation 3

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Shipping, VLCC, crude oil, bunker fuel, tanker, voyage, time charter, profits, exports, passthrough.

A Quantitative Model of the Oil Tanker Market in the Arabian Gulf

Number of pages: 32 Posted: 23 May 2020
Lutz Kilian, Nikos K. Nomikos and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas, Cass Business School, City University London and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 23 (647,966)

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Shipping, VLCC, crude oil, bunker fuel, tanker, voyage, time charter, profits, exports, passthrough

A Quantitative Model of the Oil Tanker Market in the Arabian Gulf

Number of pages: 33 Posted: 05 Jun 2020
Lutz Kilian, Nikos Nomikos and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas, affiliation not provided to SSRN and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 6 (788,339)

Abstract:

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shipping, VLCC, crude oil, bunker fuel, tanker, voyage, time charter, profits, exports, passthrough

A Quantitative Model of the Oil Tanker Market in the Arabian Gulf

Number of pages: 34 Posted: 28 May 2020
Lutz Kilian, Nikos K. Nomikos and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas, Cass Business School, City University London and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0
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bunker fuel, crude oil, exports, Pass-Through, profits, shipping, tanker, time charter, VLCC, voyage

33.

Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market

Number of pages: 57 Posted: 20 Mar 2007
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 74 (400,521)
Citation 167
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Causality, oil demand, oil price shocks, oil supply

Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?

CFS Working Paper, No. 563
Number of pages: 57 Posted: 06 Jan 2017 Last Revised: 11 Jan 2018
University of Notre Dame, Government of Canada - Bank of Canada and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 45 (516,671)

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Biofuels, policy uncertainty, term structure of price expectations, price shocks, market integration, anticipation, storage demand, risk premium, crude oil, gasoline, corn

Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?

Number of pages: 55 Posted: 07 Feb 2017
University of Notre Dame, Government of Canada - Bank of Canada and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 17 (694,801)

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biofuels, policy uncertainty, term structure of price expectations, price shocks, market integration, anticipation, storage demand, risk premium, crude oil, gasoline, corn

Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?

Number of pages: 55 Posted: 06 Sep 2017 Last Revised: 26 Nov 2021
University of Notre Dame, Government of Canada - Bank of Canada and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 9 (762,510)

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Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?

Number of pages: 57 Posted: 09 Jan 2017
University of Notre Dame, Government of Canada - Bank of Canada and Federal Reserve Banks - Federal Reserve Bank of Dallas
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biofuels, corn, crude oil, gasoline, market integration, policy uncertainty, Risk premium, storage demand, term structure of price expectations

Modeling Fluctuations in the Global Demand for Commodities

Number of pages: 63 Posted: 18 Jan 2018
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 65 (434,913)
Citation 39

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commodity market, demand, real economic activity, global economy, oil price, international business, cycle, leading indicators

Modeling Fluctuations in the Global Demand for Commodities

Number of pages: 63 Posted: 09 Oct 2017
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0
Citation 11
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Commodity market, demand, global economy, international business cycle, leading indicators, oil price, real economic activity

Lower Oil Prices and the U.S. Economy: Is this Time Different?

Number of pages: 57 Posted: 28 Feb 2017
Christiane Baumeister and Lutz Kilian
University of Notre Dame and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 65 (434,913)
Citation 9

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stimulus, oil price decline, uncertainty, reallocation, savings, shale oil, oil loans

Lower Oil Prices and the U.S. Economy: Is this Time Different?

Number of pages: 59 Posted: 23 Jan 2017
Christiane Baumeister and Lutz Kilian
University of Notre Dame and Federal Reserve Banks - Federal Reserve Bank of Dallas
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oil loans, oil price decline, reallocation, shale oil, Stimulus, uncertainty

Estimating the Effect of a Gasoline Tax on Carbon Emissions

Number of pages: 43 Posted: 31 Jan 2009 Last Revised: 18 Aug 2021
Lucas W. Davis and Lutz Kilian
University of California, Berkeley - Haas School of Business and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 59 (457,051)
Citation 9

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Estimating the Effect of a Gasoline Tax on Carbon Emissions

Number of pages: 45 Posted: 18 Feb 2009
Lucas W. Davis and Lutz Kilian
University of California, Berkeley - Haas School of Business and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 4 (805,170)
Citation 6
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carbon tax, elasticity, gasoline consumption, gasoline tax, global warming, price endogeneity

Does Drawing Down the U.S. Strategic Petroleum Reserve Help Stabilize Oil Prices?

CFS Working Paper, No. 647, 2020
Number of pages: 42 Posted: 08 Jan 2021
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 27 (618,642)
Citation 2

Abstract:

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SPR, crude oil, oil inventories, storage, expectations, policy intervention, fiscal policy

Does Drawing Down the U.S. Strategic Petroleum Reserve Help Stabilize Oil Prices?

Number of pages: 54 Posted: 26 Jul 2019
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 19 (679,082)

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SPR, crude oil, oil inventories, storage, expectations, policy intervention, fiscal policy

Does Drawing Down the U.S. Strategic Petroleum Reserve Help Stabilize Oil Prices?

Number of pages: 39 Posted: 13 May 2020
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 13 (728,143)
Citation 4

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crude oil, expectations, oil inventories, storage, policy intervention, SPR, fiscal policy

Does Drawing Down the U.S. Strategic Petroleum Reserve Help Stabilize Oil Prices?

Number of pages: 55 Posted: 30 Jul 2019
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 1 (838,183)
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counterfactual, crude oil, Expectations, Fiscal policy, oil inventories, Policy intervention, SPR, Storage

Oil Prices, Gasoline Prices and Inflation Expectations: A New Model and New Facts

CFS Working Paper, No. 645, 2020
Number of pages: 38 Posted: 08 Jan 2021
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 37 (557,345)
Citation 1

Abstract:

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Inflation, expectations, anchor, missing disinflation, oil price, gasoline price, household survey

Oil Prices, Gasoline Prices and Inflation Expectations: A New Model and New Facts

Number of pages: 37 Posted: 19 Aug 2020
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 12 (736,692)

Abstract:

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household survey, Inflation, anchor, oil price, missing disinflation, gasoline price, expectations

Oil Prices, Gasoline Prices and Inflation Expectations: A New Model and New Facts

Number of pages: 37 Posted: 28 Aug 2020
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 10 (753,845)

Abstract:

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inflation, expectations, anchor, missing disinflation, oil price, gasoline price, household survey

Oil Prices, Gasoline Prices and Inflation Expectations: A New Model and New Facts

Number of pages: 38 Posted: 18 Aug 2020
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
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anchor, Expectations, gasoline price, Household survey, inflation, missing disinflation, oil price

The Uniform Validity of Impulse Response Inference in Autoregressions

Number of pages: 42 Posted: 27 Feb 2019
Atsushi Inoue and Lutz Kilian
Vanderbilt University - College of Arts and Science - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 32 (586,209)

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Impulse Response, Autoregression, Lag Augmentation, Asymptotic Normality, Bootstrap, Uniform Inference

The Uniform Validity of Impulse Response Inference in Autoregressions

Number of pages: 52 Posted: 22 Oct 2019 Last Revised: 29 Apr 2020
Atsushi Inoue and Lutz Kilian
Vanderbilt University - College of Arts and Science - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 27 (618,642)
Citation 4

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Impulse response, autoregression, lag augmentation, asymptotic normality, bootstrap, uniform inference

41.

Joint Bayesian Inference About Impulse Responses in VAR Models

Number of pages: 49 Posted: 23 Jul 2020
Atsushi Inoue and Lutz Kilian
Vanderbilt University - College of Arts and Science - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 50 (485,400)

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Measuring Global Real Economic Activity: Do Recent Critiques Hold Up to Scrutiny?

Number of pages: 13 Posted: 21 Feb 2019
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 48 (502,674)
Citation 2

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global business cycle, shipping, commodity market, oil, log transformation

Measuring Global Real Economic Activity: Do Recent Critiques Hold Up to Scrutiny?

Number of pages: 14 Posted: 23 Jan 2019
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 1 (838,183)
Citation 29
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Commodity market, Global business cycle, log transformation, Oil, shipping

43.

Exogenous Oil Supply Shocks: How Big are They and How Much Do They Matter for the Us Economy?

Number of pages: 64 Posted: 10 Aug 2005
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 48 (493,803)
Citation 42
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Counterfactual, economic activity, exogeneity, inflation, oil shock, oil supply, war, weak instruments

Facts and Fiction in Oil Market Modeling

Number of pages: 44 Posted: 22 Oct 2019 Last Revised: 29 Apr 2020
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 24 (640,470)

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Oil supply elasticity, oil demand elasticity, IV estimation, structural VAR, Bayesian inference, oil price, global real activity

Facts and Fiction in Oil Market Modeling

Number of pages: 46 Posted: 31 Oct 2019
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 23 (647,966)

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oil supply elasticity, oil demand elasticity, IV estimation, structural VAR, Bayesian inference, oil price, global real activity

Facts and Fiction in Oil Market Modeling

Number of pages: 47 Posted: 17 Oct 2019
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
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Bayesian inference, global real activity, IV estimation, Oil demand elasticity, oil price, oil supply elasticity, structural VAR

45.

Impulse Response Analysis for Structural Dynamic Models with Nonlinear Regressors

Number of pages: 42 Posted: 01 Jul 2020
University of Montreal - Department of Economics, University of Kentucky - Gatton College of Business and Economics, Federal Reserve Banks - Federal Reserve Bank of Dallas and Emory University - Department of Economics
Downloads 44 (511,453)

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Is the Discretionary Income Effect of Oil Price Shocks a Hoax?

Number of pages: 38 Posted: 27 Mar 2017
University of Notre Dame, Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 42 (531,227)

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stimulus, oil price decline, discretionary income effect, expenditure share, gasoline, net oil imports

Is the Discretionary Income Effect of Oil Price Shocks a Hoax?

Number of pages: 40 Posted: 02 Mar 2017
University of Notre Dame, Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 1 (838,183)
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discretionary income effect, expenditure share, gasoline, net oil imports, oil price decline, Stimulus

Structural Interpretation of Vector Autoregressions with Incomplete Information: Revisiting the Role of Oil Supply and Demand Shocks: Comment

Number of pages: 32 Posted: 11 Oct 2018
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 34 (574,406)

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oil market models, structural VAR, identification, oil supply elasticity

Structural Interpretation of Vector Autoregressions with Incomplete Information: Revisiting the Role of Oil Supply and Demand Shocks: Comment

Number of pages: 33 Posted: 31 Jul 2018
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0
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Oil market models, oil supply elasticity, structural VAR. identification

Container Trade and the U.S. Recovery

Number of pages: 40 Posted: 01 Jul 2021
Lutz Kilian, Nikos K. Nomikos and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas, Cass Business School, City University London and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 24 (640,470)

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Container Trade and the U.S. Recovery

Number of pages: 40 Posted: 09 Jul 2021
Lutz Kilian, Nikos K. Nomikos and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas, Cass Business School, City University London and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 6 (788,339)

Abstract:

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Container Trade and the U.S. Recovery

Center for Financial Studies Working Paper no. 659, 2021
Number of pages: 47 Posted: 18 Nov 2021
Lutz Kilian, Nikos K. Nomikos and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas, Cass Business School, City University London and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 3 (814,114)

Abstract:

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Merchandise trade, container, shipping, manufacturing, consumption, COVID-19, supply chain, recession, recovery, globalization

Container Trade and the U.S. Recovery

Number of pages: 41 Posted: 14 Jul 2021
Lutz Kilian, Nikos K. Nomikos and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas, Cass Business School, City University London and Federal Reserve Banks - Federal Reserve Bank of Dallas
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49.

Measuring Predictability: Theory and Macroeconomic Applications

Number of pages: 51 Posted: 24 Jul 2000 Last Revised: 02 Aug 2021
Francis X. Diebold and Lutz Kilian
University of Pennsylvania - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 33 (566,448)

Abstract:

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50.

Quantifying the Half-Life of Deviations from PPP: The Role of Economic Priors

Number of pages: 35 Posted: 25 Jan 2015
Lutz Kilian and Tao A. Zha
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of Atlanta
Downloads 28 (595,443)
Citation 12

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purchasing power parity, half-life, mean reversion, persistence, likelihood

51.

The Role of Speculation in Oil Markets: What Have We Learned so Far?

Number of pages: 37 Posted: 04 Apr 2012
Bassam Fattouh, Lutz Kilian and Lavan Mahadeva
University of Oxford - Oxford Institute for Energy Studies, Federal Reserve Banks - Federal Reserve Bank of Dallas and Oxford Institute for Energy Studies
Downloads 25 (614,780)
Citation 26
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Financialization, Fundamentals, Futures market, Oil price, Speculation, Spot market

52.

The Role of Inventories and Speculative Trading in the Global Market for Crude Oil

Number of pages: 45 Posted: 29 Mar 2010
Lutz Kilian and Dan Murphy
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Michigan at Ann Arbor
Downloads 25 (614,780)
Citation 84
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demand, fundamentals, gasoline demand elasticity, identification, inventories, oil demand elasticity, Oil market, peak oil, speculation, structural model, supply

53.

Bagging Time Series Models

Number of pages: 39 Posted: 05 May 2004
Atsushi Inoue and Lutz Kilian
Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 25 (614,780)
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Bootstrap aggregation, forecasting, model selection, pre-testing

54.

The Effects of Exogenous Oil Supply Shocks on Output and Inflation: Evidence from the G7 Countries

Number of pages: 37 Posted: 22 Mar 2006
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 24 (621,695)
Citation 8
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Counterfactual, inflation, oil supply, real GDP growth and stagflation, exogeneity, dynamic effects

55.

Joint Confidence Sets for Structural Impulse Responses

Number of pages: 40 Posted: 12 Mar 2016
Atsushi Inoue and Lutz Kilian
Vanderbilt University - College of Arts and Science - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 23 (628,532)

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joint inference, shotgun plots, confidence bands, impulse response shapes, bootstrap, degenerate limiting distribution

56.

How Useful is Bagging in Forecasting Economic Time Series? A Case Study of Us CPI Inflation

Number of pages: 37 Posted: 30 Dec 2005
Atsushi Inoue and Lutz Kilian
Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 23 (628,532)
Citation 12
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Bootstrap aggregation, Bayesian model averaging, forecast combination, factor models, shrinkage estimation, forecast model selection, pre-testing

57.

Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates?

Number of pages: 42 Posted: 13 Nov 2001
Lutz Kilian and Mark P. Taylor
Federal Reserve Banks - Federal Reserve Bank of Dallas and Washington University in St. Louis - John M. Olin Business School
Downloads 23 (628,532)
Citation 12
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Purchasing power parity, real exchange rate, random walk, economic models of exchange rate determination, long-horizon regression tests

58.

The Allocative Cost of Price Ceilings in the U.S. Residential Market for Natural Gas

Number of pages: 58 Posted: 02 Jun 2008 Last Revised: 03 Nov 2021
Lucas W. Davis and Lutz Kilian
University of California, Berkeley - Haas School of Business and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 22 (635,596)

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59.

The Economic Effects of Energy Price Shocks

Number of pages: 63 Posted: 06 Jun 2008
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 20 (649,765)
Citation 30
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Asymmetry, Causality, Channels of transmission, Crude oil, Elasticity, Gasoline, Price shocks, Propagation

60.

Do Actions Speak Louder than Words? Household Expectations of Inflation Based on Micro Consumption Data

Number of pages: 43 Posted: 09 Oct 2006
Atsushi Inoue, Lutz Kilian and Fatma Burcu Kiraz
Southern Methodist University, Federal Reserve Banks - Federal Reserve Bank of Dallas and North Carolina State University - Department of Agricultural & Resource Economics
Downloads 19 (656,959)
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Inflation expectations, consumer expenditure survey, Michigan survey of consumers, survey of professional forecasters, Euler equation

61.

The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks

Number of pages: 47 Posted: 25 Jul 2003
Lutz Kilian and Simone Manganelli
Federal Reserve Banks - Federal Reserve Bank of Dallas and European Central Bank (ECB)
Downloads 19 (656,959)
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Risk, forecast, monetary policy, price stability, inflation, deflation

62.

Joint Bayesian Inference about Impulse Responses in VAR Models

CFS Working Paper, No. 650, 2020
Number of pages: 55 Posted: 28 Feb 2021
Atsushi Inoue and Lutz Kilian
Vanderbilt University - College of Arts and Science - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 15 (686,214)
Citation 3

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Loss function, joint inference, median response function, mean response function, modal model, posterior risk

The Role of the Prior in Estimating VAR Models with Sign Restrictions

Number of pages: 54 Posted: 07 Dec 2020
Atsushi Inoue and Lutz Kilian
Vanderbilt University - College of Arts and Science - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 14 (719,679)

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The Role of the Prior in Estimating VAR Models with Sign Restrictions

Number of pages: 56 Posted: 23 Dec 2020
Atsushi Inoue and Lutz Kilian
Vanderbilt University - College of Arts and Science - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
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64.

What Do We Learn from the Price of Crude Oil Futures?

Number of pages: 63 Posted: 05 Jun 2008
Ron Alquist and Lutz Kilian
Office of Financial Research and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 14 (693,935)
Citation 28
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basis, crude oil, expectations, forecasting, futures market, precautionary demand, spot market, spread

65.

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Number of pages: 48 Posted: 08 Jun 2016
Lutz Kilian and Sílvia Gonçalves
Federal Reserve Banks - Federal Reserve Bank of Dallas and Independent
Downloads 11 (717,440)
Citation 22

Abstract:

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wild bootstrap, pairwise bootstrap, robust inference

66.

Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR (Infinity) Models

Number of pages: 24 Posted: 16 May 2002
Atsushi Inoue and Lutz Kilian
Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 11 (717,440)
Citation 1
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67.

Do Actions Speak Louder than Words? Household Expectations of Inflation Based on Micro Consumption Data

Number of pages: 60 Posted: 08 Jun 2016
Atsushi Inoue, Lutz Kilian and Fatma Burcu Kiraz
Vanderbilt University - College of Arts and Science - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Dallas and North Carolina State University - Department of Agricultural & Resource Economics
Downloads 9 (733,275)

Abstract:

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Inflation Expectations, Consumer Expenditure Survey, Michigan Survey of Consumers, Survey of Professional Forecasters, Euler Equation

The Impact of Oil Price Shocks on the U.S. Stock Market

Number of pages: 48 Posted: 20 May 2008
Lutz Kilian and Cheolbeom Park
Federal Reserve Banks - Federal Reserve Bank of Dallas and Korea University
Downloads 8 (771,104)
Citation 4
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Demand shocks, Oil prices, Stock returns, Supply Shocks

The Impact of Oil Price Shocks on the U.S. Stock Market

International Economic Review, Vol. 50, Issue 4, pp. 1267-1287, November 2009
Number of pages: 21 Posted: 28 Oct 2009
Lutz Kilian and Cheolbeom Park
Federal Reserve Banks - Federal Reserve Bank of Dallas and Korea University
Downloads 1 (838,183)
Citation 38
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69.

Structural Vector Autoregressions

Number of pages: 54 Posted: 12 Aug 2011
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 7 (749,156)
Citation 1
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Identification, Structural model, VAR

70.

Inference on Impulse Response Functions in Structural VAR Models

Number of pages: 41 Posted: 16 Jun 2011
Atsushi Inoue and Lutz Kilian
Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 7 (749,156)
Citation 30
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Credible Set, Impulse responses, Median, Mode, Sign restrictions, Simultaneous inference, Vector autoregression

71.

Oil Price Shocks, Monetary Policy and Stagflation

Number of pages: 34 Posted: 15 Jul 2009
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 7 (749,156)
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Monetary policy, Oil price, Policy reaction, Regimes, Stagflation

72.

Monetary Policy Responses to Oil Price Fluctuations

Number of pages: 52 Posted: 04 Apr 2012
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 6 (757,095)
Citation 8
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endogeneity, global economy, monetary policy, oil price, open economy, policy rule, welfare

73.

Real-Time Analysis of Oil Price Risks Using Forecast Scenarios

Number of pages: 36 Posted: 22 Dec 2011
Christiane Baumeister and Lutz Kilian
University of Notre Dame and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 6 (757,095)
Citation 6
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Forecast, Oil price, Predictive density, Real time, Risk, Scenario analysis, VAR

74.

Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?

Number of pages: 19 Posted: 19 May 2009
Bruce Hicks and Lutz Kilian
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 6 (757,095)
Citation 22
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Demand, EIU, Forecast Revisions, Global Real Activity, News, Oil price, Shocks

75.

Why Agnostic Sign Restrictions are not Enough: Understanding the Dynamics of Oil Market VAR Models

Number of pages: 36 Posted: 07 Oct 2009
Lutz Kilian and Dan Murphy
Federal Reserve Banks - Federal Reserve Bank of Dallas and Government of the United Kingdom - Department for Work and Pensions (DWP)
Downloads 5 (764,792)
Citation 55
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Abstract:

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Demand shocks, Identification, Median response, Oil market, Sign restriction, Supply shocks, Vector autoregression

76.

Retail Energy Prices and Consumer Expenditures

Number of pages: 71 Posted: 21 May 2008
Paul Edelstein and Lutz Kilian
Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 5 (764,792)
Citation 27
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asymmetry, consumer sentiment, consumption, energy prices, price elasticity of energy demand, purchasing power

77.
Downloads 4 (772,439)
Citation 4

Oil Price Shocks: Causes and Consequences

Number of pages: 39 Posted: 02 Jun 2014
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 4 (805,170)
Citation 4
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Asymmetries, Business cycle, Channels of transmission, Demand, Macroeconomy, Supply

Oil Price Shocks: Causes and Consequences

Annual Review of Resource Economics, Vol. 6, Issue 1, pp. 133-154, 2014
Posted: 08 Oct 2014
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas

Abstract:

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78.

Real-Time Forecasts of the Real Price of Oil

Number of pages: 46 Posted: 06 Jun 2011
Christiane Baumeister and Lutz Kilian
University of Notre Dame and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 4 (772,439)
Citation 13
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Abstract:

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Forecast, Oil price, Real time, Scenario analysis

79.

Do Local Projections Solve the Bias Problem in Impulse Response Inference?

Number of pages: 37 Posted: 19 May 2009
Lutz Kilian and Yun Jung Kim
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Michigan at Ann Arbor - Department of Economics
Downloads 4 (772,439)
Citation 2
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Bias, Confidence interval, Impulse response function, Joint interval, Local projection, Vector autoregression

80.

The Response of Business Fixed Investment to Changes in Energy Prices: A Test of Some Hypotheses About the Transmission of Energy Price Shocks

Number of pages: 64 Posted: 05 Jun 2008
Paul Edelstein and Lutz Kilian
Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 4 (772,439)
Citation 3
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1986 Tax Reform Act, Asymmetric responses, Equipment, Nonresidential fixed investment, Oil price shocks, Structures

81.

The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan

Number of pages: 36 Posted: 27 Jun 2007
Lutz Kilian and Simone Manganelli
Federal Reserve Banks - Federal Reserve Bank of Dallas and European Central Bank (ECB)
Downloads 4 (772,439)
Citation 8
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Greenspan, inflation, monetary policy, output, policy rule, preferences, risk

82.

Facts and Fiction in Oil Market Modeling

Center for Financial Studies Working Paper No. 661, 2021
Number of pages: 49
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 4

Abstract:

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Q43, Q41, C36, C52

83.

The Role of the Prior in Estimating VAR Models with Sign Restrictions

Center for Financial Studies Working Paper No. 660, 2021
Number of pages: 56
Atsushi Inoue and Lutz Kilian
Vanderbilt University - College of Arts and Science - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 4

Abstract:

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C22, C32, C52, E31, Q43

84.

Quantifying the Speculative Component in the Real Price of Oil: The Role of Global Oil Inventories

Number of pages: 40 Posted: 01 Feb 2013
Lutz Kilian and Thomas K Lee
Federal Reserve Banks - Federal Reserve Bank of Dallas and Energy Information Administration - US DOE
Downloads 3 (780,406)
Citation 34
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Expectations, Global commodity markets, Inventories, Oil price, Speculation

85.

Does the Fed Respond to Oil Price Shocks?

Number of pages: 45 Posted: 11 Jan 2010
Lutz Kilian and Logan T. Lewis
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 3 (780,406)
Citation 20
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Counterfactual, Oil, Recessions, Systematic Monetary Policy, Temporal Instability

86.

Frequentist Inference in Weakly Identified DSGE Models

Number of pages: 47 Posted: 07 Oct 2009
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas
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Bayes factor, Bayesian estimation, Confidence set, DSGE models, Identification, Inference, Likelihood ratio

87.

Why Does Gasoline Cost so Much? A Joint Model of the Global Crude Oil Market and the U.S. Retail Gasoline Market

Number of pages: 28 Posted: 02 Dec 2008
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
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Demand shock, Dynamic effects, Gasoline consumption, Gasoline price, Price of crude oil, Refiners, Supply shock

88.

The Allocative Cost of Price Ceilings: Lessons to Be Learned from the US Residential Market for Natural Gas

Number of pages: 50 Posted: 19 May 2008
Lucas W. Davis and Lutz Kilian
University of California, Berkeley - Haas School of Business and Federal Reserve Banks - Federal Reserve Bank of Dallas
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Citation 30
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Allocative cost, deadweight loss, natural gas, price ceiling, regulation

What Central Bankers Need to Know About Forecasting Oil Prices

Number of pages: 39 Posted: 28 Sep 2012
Christiane Baumeister and Lutz Kilian
University of Notre Dame and Federal Reserve Banks - Federal Reserve Bank of Dallas
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Citation 14
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Central banks, Forecasting methods, Oil futures prices, Out-of-sample forecast, Quarterly horizon, Real price of oil, Real-time data, VAR

What Central Bankers Need to Know About Forecasting Oil Prices

International Economic Review, Vol. 55, Issue 3, pp. 869-889, 2014
Number of pages: 21 Posted: 30 Jul 2014
Christiane Baumeister and Lutz Kilian
University of Notre Dame and Federal Reserve Banks - Federal Reserve Bank of Dallas
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90.

Are There Gains from Pooling Real-Time Oil Price Forecasts?

Number of pages: 30 Posted: 25 Sep 2014
University of Notre Dame, Federal Reserve Banks - Federal Reserve Bank of Dallas and Energy Information Administration - US DOE
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Citation 3