Christiane Baumeister

University of Notre Dame

722 Flanner Hall

Notre Dame, IN 46556

United States

http://https://sites.google.com/site/cjsbaumeister/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

Centre for Economic Policy Research (CEPR)

London

United Kingdom

SCHOLARLY PAPERS

31

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7,604

SSRN CITATIONS
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Top 875

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711

CROSSREF CITATIONS

571

Scholarly Papers (31)

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 (5,028)
Citation 32

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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 (69,884)
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 (805,829)
Citation 22
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Oil demand, Oil price declines, Oil supply, OPEC, Shale oil

2.

Unconventional Monetary Policy and the Great Recession - Estimating the Impact of a Compression in the Yield Spread at the Zero Lower Bound

ECB Working Paper No. 1258
Number of pages: 52 Posted: 22 Oct 2010
Christiane Baumeister and Luca Benati
University of Notre Dame and European Central Bank (ECB)
Downloads 1,273 (20,341)
Citation 49

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Great Recession, structural VARs, time-varying parameters, Bayesian VARs, stochastic volatility, Monte Carlo integration, policy counterfactuals

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 (64,551)
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 (321,377)
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 (838,783)
Citation 22
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Oil market, Oil price expectations, Oil price shock, Peak oil, Unconventional oil

4.

Time-Varying Effects of Oil Supply Shocks on the US Economy

Number of pages: 48 Posted: 19 Feb 2008 Last Revised: 07 Sep 2008
Christiane Baumeister and Gert Peersman
University of Notre Dame and Ghent University - Department of Financial Economics
Downloads 408 (92,537)
Citation 39

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Oil prices, vector autoregressions, time-varying coefficients

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 (147,400)
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 (297,885)

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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

6.

Sources of the Volatility Puzzle in the Crude Oil Market

Number of pages: 42 Posted: 10 Sep 2009 Last Revised: 16 Dec 2009
Christiane Baumeister and Gert Peersman
University of Notre Dame and Ghent University - Department of Financial Economics
Downloads 329 (117,984)
Citation 15

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Oil prices, volatility, time variation, price elasticities

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
Christiane Baumeister, Lutz Kilian and Thomas K Lee
University of Notre Dame, Federal Reserve Banks - Federal Reserve Bank of Dallas and Energy Information Administration - US DOE
Downloads 190 (202,979)
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
Christiane Baumeister, Lutz Kilian and Thomas K Lee
University of Notre Dame, Federal Reserve Banks - Federal Reserve Bank of Dallas and Energy Information Administration - US DOE
Downloads 33 (580,921)

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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
Christiane Baumeister, Lutz Kilian and Thomas K Lee
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

Liquidity, Inflation and Asset Prices in a Time-Varying Framework for the Euro Area

National Bank of Belgium Working Paper No. 142
Number of pages: 55 Posted: 02 Oct 2010
Christiane Baumeister, Eveline John Durinck and Gert Peersman
University of Notre Dame, affiliation not provided to SSRN and Ghent University - Department of Financial Economics
Downloads 103 (329,900)
Citation 49

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Liquidity, asset prices, inflation, time-varying coefficients

Liquidity, Inflation and Asset Prices in a Time-Varying Framework for the Euro Area

Number of pages: 48 Posted: 27 Oct 2008
Christiane Baumeister, Eveline John Durinck and Gert Peersman
University of Notre Dame, affiliation not provided to SSRN and Ghent University - Department of Financial Economics
Downloads 100 (336,410)
Citation 49

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Liquidity, asset prices, inflation, time-varying coefficients

9.

Changes in the Transmission of Monetary Policy: Evidence from a Time-Varying Factor-Augmented VAR

Bank of England Working Paper No. 401
Number of pages: 51 Posted: 01 Nov 2010
Christiane Baumeister, Philip Liu, Haroon Mumtaz and Haroon Mumtaz
University of Notre Dame, International Monetary Fund (IMF) and Bank of EnglandUniversity of London - School of Sciences
Downloads 165 (229,335)
Citation 10

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FAVAR, Time-Varying Parameters, Monetary Transmission

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
Christiane Baumeister, Reinhard Ellwanger and Lutz Kilian
University of Notre Dame, Government of Canada - Bank of Canada and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 45 (517,257)

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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
Christiane Baumeister, Reinhard Ellwanger and Lutz Kilian
University of Notre Dame, Government of Canada - Bank of Canada and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 17 (695,456)

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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
Christiane Baumeister, Reinhard Ellwanger and Lutz Kilian
University of Notre Dame, Government of Canada - Bank of Canada and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 9 (763,180)

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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
Christiane Baumeister, Reinhard Ellwanger and Lutz Kilian
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

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 (435,408)
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

A Comparison of Monthly Global Indicators for Forecasting Growth

CAMA Working Paper No. 93/2020
Number of pages: 37 Posted: 27 Oct 2020
Christiane Baumeister and Pierre Guérin
University of Notre Dame and International Monetary Fund
Downloads 23 (648,644)

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MIDAS models, global economic conditions, world GDP growth, nowcasting, forecasting, mixed frequency

A Comparison of Monthly Global Indicators for Forecasting Growth

Number of pages: 36 Posted: 02 Nov 2020 Last Revised: 16 Jul 2021
Christiane Baumeister and Pierre Guérin
University of Notre Dame and International Monetary Fund
Downloads 14 (720,351)

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A Comparison of Monthly Global Indicators for Forecasting Growth

Number of pages: 37 Posted: 03 Nov 2020
Christiane Baumeister and Pierre Guérin
University of Notre Dame and affiliation not provided to SSRN
Downloads 13 (728,841)

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MIDAS models, global economic conditions, world GDP growth, nowcasting, forecasting, mixed frequency

A Comparison of Monthly Global Indicators for Forecasting Growth

Number of pages: 38 Posted: 03 Nov 2020
Christiane Baumeister and Pierre Guérin
University of Notre Dame and International Monetary Fund
Downloads 0
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Forecasting, global economic conditions, MIDAS models, Mixed frequency, Nowcasting, world GDP growth

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

Number of pages: 38 Posted: 27 Mar 2017
Christiane Baumeister, Lutz Kilian and Xiaoqing Zhou
University of Notre Dame, Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 42 (531,810)

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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
Christiane Baumeister, Lutz Kilian and Xiaoqing Zhou
University of Notre Dame, Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 1 (838,783)
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discretionary income effect, expenditure share, gasoline, net oil imports, oil price decline, Stimulus

14.

Structural Interpretation of Vecor Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks

Number of pages: 52 Posted: 27 Feb 2018
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 32 (572,520)

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oil prices, vector autoregressions, sign restrictions, Bayesian inference, measurement error

Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-Evaluating the Role of Monetary Policy in Economic Fluctuations

Number of pages: 54 Posted: 18 Jul 2018
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 18 (687,552)
Citation 7

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structural vector autoregressions, set identification, monetary policy, impulse-response functions, historical decompositions, model uncertainty, informative priors

Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-Evaluating the Role of Monetary Policy in Economic Fluctuations

Number of pages: 53 Posted: 14 May 2018 Last Revised: 17 Sep 2021
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 6 (788,998)
Citation 19

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Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-Evaluating the Role of Monetary Policy in Economic Fluctuations

Number of pages: 55 Posted: 24 May 2018
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 0
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historical decompositions, impulse-response functions, informative priors, Model uncertainty, monetary policy, set identification, structural vector autoregressions

16.
Downloads 23 (629,209)
Citation 14

Energy Markets and Global Economic Conditions

Number of pages: 60 Posted: 14 May 2020
Christiane Baumeister, Dimitris Korobilis and Thomas K Lee
University of Notre Dame, University of Glasgow - Adam Smith Business School and Energy Information Administration - US DOE
Downloads 17 (695,456)
Citation 5

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energy demand, forecasting, stochastic volatility, oil price pressures, petroleum consumption

Energy Markets and Global Economic Conditions

Number of pages: 59 Posted: 20 Apr 2020 Last Revised: 11 Oct 2021
Christiane Baumeister, Dimitris Korobilis and Thomas K Lee
University of Notre Dame, University of Glasgow - Adam Smith Business School and Energy Information Administration - US DOE
Downloads 6 (788,998)

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Energy Markets and Global Economic Conditions

Number of pages: 61 Posted: 08 May 2020
Christiane Baumeister, Dimitris Korobilis and Thomas K Lee
University of Notre Dame, University of Glasgow - Adam Smith Business School and Energy Information Administration - US DOE
Downloads 0
Citation 9
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Energy demand, Forecasting, oil price pressures, petroleum consumption, state of the world economy, stochastic volatility

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

Number of pages: 54 Posted: 03 Jan 2018
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 22 (656,299)
Citation 1

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

Number of pages: 53 Posted: 02 Jan 2018
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 0
Citation 54
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Bayesian inference, Measurement error, oil prices, sign restrictions, vector autoregressions

18.

Inference in Structural Vector Auto Regressions When the Identifying Assumptions are Not Fully Believed: Re-Evaluating the Role of Monetary Policy in Economic Fluctuations

Number of pages: 55 Posted: 20 Jun 2018 Last Revised: 18 Nov 2021
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 21 (643,320)

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structural vector autoregressions, set identification, monetary policy, impulse-response functions, historical decompositions, model uncertainty, informative priors

19.

Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information

Number of pages: 62 Posted: 15 Dec 2014 Last Revised: 04 Sep 2021
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 21 (643,320)
Citation 46

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20.

Tracking Weekly State-Level Economic Conditions

Number of pages: 52 Posted: 12 Jul 2021 Last Revised: 07 Oct 2021
Christiane Baumeister, Danilo Leiva-Leon and Eric R. Sims
University of Notre Dame, Banco de España and University of Michigan at Ann Arbor
Downloads 17 (671,952)

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21.

Measuring Market Expectations

Number of pages: 46 Posted: 13 Sep 2021 Last Revised: 18 Nov 2021
Christiane Baumeister
University of Notre Dame
Downloads 9 (733,960)
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Advances in Structural Vector Autoregressions with Imperfect Identifying Information

Number of pages: 25 Posted: 20 Apr 2020 Last Revised: 18 Nov 2021
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 6 (788,998)
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Advances in Structural Vector Autoregressions with Imperfect Identifying Information

Number of pages: 27 Posted: 08 May 2020
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 0
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Bayesian Analysis, Elasticities, identification, proxy VARs, sign restrictions, structural vector autoregressions

23.

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 (757,772)
Citation 6
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Forecast, Oil price, Predictive density, Real time, Risk, Scenario analysis, VAR

Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions

Number of pages: 33 Posted: 06 Jan 2020 Last Revised: 18 Nov 2021
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 5 (797,409)
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Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions

Number of pages: 35 Posted: 14 Jan 2020
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 0
Citation 5
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Bayesian inference, Capital Flows, identified set, informative priors, monetary policy, sign restrictions, structural vector autoregressions

25.

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 (773,125)
Citation 13
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Forecast, Oil price, Real time, Scenario analysis

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
Downloads 1 (838,783)
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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27.

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

Number of pages: 30 Posted: 25 Sep 2014
Christiane Baumeister, Lutz Kilian and Thomas K Lee
University of Notre Dame, Federal Reserve Banks - Federal Reserve Bank of Dallas and Energy Information Administration - US DOE
Downloads 0 (819,352)
Citation 3
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forecast combination, forecast pooling, oil price, real-time data, refiners' acquisition cost, WTI

28.

Do High-Frequency Financial Data Help Forecast Oil Prices? The Midas Touch at Work

Number of pages: 38 Posted: 02 Dec 2013
Christiane Baumeister, Pierre Guérin and Lutz Kilian
University of Notre Dame, Government of Canada - Bank of Canada and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0 (819,352)
Citation 2
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Forecasts, Mixed frequency, Oil price, Real-time data

29.

Do Oil Price Increases Cause Higher Food Prices?

Number of pages: 70 Posted: 16 Oct 2013
Christiane Baumeister and Lutz Kilian
University of Notre Dame and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0 (819,352)
Citation 9
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agriculture, biofuel, consumer prices, corn, crop prices, ethanol, food crisis, food price volatility, globalization, inflation, pass-through

30.

Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis

Number of pages: 40 Posted: 24 Jul 2013
Christiane Baumeister, Lutz Kilian and Xiaoqing Zhou
University of Notre Dame, Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0 (819,352)
Citation 2
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acquisition cost, crack spread, forecast accuracy, futures, oil price, real-time data, refined products, WTI

31.

Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach

Posted: 24 Jul 2013
Christiane Baumeister and Lutz Kilian
University of Notre Dame and Federal Reserve Banks - Federal Reserve Bank of Dallas

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Forecast combination, Model misspecification, Oil price, Real-time data, Structural change