Alquist, R., and L. Kilian (2010), “What Do We Learn from the Price of Crude Oil Futures?.” Journal of Applied Econometrics, 25, 539-573.
- Alquist, R., Kilian, L., and R..J. Vigfusson (2013), “Forecasting the Price of Oil,” in: G. Elliott and A. Timmermann (eds.), Handbook of Economic Forecasting, 2, Amsterdam: North-Holland, 427-507.
Paper not yet in RePEc: Add citation now
- Amir-Ahmadi, P., Matthes, C., and M.-C. Wang (2023), “Understanding Instruments in Macroeconomics: A Study of High Frequency Identification in Macroeconomics,” manuscript, Indiana University.
Paper not yet in RePEc: Add citation now
- Andrews, I., Stock, J.H., and L. Sun (2019), “Weak Instruments in IV Regression: Theory and Practice,” Annual Review of Economics, 11, 727-753.
Paper not yet in RePEc: Add citation now
Antolin-Diaz, J., and J.F. Rubio-Ramirez (2018), “Narrative sign restrictions for SVARs,” American Economic Review, 108, 2802-2839.
Arias, J., Rubio-Ramirez, J.F., and D.F. Waggoner (2021), “Inference in Bayesian ProxySVARs, ” Journal of Econometrics, 225, 88-106.
Boer, L., Pescatori, A., and M. Stuermer (2023), “Not All Energy Transitions Are Alike: Disentangling the Effects of Demand- and Supply-Side Policies on Future Oil Prices,” manuscript, International Monetary Fund.
Bruns, M. (2021), “Proxy Vector Autoregressions in a Data-Rich Environment,” Journal of Economic Dynamics and Control, 123, 104046.
Bruns, M., and H. Lütkepohl (2023), “Have the Effects of Shocks to Oil Price Expectations Changed? Evidence from Heteroskedastic Proxy Vector Autoregressions,” DIW Discussion Paper No. 2036.
Caldara, D., and E. Herbst (2019), “Monetary Policy, Real Activity, and Credit Spreads: Evidence from Bayesian Proxy SVARs,” American Economic Journal: Macroeconomics, 11, 157-192.
Cross, J.L., Nguyen, B.H., Tran, T.D. (2022). “The Role of Precautionary and Speculative Demand in the Global Market for Crude Oil. Journal of Applied Econometrics, 37, 882-895.
- Degasperi, R. (2021), “Identification of Expectational Shocks in the Oil Market using OPEC Announcements,” Technical Report, University of Warwick.
Paper not yet in RePEc: Add citation now
- Demirer, R., and A.M. Kutan (2010), “The Behavior of Crude Oil Spot and Futures Prices around OPEC and SPR Announcements: An Event Study Perspective,” Energy Economics, 32, 1467-1476.
Paper not yet in RePEc: Add citation now
- Faust, J., Swanson, E.T., and J.H. Wright (2004), “Identifying VARs Based on HighFrequency Data,” Journal of Monetary Economics, 51, 1107-1131.
Paper not yet in RePEc: Add citation now
Gagliardone, L., and M. Gertler (2023), “Oil Prices, Monetary Policy and Inflation Surges,” NBER Working Paper No. 31263.
Gertler, M., and P. Karadi (2015), “Monetary Policy Surprises, Credit Costs, and Economic Activity,” American Economic Journal: Macroeconomics, 7, 44-76.
Herrera, A.M., and S.K. Rangaraju (2020), “The Effect of Oil Supply Shocks on U.S. Economic Activity: What Have We Learned?,” Journal of Applied Econometrics, 35, 141-159.
Herwartz, H., and M. Plödt (2016), “The Macroeconomic Effects of Oil Price Shocks: Evidence from a Statistical Identification Approach,” Journal of International Money and Finance, 61, 30-44.
Inoue, A., and L. Kilian (2022), “Joint Bayesian Inference about Impulse Responses in VAR Models,” Journal of Econometrics, 231, 457-476.
- Jacobson, M.M., Matthes, C., and T.B. Walker (2023), “Temporal Aggregation Bias and Monetary Policy Transmission,” manuscript, Indiana University.
Paper not yet in RePEc: Add citation now
Känzig, D.R. (2021), “The Macroeconomic Effects of Oil Supply News: Evidence from OPEC Announcements,” American Economic Review, 111, 1092-1125.
- Känzig, D.R. (2023), “The Unequal Economic Consequences of Carbon Pricing,” manuscript, Northwestern University.
Paper not yet in RePEc: Add citation now
Kilian, K., and D.P. Murphy (2014), “The Role of Inventories and Speculative Trading in the Global Market for Crude Oil,” Journal of Applied Econometrics, 29, 454-478.
Kilian, L, and B. Hicks (2013), “Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?” Journal of Forecasting, 32, 385-394.
Kilian, L, and R.J. Vigfusson (2011), “Are the Responses of the U.S. Economy Asymmetric in Energy Price Increases and Decreases?,” Quantitative Economics, 2, 419-453.
Kilian, L. (2008a), “The Economic Effects of Energy Price Shocks, Journal of Economic Literature, 46, 871-909.
Kilian, L. (2008b), “Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy? Review of Economics and Statistics, 90, 216-240.
Kilian, L. (2009), “Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market, American Economic Review, 99, 1053-1069.
Kilian, L. (2022a), “Understanding the Estimation of Oil Demand and Oil Supply Elasticities, Energy Economics, 107, 105844.
- Kilian, L. (2022b), “Facts and Fiction in Oil Market Modeling,” Energy Economics, 110, 105973.
Paper not yet in RePEc: Add citation now
Kilian, L., and C. Park (2009), “The Impact of Oil Price Shocks on the U.S. Stock Market International Economic Review, 50, 1267-1287.
- Kilian, L., and C. Vega (2011), “Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices,” Review of Economics and Statistics, 93, 660-671.
Paper not yet in RePEc: Add citation now
Kilian, L., and H. Lütkepohl (2017), Structural Vector Autoregressive Analysis, Cambridge University Press, New York.
Kilian, L., and T.K. Lee (2014), “Quantifying the Speculative Component in the Real Price of Oil: The Role of Global Oil Inventories,” Journal of International Money and Finance, 42, 71-87.
Kilian, L., and X. Zhou (2018), “Modeling Fluctuations in the Global Demand for Commodities,” Journal of International Money and Finance, 88, 54-78, Kilian, L., and X. Zhou (2020), “Does Drawing Down the U.S. Strategic Petroleum Reserve Help Stabilize Oil Prices?,” Journal of Applied Econometrics, 35, 673-691.
Kilian, L., and X. Zhou (2022), “Oil Prices, Exchange Rates and Interest Rates,” Journal of International Money and Finance, 126, 102679.
- Kilian, L., and X. Zhou (2023), “The Econometrics of Oil Market VAR Models,” Advances in Econometrics, 45B, 65-95.
Paper not yet in RePEc: Add citation now
- Kuttner, K. (2001), “Monetary Policy Surprises and Interest Rates,” Journal of Monetary Economics, 47, 523-544.
Paper not yet in RePEc: Add citation now
Mertens, K., and M.O. Ravn (2013), “The Dynamic Effects of Personal and Corporate Income Tax Changes in the United States.” American Economic Review, 103, 1212– 1247.
- Montiel-Olea, J.L., Stock, J.H., and M.W. Watson (2021), “Inference in SVARs Identified with External Instruments.” Journal of Econometrics, 225, 74-87.
Paper not yet in RePEc: Add citation now
Mork, K.A. (1989), “Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton’s Results,” Journal of Political Economy, 97, 740-744.
- Stock, J.H., and M.W. Watson (2012), “Disentangling the Channels of the 2007–09 Recession,” Brookings Papers on Economic Activity, 81–135.
Paper not yet in RePEc: Add citation now
- Stock, J.H., and M.W. Watson (2018), “Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments.” Economic Journal, 128, 917–48.
Paper not yet in RePEc: Add citation now
- Wolf, C. (2020), “SVAR (Mis)Identification and the Real Effects of Monetary Policy Shocks,” American Economic Journal: Macroeconomics, 12, 1-32.
Paper not yet in RePEc: Add citation now
Zhou, X. (2020), “Refining the Workhorse Oil Market Model,” Journal of Applied Econometrics, 35, 130-140. 5 10 15 20 25 30 35 40 45 50 55 60 0.5 1.5 2.5 3.5 January February March Daily futures price Monthly price shock 5 10 15 20 25 30 35 40 45 50 55 60 Shock on Day 3 January February March Daily futures price Monthly price shock 5 10 15 20 25 30 35 40 45 50 55 60 Shock on Day 18 January February March Daily futures price Monthly price shock