Lutz Kilian

University of Michigan at Ann Arbor - Department of Economics

Assistant Professor

611 Tappan Street

Ann Arbor, MI 48109-1220

United States

Centre for Economic Policy Research (CEPR)

Fellow

London

United Kingdom

SCHOLARLY PAPERS

88

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12,235

CITATIONS
Rank 297

SSRN RANKINGS

Top 297

in Total Papers Citations

1,321

Scholarly Papers (88)

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 University of Michigan at Ann Arbor - Department of Economics
Downloads 2,871 (3,722)

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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

CESifo Working Paper Series No. 5755
Number of pages: 41 Posted: 15 Mar 2016
Christiane Baumeister and Lutz Kilian
University of Notre Dame and University of Michigan at Ann Arbor - Department of Economics
Downloads 496 (53,909)

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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

CEPR Discussion Paper No. DP10404
Number of pages: 37 Posted: 10 Feb 2015
Christiane Baumeister and Lutz Kilian
University of Notre Dame and University of Michigan at Ann Arbor - Department of Economics
Downloads 3 (640,254)
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Oil demand, Oil price declines, Oil supply, OPEC, Shale oil

2.

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, University of Michigan at Ann Arbor - Department of Economics and University of Maryland
Downloads 1,092 (18,501)
Citation 63

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Time series analysis, time domain, frequency domain

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
University of Michigan at Ann Arbor - Department of Economics
Downloads 800 (28,542)

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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

CESifo Working Paper Series No. 5723
Number of pages: 47 Posted: 09 Mar 2016
Lutz Kilian
University of Michigan at Ann Arbor - Department of Economics
Downloads 257 (115,517)

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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

CEPR Discussion Paper No. DP10304
Number of pages: 42 Posted: 23 Jan 2015
Lutz Kilian
University of Michigan at Ann Arbor - Department of Economics
Downloads 1 (664,695)
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Capacity constraints, Export ban, Infrastructure, Oil independence, Oil sands, Oil trade, Refining, Shale oil, Tight oil, Unconventional oil

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

ECB Working Paper No. 195
Number of pages: 43 Posted: 27 Feb 2003
Atsushi Inoue and Lutz Kilian
Southern Methodist University and University of Michigan at Ann Arbor - Department of Economics
Downloads 748 (31,345)
Citation 100

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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?

CEPR Discussion Paper No. 3671
Number of pages: 34 Posted: 15 Jan 2003
Atsushi Inoue and Lutz Kilian
Southern Methodist University and University of Michigan at Ann Arbor - Department of Economics
Downloads 17 (545,938)
Citation 100
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Data mining, parameter instability, predictability test, reliability of inference

5.

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
University of Michigan at Ann Arbor - Department of Economics
Downloads 579 (44,907)
Citation 93

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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 University of Michigan at Ann Arbor - Department of Economics
Downloads 463 (58,873)
Citation 1

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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

CESifo Working Paper Series No. 5709
Number of pages: 38 Posted: 18 Feb 2016
Christiane Baumeister and Lutz Kilian
University of Notre Dame and University of Michigan at Ann Arbor - Department of Economics
Downloads 100 (261,081)
Citation 1

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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

CEPR Discussion Paper No. DP11035
Number of pages: 39 Posted: 20 Jan 2016
Christiane Baumeister and Lutz Kilian
University of Notre Dame and University of Michigan at Ann Arbor - Department of Economics
Downloads 1 (664,576)
Citation 1
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Oil market, Oil price expectations, Oil price shock, Peak oil, Unconventional oil

7.
Downloads 534 ( 49,786)
Citation 11

Forecasting the Price of Oil

Number of pages: 123 Posted: 20 Sep 2011
Ron Alquist, Lutz Kilian and Robert J. Vigfusson
AQR Capital Management LLC, University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 530 (49,571)
Citation 11

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

Forecasting the Price of Oil

CEPR Discussion Paper No. DP8388
Number of pages: 120 Posted: 19 May 2011
Ron Alquist, Lutz Kilian and Robert J. Vigfusson
AQR Capital Management LLC, University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 4 (631,795)
Citation 11
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Asymmetries, Demand and supply, Forecasting, Oil price, Predictability

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 University of Michigan at Ann Arbor - Department of Economics
Downloads 228 (130,532)

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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

CESifo Working Paper Series No. 5782
Number of pages: 47 Posted: 24 Mar 2016
Christiane Baumeister and Lutz Kilian
University of Notre Dame and University of Michigan at Ann Arbor - Department of Economics
Downloads 92 (275,808)

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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

CEPR Discussion Paper No. DP10162
Number of pages: 58 Posted: 30 Sep 2014
Christiane Baumeister and Lutz Kilian
University of Notre Dame and University of Michigan at Ann Arbor - Department of Economics
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Forecast, Futures, Market expectation, Model uncertainty, Oil price, Risk premium

The Impact of the Fracking Boom on Arab Oil Producers

CESifo Working Paper Series No. 5751
Number of pages: 40 Posted: 14 Mar 2016
Lutz Kilian
University of Michigan at Ann Arbor - Department of Economics
Downloads 306 (95,858)

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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

CEPR Discussion Paper No. DP11107
Number of pages: 41 Posted: 17 Feb 2016
Lutz Kilian
University of Michigan at Ann Arbor - Department of Economics
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Arab oil producers, oil price, oil trade, refined products, Saudi Arabia, shale oil, tight oil

10.

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

ECB Working Paper No. 88
Number of pages: 56 Posted: 27 Feb 2003
Lutz Kilian and Mark P. Taylor
University of Michigan at Ann Arbor - Department of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 242 (123,496)
Citation 76

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

11.
Downloads 240 (124,561)
Citation 32

On the Selection of Forecasting Models

ECB Working Paper No. 214
Number of pages: 60 Posted: 15 Mar 2003
Atsushi Inoue and Lutz Kilian
Southern Methodist University and University of Michigan at Ann Arbor - Department of Economics
Downloads 223 (133,407)
Citation 32

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

On the Selection of Forecasting Models

CEPR Discussion Paper No. 3809
Number of pages: 51 Posted: 29 Apr 2003
Atsushi Inoue and Lutz Kilian
Southern Methodist University and University of Michigan at Ann Arbor - Department of Economics
Downloads 17 (545,938)
Citation 32
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Forecast accuracy, model selection, structural change, information criteria, simulated out-of-sample method

12.
Downloads 210 (141,882)
Citation 84

Oil and the Macroeconomy Since the 1970s

NBER Working Paper No. w10855
Number of pages: 36 Posted: 27 Oct 2004 Last Revised: 31 Aug 2010
Robert Barsky and Lutz Kilian
Research Department, Federal Reserve Bank of Chicago and University of Michigan at Ann Arbor - Department of Economics
Downloads 160 (181,256)
Citation 84

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Oil and the Macroeconomy Since the 1970s

CEPR Discussion Paper No. 4496
Number of pages: 37 Posted: 08 Sep 2004
Robert Barsky and Lutz Kilian
Research Department, Federal Reserve Bank of Chicago and University of Michigan at Ann Arbor - Department of Economics
Downloads 50 (385,984)
Citation 84
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Oil shock, stagflation, OPEC, recession

13.

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

ECB Working Paper No. 226
Number of pages: 57 Posted: 04 Jun 2003
Lutz Kilian and Simone Manganelli
University of Michigan at Ann Arbor - Department of Economics and European Central Bank (ECB)
Downloads 206 (144,457)
Citation 3

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Inflation, deflation, risk, forecast, monetary policy

14.
Downloads 197 (150,577)
Citation 21

Oil Shocks and External Balances

IMF Working Paper No. 07/110
Number of pages: 41 Posted: 25 Jun 2007
University of Michigan at Ann Arbor - Department of Economics, Johns Hopkins University - Carey Business School and International Monetary Fund (IMF)
Downloads 194 (152,546)
Citation 21

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Oil Shocks and External Balances

CEPR Discussion Paper No. DP6303
Number of pages: 45 Posted: 23 May 2008
University of Michigan at Ann Arbor - Department of Economics, Johns Hopkins University - Carey Business School and International Monetary Fund (IMF)
Downloads 3 (640,109)
Citation 21
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Balance of payments, External balances, International financial integration, Oil demand shocks, Oil prices, Oil supply shocks

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, University of Michigan at Ann Arbor - Department of Economics and Energy Information Administration - US DOE
Downloads 168 (173,757)

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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

CESifo Working Paper Series No. 5759
Number of pages: 47 Posted: 18 Mar 2016
University of Notre Dame, University of Michigan at Ann Arbor - Department of Economics and Energy Information Administration - US DOE
Downloads 26 (490,472)

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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

CEPR Discussion Paper No. DP10362
Number of pages: 45 Posted: 02 Feb 2015
University of Notre Dame, University of Michigan at Ann Arbor - Department of Economics and Energy Information Administration - US DOE
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Brent, Expert forecasts, Forecast combination, Oil market, Real-time data, Retail gasoline price, Survey expectations, WTI

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

FRB International Finance Discussion Paper No. 957
Number of pages: 35 Posted: 08 Dec 2008
Lutz Kilian and Clara Vega
University of Michigan at Ann Arbor - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 144 (198,101)
Citation 23

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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

CEPR Discussion Paper No. DP7015
Number of pages: 32 Posted: 18 Dec 2008
Lutz Kilian and Clara Vega
University of Michigan at Ann Arbor - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 2 (650,813)
Citation 23
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Gasoline price, Identification, Impulse responses, News, Oil price

17.

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 University of Michigan at Ann Arbor - Department of Economics
Downloads 146 (195,522)
Citation 4

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How the Tight Oil Boom Has Changed Oil and Gasoline Markets

CESifo Working Paper Series No. 6380
Number of pages: 31 Posted: 27 Mar 2017
Lutz Kilian
University of Michigan at Ann Arbor - Department of Economics
Downloads 141 (201,458)

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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

CEPR Discussion Paper No. DP11876
Number of pages: 33 Posted: 02 Mar 2017
Lutz Kilian
University of Michigan at Ann Arbor - Department of Economics
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gasoline price, oil investment, oil price, real GDP growth, shale oil, Tight oil

19.

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

ECB Working Paper No. 196
Number of pages: 49 Posted: 09 Apr 2003
Sílvia Gonçalves and Lutz Kilian
University of Montreal - Department of Economics and University of Michigan at Ann Arbor - Department of Economics
Downloads 139 (203,415)
Citation 30

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

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 University of Michigan at Ann Arbor - Department of Economics
Downloads 109 (245,678)

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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

CESifo Working Paper Series No. 5730
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 University of Michigan at Ann Arbor - Department of Economics
Downloads 28 (479,217)

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

Impulse Response Matching Estimators for DSGE Models

CEPR Discussion Paper No. DP10298
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 University of Michigan at Ann Arbor - Department of Economics
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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

FRB International Finance Discussion Paper No. 970
Number of pages: 60 Posted: 16 Jun 2009
Lutz Kilian and Robert J. Vigfusson
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 116 (234,781)
Citation 8

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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

CEPR Discussion Paper No. DP7284
Number of pages: 57 Posted: 15 Jul 2009
Lutz Kilian and Robert J. Vigfusson
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 4 (631,795)
Citation 8
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Asymmetry, Energy price, Impulse response, Net increase, Oil price, Propagation, Shock, Transmission, Vector autoregression

22.

A Monetary Explanation of the Great Stagflation of the 1970s

NBER Working Paper No. w7547
Number of pages: 48 Posted: 05 May 2000 Last Revised: 16 Oct 2010
Robert Barsky and Lutz Kilian
Research Department, Federal Reserve Bank of Chicago and University of Michigan at Ann Arbor - Department of Economics
Downloads 102 (256,081)
Citation 3

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

CESifo Working Paper Series No. 5743
Number of pages: 41 Posted: 10 Mar 2016
Lutz Kilian and Robert J. Vigfusson
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 67 (333,668)

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

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

FRB International Finance Discussion Paper No. 1114
Number of pages: 41 Posted: 31 May 2017
Lutz Kilian and Robert J. Vigfusson
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 34 (449,446)

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

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

CEPR Discussion Paper No. DP10040
Number of pages: 43 Posted: 25 Sep 2014
Lutz Kilian and Robert J. Vigfusson
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 0
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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
Harvard University, University of California, Berkeley - Haas School of Business, University of Michigan at Ann Arbor - Department of Economics and Harvard University - Department of Economics
Downloads 51 (382,515)

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

CESifo Working Paper Series No. 5764
Number of pages: 29 Posted: 22 Mar 2016
Harvard University, University of California, Berkeley - Haas School of Business, University of Michigan at Ann Arbor - Department of Economics and Harvard University - Department of Economics
Downloads 42 (415,663)

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

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

NBER Working Paper No. w20980
Number of pages: 36 Posted: 02 Mar 2015
Harvard University, University of California, Berkeley - Haas School of Business, University of Michigan at Ann Arbor - Department of Economics and Harvard University - Department of Economics
Downloads 4 (631,970)

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

CEPR Discussion Paper No. DP10430
Number of pages: 37 Posted: 24 Feb 2015
Harvard University, University of California, Berkeley - Haas School of Business, University of Michigan at Ann Arbor - Department of Economics and Harvard University - Department of Economics
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Anticipation, Forward-looking behavior, Gasoline market, Gasoline tax, IV, Price elasticity of demand

25.

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

NBER Working Paper No. w8389
Number of pages: 52 Posted: 20 Jul 2001 Last Revised: 27 Jul 2001
Robert Barsky and Lutz Kilian
Research Department, Federal Reserve Bank of Chicago and University of Michigan at Ann Arbor - Department of Economics
Downloads 97 (264,721)
Citation 81

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Oil Prices, Exchange Rates and Interest Rates

CESifo Working Paper No. 7484
Number of pages: 56 Posted: 21 Feb 2019
Lutz Kilian and Beata Smarzynska Javorcik
University of Michigan at Ann Arbor - Department of Economics and University of Oxford - Department of Economics
Downloads 93 (273,907)

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

Oil Prices, Exchange Rates and Interest Rates

CEPR Discussion Paper No. DP13478
Number of pages: 57 Posted: 28 Jan 2019
Lutz Kilian and Xiaoqing Zhou
University of Michigan at Ann Arbor - Department of Economics and Bank of Canada
Downloads 1 (664,695)
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carry trade, commodity, Exchange rate, global real activity, interest rate, oil price

27.
Downloads 80 (298,494)
Citation 8

Nonlinearities in the Oil Price-Output Relationship

FRB International Finance Discussion Paper No. 1013
Number of pages: 57 Posted: 12 Mar 2011
Lutz Kilian and Robert J. Vigfusson
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 78 (305,806)
Citation 8

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

Nonlinearities in the Oil Price-Output Relationship

CEPR Discussion Paper No. DP8174
Number of pages: 54 Posted: 18 Jan 2011
Lutz Kilian and Robert J. Vigfusson
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 2 (650,813)
Citation 8
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Asymmetry, Nonlinearity, Oil price, Real Output, Uncertainty

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 University of Michigan at Ann Arbor - Department of Economics
Downloads 42 (415,438)
Citation 23

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Unit Root Tests are Useful for Selecting Forecasting Models

NBER Working Paper No. w6928
Number of pages: 30 Posted: 26 Mar 1999 Last Revised: 07 May 2000
Francis X. Diebold and Lutz Kilian
University of Pennsylvania - Department of Economics and University of Michigan at Ann Arbor - Department of Economics
Downloads 36 (440,449)
Citation 23

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29.

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

CEPR Discussion Paper No. 5994
Number of pages: 57 Posted: 20 Mar 2007
Lutz Kilian
University of Michigan at Ann Arbor - Department of Economics
Downloads 74 (312,384)
Citation 107
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Causality, oil demand, oil price shocks, oil supply

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

CESifo Working Paper Series No. 6322
Number of pages: 57 Posted: 28 Feb 2017
Christiane Baumeister and Lutz Kilian
University of Notre Dame and University of Michigan at Ann Arbor - Department of Economics
Downloads 56 (366,051)

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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?

CEPR Discussion Paper No. DP11792
Number of pages: 59 Posted: 23 Jan 2017
Christiane Baumeister and Lutz Kilian
University of Notre Dame and University of Michigan at Ann Arbor - Department of Economics
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oil loans, oil price decline, reallocation, shale oil, Stimulus, uncertainty

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 University of Michigan at Ann Arbor - Department of Economics
Downloads 34 (449,446)

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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?

CESifo Working Paper Series No. 6282
Number of pages: 55 Posted: 07 Feb 2017
University of Notre Dame, Government of Canada - Bank of Canada and University of Michigan at Ann Arbor - Department of Economics
Downloads 13 (571,828)

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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?

NBER Working Paper No. w23752
Number of pages: 55 Posted: 06 Sep 2017
University of Notre Dame, Government of Canada - Bank of Canada and University of Michigan at Ann Arbor - Department of Economics
Downloads 3 (640,254)
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Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?

CEPR Discussion Paper No. DP11740
Number of pages: 57 Posted: 09 Jan 2017
University of Notre Dame, Government of Canada - Bank of Canada and University of Michigan at Ann Arbor - Department of Economics
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biofuels, corn, crude oil, gasoline, market integration, policy uncertainty, Risk premium, storage demand, term structure of price expectations

Estimating the Effect of a Gasoline Tax on Carbon Emissions

NBER Working Paper No. w14685
Number of pages: 43 Posted: 31 Jan 2009 Last Revised: 02 Dec 2013
Lucas W. Davis and Lutz Kilian
University of California, Berkeley - Haas School of Business and University of Michigan at Ann Arbor - Department of Economics
Downloads 46 (400,221)
Citation 9

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Estimating the Effect of a Gasoline Tax on Carbon Emissions

CEPR Discussion Paper No. DP7161
Number of pages: 45 Posted: 18 Feb 2009
Lucas W. Davis and Lutz Kilian
University of California, Berkeley - Haas School of Business and University of Michigan at Ann Arbor - Department of Economics
Downloads 4 (631,795)
Citation 9
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carbon tax, elasticity, gasoline consumption, gasoline tax, global warming, price endogeneity

Modeling Fluctuations in the Global Demand for Commodities

CESifo Working Paper Series No. 6749
Number of pages: 63 Posted: 18 Jan 2018
Lutz Kilian and Xiaoqing Zhou
University of Michigan at Ann Arbor - Department of Economics and Bank of Canada
Downloads 49 (389,585)

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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

CEPR Discussion Paper No. DP12357
Number of pages: 63 Posted: 09 Oct 2017
Lutz Kilian and Xiaoqing Zhou
University of Michigan at Ann Arbor - Department of Economics and Bank of Canada
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Commodity market, demand, global economy, international business cycle, leading indicators, oil price, real economic activity

34.

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

CEPR Discussion Paper No. 5131
Number of pages: 64 Posted: 10 Aug 2005
Lutz Kilian
University of Michigan at Ann Arbor - Department of Economics
Downloads 48 (386,383)
Citation 57
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Counterfactual, economic activity, exogeneity, inflation, oil shock, oil supply, war, weak instruments

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
University of Michigan at Ann Arbor - Department of Economics and Bank of Canada
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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

CESifo Working Paper Series No. 7005
Number of pages: 48 Posted: 08 Jul 2018
Lutz Kilian and Xiaoqing Zhou
University of Michigan at Ann Arbor - Department of Economics and Bank of Canada
Downloads 16 (552,489)

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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

CEPR Discussion Paper No. DP12845
Number of pages: 49 Posted: 12 Apr 2018
Lutz Kilian and Xiaoqing Zhou
University of Michigan at Ann Arbor - Department of Economics and Bank of Canada
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Canada, Housing, oil price, redistribution, regional heterogeneity, resource boom

Frequentist Inference in Weakly Identified DSGE Models

FRB of Philadelphia Working Paper No. 09-13
Number of pages: 42 Posted: 10 Aug 2009 Last Revised: 09 Oct 2009
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Southern Methodist University and University of Michigan at Ann Arbor - Department of Economics
Downloads 40 (423,440)
Citation 3

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DSGE models, Bayesian estimation, identification, inference, confidence sets, Bayes factor

Frequentist Inference in Weakly Identified DSGE Models

CEPR Discussion Paper No. DP7447
Number of pages: 47 Posted: 07 Oct 2009
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Southern Methodist University and University of Michigan at Ann Arbor - Department of Economics
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Citation 3
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Bayes factor, Bayesian estimation, Confidence set, DSGE models, Identification, Inference, Likelihood ratio

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

CESifo Working Paper Series No. 6369
Number of pages: 38 Posted: 27 Mar 2017
University of Notre Dame, University of Michigan at Ann Arbor - Department of Economics and Bank of Canada
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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?

CEPR Discussion Paper No. DP11868
Number of pages: 40 Posted: 02 Mar 2017
University of Notre Dame, University of Michigan at Ann Arbor - Department of Economics and Bank of Canada
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discretionary income effect, expenditure share, gasoline, net oil imports, oil price decline, Stimulus

38.

Measuring Predictability: Theory and Macroeconomic Applications

NBER Working Paper No. t0213
Number of pages: 51 Posted: 24 Jul 2000 Last Revised: 03 Aug 2010
Francis X. Diebold and Lutz Kilian
University of Pennsylvania - Department of Economics and University of Michigan at Ann Arbor - Department of Economics
Downloads 28 (466,403)
Citation 20

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39.

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

CEPR Discussion Paper No. DP8916
Number of pages: 37 Posted: 04 Apr 2012
Bassam Fattouh, Lutz Kilian and Lavan Mahadeva
University of Oxford - Oxford Institute for Energy Studies, University of Michigan at Ann Arbor - Department of Economics and Oxford Institute for Energy Studies
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Citation 9
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Financialization, Fundamentals, Futures market, Oil price, Speculation, Spot market

40.

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

CEPR Discussion Paper No. DP7753
Number of pages: 45 Posted: 29 Mar 2010
Lutz Kilian and Dan Murphy
University of Michigan at Ann Arbor - Department of Economics and University of Michigan at Ann Arbor
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Citation 26
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demand, fundamentals, gasoline demand elasticity, identification, inventories, oil demand elasticity, Oil market, peak oil, speculation, structural model, supply

41.

Bagging Time Series Models

CEPR Discussion Paper No. 4333
Number of pages: 39 Posted: 05 May 2004
Atsushi Inoue and Lutz Kilian
Southern Methodist University and University of Michigan at Ann Arbor - Department of Economics
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Citation 4
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Bootstrap aggregation, forecasting, model selection, pre-testing

42.

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

CEPR Discussion Paper No. 5404
Number of pages: 37 Posted: 22 Mar 2006
Lutz Kilian
University of Michigan at Ann Arbor - Department of Economics
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Citation 33
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Counterfactual, inflation, oil supply, real GDP growth and stagflation, exogeneity, dynamic effects

43.

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

CEPR Discussion Paper No. 5304
Number of pages: 37 Posted: 30 Dec 2005
Atsushi Inoue and Lutz Kilian
Southern Methodist University and University of Michigan at Ann Arbor - Department of Economics
Downloads 23 (492,897)
Citation 15
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Bootstrap aggregation, Bayesian model averaging, forecast combination, factor models, shrinkage estimation, forecast model selection, pre-testing

44.

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

CEPR Discussion Paper No. 3024
Number of pages: 42 Posted: 13 Nov 2001
Lutz Kilian and Mark P. Taylor
University of Michigan at Ann Arbor - Department of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 23 (492,897)
Citation 93
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Purchasing power parity, real exchange rate, random walk, economic models of exchange rate determination, long-horizon regression tests

45.

The Economic Effects of Energy Price Shocks

CEPR Discussion Paper No. DP6559
Number of pages: 63 Posted: 06 Jun 2008
Lutz Kilian
University of Michigan at Ann Arbor - Department of Economics
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Citation 61
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Asymmetry, Causality, Channels of transmission, Crude oil, Elasticity, Gasoline, Price shocks, Propagation

46.

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

CEPR Discussion Paper No. 5790
Number of pages: 43 Posted: 09 Oct 2006
Atsushi Inoue, Lutz Kilian and Fatma Burcu Kiraz
Southern Methodist University, University of Michigan at Ann Arbor - Department of Economics and North Carolina State University - Department of Agricultural & Resource Economics
Downloads 19 (515,449)
Citation 5
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Inflation expectations, consumer expenditure survey, Michigan survey of consumers, survey of professional forecasters, Euler equation

47.

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

CEPR Discussion Paper No. 3918
Number of pages: 47 Posted: 25 Jul 2003
Lutz Kilian and Simone Manganelli
University of Michigan at Ann Arbor - Department of Economics and European Central Bank (ECB)
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Citation 2
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Risk, forecast, monetary policy, price stability, inflation, deflation

48.

Joint Confidence Sets for Structural Impulse Responses

CESifo Working Paper Series No. 5746
Number of pages: 40 Posted: 12 Mar 2016
Atsushi Inoue and Lutz Kilian
Vanderbilt University - College of Arts and Science - Department of Economics and University of Michigan at Ann Arbor - Department of Economics
Downloads 16 (532,517)

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

49.

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

FRB Atlanta Working Paper Series No. 99-21
Number of pages: 35 Posted: 25 Jan 2015
Lutz Kilian and Tao A. Zha
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Bank of Atlanta
Downloads 15 (538,248)
Citation 1

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

50.

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

NBER Working Paper No. w14030
Number of pages: 58 Posted: 02 Jun 2008
Lucas W. Davis and Lutz Kilian
University of California, Berkeley - Haas School of Business and University of Michigan at Ann Arbor - Department of Economics
Downloads 15 (538,248)
Citation 5

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51.

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

CEPR Discussion Paper No. DP6548
Number of pages: 63 Posted: 05 Jun 2008
Ron Alquist and Lutz Kilian
AQR Capital Management LLC and University of Michigan at Ann Arbor - Department of Economics
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Citation 35
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basis, crude oil, expectations, forecasting, futures market, precautionary demand, spot market, spread

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

CESifo Working Paper Series No. 7166
Number of pages: 32 Posted: 11 Oct 2018
Lutz Kilian and Xiaoqing Zhou
University of Michigan at Ann Arbor - Department of Economics and Bank of Canada
Downloads 13 (571,828)

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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

CEPR Discussion Paper No. DP13068
Number of pages: 33 Posted: 31 Jul 2018
Lutz Kilian and Xiaoqing Zhou
University of Michigan at Ann Arbor - Department of Economics and Bank of Canada
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Oil market models, oil supply elasticity, structural VAR. identification

53.

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

International Economic Review, Vol. 43, pp. 309-332, 2002
Number of pages: 24 Posted: 16 May 2002
Atsushi Inoue and Lutz Kilian
Southern Methodist University and University of Michigan at Ann Arbor - Department of Economics
Downloads 11 (561,652)
Citation 7
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The Impact of Oil Price Shocks on the U.S. Stock Market

CEPR Discussion Paper No. DP6166
Number of pages: 48 Posted: 20 May 2008
Lutz Kilian and Cheolbeom Park
University of Michigan at Ann Arbor - Department of Economics and Korea University
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Citation 37
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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
University of Michigan at Ann Arbor - Department of Economics and Korea University
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Citation 37
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55.

Structural Vector Autoregressions

CEPR Discussion Paper No. DP8515
Number of pages: 54 Posted: 12 Aug 2011
Lutz Kilian
University of Michigan at Ann Arbor - Department of Economics
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Citation 6
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Identification, Structural model, VAR

56.

Inference on Impulse Response Functions in Structural VAR Models

CEPR Discussion Paper No. DP8419
Number of pages: 41 Posted: 16 Jun 2011
Atsushi Inoue and Lutz Kilian
Southern Methodist University and University of Michigan at Ann Arbor - Department of Economics
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Citation 2
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Credible Set, Impulse responses, Median, Mode, Sign restrictions, Simultaneous inference, Vector autoregression

57.

Oil Price Shocks, Monetary Policy and Stagflation

CEPR Discussion Paper No. DP7324
Number of pages: 34 Posted: 15 Jul 2009
Lutz Kilian
University of Michigan at Ann Arbor - Department of Economics
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Citation 6
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Monetary policy, Oil price, Policy reaction, Regimes, Stagflation

58.

Monetary Policy Responses to Oil Price Fluctuations

CEPR Discussion Paper No. DP8928
Number of pages: 52 Posted: 04 Apr 2012
affiliation not provided to SSRN, Federal Reserve Board - Trade and Financial Studies and University of Michigan at Ann Arbor - Department of Economics
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endogeneity, global economy, monetary policy, oil price, open economy, policy rule, welfare

59.

Real-Time Analysis of Oil Price Risks Using Forecast Scenarios

CEPR Discussion Paper No. DP8698
Number of pages: 36 Posted: 22 Dec 2011
Christiane Baumeister and Lutz Kilian
University of Notre Dame and University of Michigan at Ann Arbor - Department of Economics
Downloads 6 (591,653)
Citation 4
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Forecast, Oil price, Predictive density, Real time, Risk, Scenario analysis, VAR

60.
Downloads 6 (591,653)
Citation 9

Does the Fed Respond to Oil Price Shocks?

CEPR Discussion Paper No. DP7594
Number of pages: 45 Posted: 11 Jan 2010
Lutz Kilian and Logan T. Lewis
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board, Trade and Quantitative Studies
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Citation 9
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Counterfactual, Oil, Recessions, Systematic Monetary Policy, Temporal Instability

Does the Fed Respond to Oil Price Shocks?

The Economic Journal, Vol. 121, Issue 555, pp. 1047-1072, 2011
Number of pages: 26 Posted: 21 Sep 2011
Lutz Kilian and Logan T. Lewis
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board, Trade and Quantitative Studies
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Citation 9
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61.

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

CEPR Discussion Paper No. DP7265
Number of pages: 19 Posted: 19 May 2009
Bruce Hicks and Lutz Kilian
University of Michigan at Ann Arbor - Department of Economics and University of Michigan at Ann Arbor - Department of Economics
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Citation 10
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Demand, EIU, Forecast Revisions, Global Real Activity, News, Oil price, Shocks

62.

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 University of Michigan at Ann Arbor - Department of Economics
Downloads 5 (597,805)

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

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

CESifo Working Paper No. 7461
Number of pages: 13 Posted: 21 Feb 2019
Lutz Kilian
University of Michigan at Ann Arbor - Department of Economics
Downloads 4 (631,970)

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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?

CEPR Discussion Paper No. DP13455
Number of pages: 14 Posted: 23 Jan 2019
Lutz Kilian
University of Michigan at Ann Arbor - Department of Economics
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Commodity market, Global business cycle, log transformation, Oil, shipping

64.

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

Bundesbank Series 1 Discussion Paper No. 2006,26
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, University of Michigan at Ann Arbor - Department of Economics and North Carolina State University - Department of Agricultural & Resource Economics
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Citation 5

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

65.

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

CEPR Discussion Paper No. DP7471
Number of pages: 36 Posted: 07 Oct 2009
Lutz Kilian and Dan Murphy
University of Michigan at Ann Arbor - Department of Economics and Government of the United Kingdom - Department for Work and Pensions (DWP)
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Citation 16
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Demand shocks, Identification, Median response, Oil market, Sign restriction, Supply shocks, Vector autoregression

66.

Retail Energy Prices and Consumer Expenditures

CEPR Discussion Paper No. DP6255
Number of pages: 71 Posted: 21 May 2008
Paul Edelstein and Lutz Kilian
Federal Reserve Bank of New York and University of Michigan at Ann Arbor - Department of Economics
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Citation 18
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asymmetry, consumer sentiment, consumption, energy prices, price elasticity of energy demand, purchasing power

67.

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Bundesbank Series 1 Discussion Paper No. 2002,26
Number of pages: 48 Posted: 08 Jun 2016
Lutz Kilian and Sílvia Gonçalves
University of Michigan at Ann Arbor - Department of Economics and Independent
Downloads 4 (604,283)
Citation 16

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wild bootstrap, pairwise bootstrap, robust inference

Oil Price Shocks: Causes and Consequences

CEPR Discussion Paper No. DP9823
Number of pages: 39 Posted: 02 Jun 2014
Lutz Kilian
University of Michigan at Ann Arbor - Department of Economics
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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
University of Michigan at Ann Arbor - Department of Economics

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69.

Real-Time Forecasts of the Real Price of Oil

CEPR Discussion Paper No. DP8414
Number of pages: 46 Posted: 06 Jun 2011
Christiane Baumeister and Lutz Kilian
University of Notre Dame and University of Michigan at Ann Arbor - Department of Economics
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Citation 5
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Forecast, Oil price, Real time, Scenario analysis

70.

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

CEPR Discussion Paper No. DP7266
Number of pages: 37 Posted: 19 May 2009
Lutz Kilian and Yun Jung Kim
University of Michigan at Ann Arbor - Department of Economics and University of Michigan at Ann Arbor - Department of Economics
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Bias, Confidence interval, Impulse response function, Joint interval, Local projection, Vector autoregression

71.

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

CEPR Discussion Paper No. DP6507
Number of pages: 64 Posted: 05 Jun 2008
Paul Edelstein and Lutz Kilian
Federal Reserve Bank of New York and University of Michigan at Ann Arbor - Department of Economics
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Citation 15
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1986 Tax Reform Act, Asymmetric responses, Equipment, Nonresidential fixed investment, Oil price shocks, Structures

72.

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

CEPR Discussion Paper No. 6031
Number of pages: 36 Posted: 27 Jun 2007
Lutz Kilian and Simone Manganelli
University of Michigan at Ann Arbor - Department of Economics and European Central Bank (ECB)
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Citation 2
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Greenspan, inflation, monetary policy, output, policy rule, preferences, risk

73.

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

CEPR Discussion Paper No. DP9297
Number of pages: 40 Posted: 01 Feb 2013
Lutz Kilian and Thomas K Lee
University of Michigan at Ann Arbor - Department of Economics and Energy Information Administration - US DOE
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Expectations, Global commodity markets, Inventories, Oil price, Speculation

74.

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

CEPR Discussion Paper No. DP6919
Number of pages: 28 Posted: 02 Dec 2008
Lutz Kilian
University of Michigan at Ann Arbor - Department of Economics
Downloads 3 (611,694)
Citation 4
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Demand shock, Dynamic effects, Gasoline consumption, Gasoline price, Price of crude oil, Refiners, Supply shock

75.

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

CEPR Discussion Paper No. DP6142
Number of pages: 50 Posted: 19 May 2008
Lucas W. Davis and Lutz Kilian
University of California, Berkeley - Haas School of Business and University of Michigan at Ann Arbor - Department of Economics
Downloads 2 (621,114)
Citation 1
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Allocative cost, deadweight loss, natural gas, price ceiling, regulation

What Central Bankers Need to Know About Forecasting Oil Prices

CEPR Discussion Paper No. DP9118
Number of pages: 39 Posted: 28 Sep 2012
Christiane Baumeister and Lutz Kilian
University of Notre Dame and University of Michigan at Ann Arbor - Department of Economics
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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 University of Michigan at Ann Arbor - Department of Economics
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77.

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

CEPR Discussion Paper No. DP10075
Number of pages: 30 Posted: 25 Sep 2014
University of Notre Dame, University of Michigan at Ann Arbor - Department of Economics and Energy Information Administration - US DOE
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forecast combination, forecast pooling, oil price, real-time data, refiners' acquisition cost, WTI

78.

Joint Confidence Sets for Structural Impulse Responses

CEPR Discussion Paper No. DP9892
Number of pages: 44 Posted: 02 Jun 2014
Atsushi Inoue and Lutz Kilian
Southern Methodist University and University of Michigan at Ann Arbor - Department of Economics
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Bootstrap, Confidence regions, Degenerate limiting distribution, Impulse response shapes, Joint inference, Shotgun plots

79.

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

CEPR Discussion Paper No. DP9768
Number of pages: 38 Posted: 02 Dec 2013
University of Notre Dame, Government of Canada - Bank of Canada and University of Michigan at Ann Arbor - Department of Economics
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Forecasts, Mixed frequency, Oil price, Real-time data

80.

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

International Economic Review, Vol. 43, Issue 2, pp. 309-331, 2002
Number of pages: 24 Posted: 30 Nov 2013
Atsushi Inoue and Lutz Kilian
Southern Methodist University and University of Michigan at Ann Arbor - Department of Economics
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Citation 7
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Do Oil Price Increases Cause Higher Food Prices?

CEPR Discussion Paper No. DP9689
Number of pages: 70 Posted: 16 Oct 2013
Christiane Baumeister and Lutz Kilian
University of Notre Dame and University of Michigan at Ann Arbor - Department of Economics
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agriculture, biofuel, consumer prices, corn, crop prices, ethanol, food crisis, food price volatility, globalization, inflation, pass-through

Do Oil Price Increases Cause Higher Food Prices?

Economic Policy, Vol. 29, Issue 80, pp. 691-747, 2014
Number of pages: 57 Posted: 20 Oct 2014
Christiane Baumeister and Lutz Kilian
University of Notre Dame and University of Michigan at Ann Arbor - Department of Economics
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82.

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

CEPR Discussion Paper No. DP9572
Number of pages: 40 Posted: 24 Jul 2013
University of Notre Dame, University of Michigan at Ann Arbor - Department of Economics and Bank of Canada
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acquisition cost, crack spread, forecast accuracy, futures, oil price, real-time data, refined products, WTI

83.

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

CEPR Discussion Paper No. DP9569
Posted: 24 Jul 2013
Christiane Baumeister and Lutz Kilian
University of Notre Dame and University of Michigan at Ann Arbor - Department of Economics

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

84.

Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries

FRB International Finance Discussion Paper No. 1050
Posted: 27 Sep 2012
Lutz Kilian and Robert J. Vigfusson
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies

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Out-of-sample forecast, Oil price, Real GDP, Nonlinearity, Asymmetry

Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries

CEPR Discussion Paper No. DP8980
Number of pages: 39 Posted: 28 Sep 2012
Lutz Kilian and Robert J. Vigfusson
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
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Citation 1
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Asymmetry, Nonlinearity, Oil price, Out-of-sample forecast, Real GDP

Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries

FRB International Finance Discussion Paper No. 1050
Posted: 25 Jul 2012
Lutz Kilian and Robert J. Vigfusson
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies

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Out-of-sample forecast, Oil price, Real GDP, Nonlinearity, Asymmetry

86.

Is There a Trend Break in U.S. GNP? A Macroeconomic Perspective

Posted: 19 Aug 2008
Lutz Kilian and Lee E. Ohanian
University of Michigan at Ann Arbor - Department of Economics and University of California, Los Angeles (UCLA) - Department of Economics

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Unit Roots, Trend-Breaks, Transitory Shocks

87.

Bootstrapping Autoregressive Processes with Possible Unit Roots

Econometrica, Vol. 70, pp. 377-391, 2002
Posted: 15 May 2002
Atsushi Inoue and Lutz Kilian
Southern Methodist University and University of Michigan at Ann Arbor - Department of Economics

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88.

Recent Developments in Bootstrapping Time Series

FEDS Discussion Paper No. 96-45
Posted: 20 Dec 1996
Jeremy Berkowitz and Lutz Kilian
University of Houston - Department of Finance and University of Michigan at Ann Arbor - Department of Economics

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