Lutz Kilian

Federal Reserve Banks - Federal Reserve Bank of Dallas

2200 North Pearl Street

PO Box 655906

Dallas, TX 75265-5906

United States

Centre for Economic Policy Research (CEPR)

Fellow

London

United Kingdom

  • Federal Reserve Banks - Federal Reserve Bank of Dallas

  • Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

108

DOWNLOADS
Rank 3,235

SSRN RANKINGS

Top 3,235

in Total Papers Downloads

18,827

SSRN CITATIONS
Rank 93

SSRN RANKINGS

Top 93

in Total Papers Citations

3,039

CROSSREF CITATIONS

3,527

Scholarly Papers (108)

Actions:
Email selected abstracts
1.

Understanding the Decline in the Price of Oil Since June 2014

Downloads 3,664 ( 5,152)
Citation 59

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 3,129 (6,594)
Citation 34

Abstract:

Loading...

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 Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 531 (87,371)
Citation 21

Abstract:

Loading...

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 Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 4 (1,037,522)
Citation 18
  • Add to Cart

Abstract:

Loading...

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

2.

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

Downloads 1,366 (24,443)
Citation 40

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

CFS Working Paper No. 499
Number of pages: 43 Posted: 15 Dec 2014
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 879 (45,183)
Citation 15

Abstract:

Loading...

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
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 486 (97,460)
Citation 17

Abstract:

Loading...

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
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 1 (1,063,377)
Citation 10
  • Add to Cart

Abstract:

Loading...

Capacity constraints, Export ban, Infrastructure, Oil independence, Oil sands, Oil trade, Refining, Shale oil, Tight oil, Unconventional oil

3.

Time Series Analysis

PIER Working Paper No. 06-019
Number of pages: 24 Posted: 21 Jun 2006
Francis X. Diebold, Lutz Kilian and Marc Nerlove
University of Pennsylvania - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Maryland
Downloads 1,272 (27,115)
Citation 2

Abstract:

Loading...

Time series analysis, time domain, frequency domain

4.

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

Downloads 879 (45,830)
Citation 198

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

Number of pages: 43 Posted: 27 Feb 2003
Atsushi Inoue and Lutz Kilian
Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 862 (46,439)

Abstract:

Loading...

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

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

Number of pages: 34 Posted: 15 Jan 2003
Atsushi Inoue and Lutz Kilian
Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 17 (908,545)
Citation 31
  • Add to Cart

Abstract:

Loading...

Data mining, parameter instability, predictability test, reliability of inference

5.

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

Downloads 732 (58,814)
Citation 81

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 609 (73,577)
Citation 11

Abstract:

Loading...

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 Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 122 (379,895)
Citation 32

Abstract:

Loading...

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 Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 1 (1,063,377)
Citation 22
  • Add to Cart

Abstract:

Loading...

Oil market, Oil price expectations, Oil price shock, Peak oil, Unconventional oil

6.

Forecasting the Price of Oil

Downloads 694 (63,082)
Citation 92

Forecasting the Price of Oil

Number of pages: 123 Posted: 20 Sep 2011
Ron Alquist, Lutz Kilian and Robert J. Vigfusson
Financial Stability Oversight Council, U.S. Treasury, Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 690 (62,647)
Citation 23

Abstract:

Loading...

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
Financial Stability Oversight Council, U.S. Treasury, Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 4 (1,037,522)
Citation 30
  • Add to Cart

Abstract:

Loading...

Asymmetries, Demand and supply, Forecasting, Oil price, Predictability

7.

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

University of Michigan Research Seminar on International Economics WP 401
Number of pages: 56 Posted: 15 Jan 1998
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 621 (72,677)
Citation 26

Abstract:

Loading...

8.

The Econometrics of Oil Market VAR Models

Downloads 580 (79,146)
Citation 7

The Econometrics of Oil Market VAR Models

FRB of Dallas Working Paper No. 2006
Number of pages: 63 Posted: 04 May 2020 Last Revised: 07 May 2020
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 304 (165,862)
Citation 4

Abstract:

Loading...

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

The Econometrics of Oil Market VAR Models

CESifo Working Paper No. 8153
Number of pages: 63 Posted: 11 Mar 2020
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 276 (183,605)
Citation 7

Abstract:

Loading...

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

The Econometrics of Oil Market VAR Models

CEPR Discussion Paper No. DP14460
Number of pages: 64 Posted: 03 Mar 2020
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0
Citation 1
  • Add to Cart

Abstract:

Loading...

Bayesian estimation, Elasticity, identification, Model specification, structural VAR, textual analysis

9.

The Impact of Rising Oil Prices on U.S. Inflation and Inflation Expectations in 2020-23

Downloads 522 (90,451)
Citation 7

The Impact of Rising Oil Prices on U.S. Inflation and Inflation Expectations in 2020-23

FRB of Dallas Working Paper No. 2116
Number of pages: 29 Posted: 08 Dec 2021
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 181 (274,758)

Abstract:

Loading...

Scenario, inflation, expectations, oil price, gasoline price, household surveys, core, pandemic, recovery

The Impact of Rising Oil Prices on U.S. Inflation and Inflation Expectations in 2020-23

Number of pages: 29 Posted: 01 Mar 2022
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 182 (274,758)
Citation 6

Abstract:

Loading...

E31, E52, Q43

The Impact of Rising Oil Prices on U.S. Inflation and Inflation Expectations in 2020-23

CESifo Working Paper No. 9455
Number of pages: 30 Posted: 08 Dec 2021
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 159 (307,364)
Citation 5

Abstract:

Loading...

scenario, inflation, expectation, oil price, gasoline price, household survey, core, pandemic, recovery

The Impact of Rising Oil Prices on U.S. Inflation and Inflation Expectations in 2020-23

CEPR Discussion Paper No. DP16776
Number of pages: 31 Posted: 04 Feb 2022
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0
  • Add to Cart

Abstract:

Loading...

Core, Expectation, gasoline price, Household survey, inflation, oil price, Pandemic, recovery, Scenario

10.

Oil Prices, Exchange Rates and Interest Rates

Downloads 513 (92,407)
Citation 15

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
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Oxford - Department of Economics
Downloads 303 (166,424)
Citation 4

Abstract:

Loading...

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

Oil Prices, Exchange Rates and Interest Rates

CFS Working Paper, No. 646, 2020
Number of pages: 46 Posted: 08 Jan 2021
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 139 (345,424)
Citation 13

Abstract:

Loading...

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

Oil Prices, Exchange Rates and Interest Rates

FRB of Dallas Working Paper No. 1914
Number of pages: 45 Posted: 02 Dec 2019
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 70 (548,136)
Citation 3

Abstract:

Loading...

Exchange rate, interest rates, 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
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 1 (1,063,377)
  • Add to Cart

Abstract:

Loading...

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

11.

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

Downloads 480 (99,998)
Citation 21

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 334 (150,032)
Citation 17

Abstract:

Loading...

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 Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 146 (330,204)
Citation 10

Abstract:

Loading...

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 Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0
Citation 1
  • Add to Cart

Abstract:

Loading...

Forecast, Futures, Market expectation, Model uncertainty, Oil price, Risk premium

12.

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

Downloads 394 (125,906)
Citation 4

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

CFS Working Paper, No. 645, 2020
Number of pages: 38 Posted: 08 Jan 2021
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 337 (150,032)
Citation 4

Abstract:

Loading...

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

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

FRB of Dallas Working Paper No. 2025
Number of pages: 37 Posted: 19 Aug 2020
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 30 (789,896)

Abstract:

Loading...

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

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

CESifo Working Paper No. 8516
Number of pages: 37 Posted: 28 Aug 2020
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 27 (814,849)

Abstract:

Loading...

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

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

CEPR Discussion Paper No. DP15168
Number of pages: 38 Posted: 18 Aug 2020
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0
  • Add to Cart

Abstract:

Loading...

anchor, Expectations, gasoline price, Household survey, inflation, missing disinflation, oil price

13.

The Impact of the Fracking Boom on Arab Oil Producers

Downloads 361 (138,917)
Citation 34

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
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 361 (137,905)
Citation 9

Abstract:

Loading...

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
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0
Citation 6
  • Add to Cart

Abstract:

Loading...

Arab oil producers, oil price, oil trade, refined products, Saudi Arabia, shale oil, tight oil

14.

How the Tight Oil Boom Has Changed Oil and Gasoline Markets

Downloads 282 (180,560)
Citation 2

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
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 282 (179,598)
Citation 2

Abstract:

Loading...

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
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0
Citation 2
  • Add to Cart

Abstract:

Loading...

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

15.

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

Number of pages: 56 Posted: 27 Feb 2003
Lutz Kilian and Mark P. Taylor
Federal Reserve Banks - Federal Reserve Bank of Dallas and Washington University in St. Louis - John M. Olin Business School
Downloads 275 (185,174)

Abstract:

Loading...

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

16.

On the Selection of Forecasting Models

Downloads 271 (187,861)
Citation 27

On the Selection of Forecasting Models

Number of pages: 60 Posted: 15 Mar 2003
Atsushi Inoue and Lutz Kilian
Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 254 (199,644)

Abstract:

Loading...

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

On the Selection of Forecasting Models

Number of pages: 51 Posted: 29 Apr 2003
Atsushi Inoue and Lutz Kilian
Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 17 (908,545)
Citation 3
  • Add to Cart

Abstract:

Loading...

Forecast accuracy, model selection, structural change, information criteria, simulated out-of-sample method

17.

Understanding the Estimation of Oil Demand and Oil Supply Elasticities

Downloads 269 (189,346)
Citation 5

Understanding the Estimation of Oil Demand and Oil Supply Elasticities

CFS Working Paper, No. 649, 2020
Number of pages: 33 Posted: 28 Feb 2021
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 211 (238,876)

Abstract:

Loading...

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

Understanding the Estimation of Oil Demand and Oil Supply Elasticities

CESifo Working Paper No. 8567
Number of pages: 32 Posted: 25 Sep 2020
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 33 (765,659)

Abstract:

Loading...

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

Understanding the Estimation of Oil Demand and Oil Supply Elasticities

FRB of Dallas Working Paper No. 2027
Number of pages: 31 Posted: 08 Sep 2020
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 25 (832,310)
Citation 4

Abstract:

Loading...

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

Understanding the Estimation of Oil Demand and Oil Supply Elasticities

CEPR Discussion Paper No. DP15244
Number of pages: 33 Posted: 12 Sep 2020
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0
  • Add to Cart

Abstract:

Loading...

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

18.

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

Downloads 254 (200,490)
Citation 8

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 208 (242,043)
Citation 5

Abstract:

Loading...

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
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 46 (674,285)

Abstract:

Loading...

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
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
  • Add to Cart

Abstract:

Loading...

Brent, Expert forecasts, Forecast combination, Oil market, Real-time data, Retail gasoline price, Survey expectations, WTI

19.

Oil and the Macroeconomy Since the 1970s

Downloads 252 (202,080)
Citation 224

Oil and the Macroeconomy Since the 1970s

NBER Working Paper No. w10855
Number of pages: 36 Posted: 27 Oct 2004 Last Revised: 31 Aug 2022
Robert Barsky and Lutz Kilian
Research Department, Federal Reserve Bank of Chicago and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 202 (248,803)
Citation 21

Abstract:

Loading...

Oil and the Macroeconomy Since the 1970s

Number of pages: 37 Posted: 08 Sep 2004
Robert Barsky and Lutz Kilian
Research Department, Federal Reserve Bank of Chicago and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 50 (649,884)
Citation 53
  • Add to Cart

Abstract:

Loading...

Oil shock, stagflation, OPEC, recession

20.

Oil Shocks and External Balances

Downloads 250 (203,665)
Citation 57

Oil Shocks and External Balances

IMF Working Paper No. 07/110
Number of pages: 41 Posted: 25 Jun 2007
Lutz Kilian, Alessandro Rebucci and Nicola Spatafora
Federal Reserve Banks - Federal Reserve Bank of Dallas, Johns Hopkins University - Carey Business School and International Monetary Fund (IMF)
Downloads 247 (205,212)
Citation 10

Abstract:

Loading...

Oil Shocks and External Balances

CEPR Discussion Paper No. DP6303
Number of pages: 45 Posted: 23 May 2008
Lutz Kilian, Alessandro Rebucci and Nicola Spatafora
Federal Reserve Banks - Federal Reserve Bank of Dallas, Johns Hopkins University - Carey Business School and International Monetary Fund (IMF)
Downloads 3 (1,045,805)
Citation 5
  • Add to Cart

Abstract:

Loading...

Balance of payments, External balances, International financial integration, Oil demand shocks, Oil prices, Oil supply shocks

21.

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

Number of pages: 57 Posted: 04 Jun 2003
Lutz Kilian and Simone Manganelli
Federal Reserve Banks - Federal Reserve Bank of Dallas and European Central Bank (ECB)
Downloads 241 (210,977)

Abstract:

Loading...

Inflation, deflation, risk, forecast, monetary policy

22.

Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks

Downloads 215 (235,373)
Citation 12

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
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 211 (238,876)
Citation 26

Abstract:

Loading...

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
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 4 (1,037,522)
  • Add to Cart

Abstract:

Loading...

Asymmetry, Energy price, Impulse response, Net increase, Oil price, Propagation, Shock, Transmission, Vector autoregression

23.

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Number of pages: 49 Posted: 09 Apr 2003
Sílvia Gonçalves and Lutz Kilian
University of Montreal - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 213 (237,398)

Abstract:

Loading...

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

24.

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

Board of Governors of the Federal Reserve System, Finance and Economics Discussion Series Paper No. 99-4
Number of pages: 37 Posted: 02 Apr 1999
Jeremy Berkowitz, Ionel Birgean and Lutz Kilian
University of Houston - Department of Finance, affiliation not provided to SSRN and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 199 (252,730)
Citation 6

Abstract:

Loading...

25.

Impulse Response Matching Estimators for DSGE Models

Downloads 177 (280,394)
Citation 11

Impulse Response Matching Estimators for DSGE Models

CFS Working Paper No. 498
Number of pages: 56 Posted: 05 Dec 2014
Pablo Guerrón-Quintana, Atsushi Inoue and Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Vanderbilt University - College of Arts and Science - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 130 (362,015)
Citation 1

Abstract:

Loading...

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
Pablo Guerrón-Quintana, Atsushi Inoue and Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Vanderbilt University - College of Arts and Science - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 47 (668,067)

Abstract:

Loading...

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
Pablo Guerrón-Quintana, Atsushi Inoue and Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Vanderbilt University - College of Arts and Science - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0
Citation 6
  • Add to Cart

Abstract:

Loading...

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

26.

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

Downloads 173 (286,066)
Citation 22

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
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 118 (389,459)
Citation 10

Abstract:

Loading...

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

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

International Finance Discussion Paper No. 1114
Number of pages: 41 Posted: 31 May 2017
Lutz Kilian and Robert J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 55 (621,382)
Citation 1

Abstract:

Loading...

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
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 0
Citation 5
  • Add to Cart

Abstract:

Loading...

asymmetry, conditional response, nonlinearity, oil price, real GDP, recession, time variation

27.

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

Downloads 169 (291,797)
Citation 118

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
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 167 (294,832)
Citation 26

Abstract:

Loading...

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
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 2 (1,054,372)
Citation 27
  • Add to Cart

Abstract:

Loading...

Gasoline price, Identification, Impulse responses, News, Oil price

28.

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

Downloads 166 (296,202)
Citation 7

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

CFS Working Paper, No. 606, 2018
Number of pages: 56 Posted: 19 Nov 2018
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 123 (377,500)
Citation 4

Abstract:

Loading...

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
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 31 (781,634)
Citation 2

Abstract:

Loading...

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

FRB of Dallas Working Paper No. 1909
Number of pages: 55 Posted: 22 Oct 2019 Last Revised: 29 Apr 2020
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 12 (960,179)
Citation 2

Abstract:

Loading...

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

CEPR Discussion Paper No. DP12845
Number of pages: 49 Posted: 12 Apr 2018
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0
  • Add to Cart

Abstract:

Loading...

Canada, Housing, oil price, redistribution, regional heterogeneity, resource boom

29.

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

Downloads 163 (300,860)
Citation 47

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

CFS Working Paper, No. 503, 2015
Number of pages: 38 Posted: 27 Feb 2015
John M. Coglianese, Lucas W. Davis, Lutz Kilian and James H. Stock
Board of Governors of the Federal Reserve System, University of California, Berkeley - Haas School of Business, Federal Reserve Banks - Federal Reserve Bank of Dallas and Harvard University - Department of Economics
Downloads 72 (539,494)

Abstract:

Loading...

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

CESifo Working Paper Series No. 5764
Number of pages: 29 Posted: 22 Mar 2016
John M. Coglianese, Lucas W. Davis, Lutz Kilian and James H. Stock
Board of Governors of the Federal Reserve System, University of California, Berkeley - Haas School of Business, Federal Reserve Banks - Federal Reserve Bank of Dallas and Harvard University - Department of Economics
Downloads 68 (557,091)

Abstract:

Loading...

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 Last Revised: 30 Apr 2023
John M. Coglianese, Lucas W. Davis, Lutz Kilian and James H. Stock
Board of Governors of the Federal Reserve System, University of California, Berkeley - Haas School of Business, Federal Reserve Banks - Federal Reserve Bank of Dallas and Harvard University - Department of Economics
Downloads 22 (859,793)
Citation 1

Abstract:

Loading...

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

CEPR Discussion Paper No. DP10430
Number of pages: 37 Posted: 24 Feb 2015
John M. Coglianese, Lucas W. Davis, Lutz Kilian and James H. Stock
Board of Governors of the Federal Reserve System, University of California, Berkeley - Haas School of Business, Federal Reserve Banks - Federal Reserve Bank of Dallas and Harvard University - Department of Economics
Downloads 1 (1,063,377)
Citation 13
  • Add to Cart

Abstract:

Loading...

Anticipation, Forward-looking behavior, Gasoline market, Gasoline tax, IV, Price elasticity of demand

30.

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: 05 Jun 2022
Robert Barsky and Lutz Kilian
Research Department, Federal Reserve Bank of Chicago and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 152 (319,094)
Citation 28

Abstract:

Loading...

31.

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

Downloads 150 (322,605)
Citation 4

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

CFS Working Paper, No. 648, 2020
Number of pages: 34 Posted: 28 Feb 2021
Lutz Kilian, Nikos K. Nomikos and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas, Cass Business School, City University London and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 101 (436,262)
Citation 3

Abstract:

Loading...

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

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

FRB of Dallas Working Paper No. 2015
Number of pages: 32 Posted: 23 May 2020
Lutz Kilian, Nikos K. Nomikos and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas, Cass Business School, City University London and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 31 (781,634)

Abstract:

Loading...

Shipping, VLCC, crude oil, bunker fuel, tanker, voyage, time charter, profits, exports, pass-through entities

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

CESifo Working Paper No. 8332
Number of pages: 33 Posted: 05 Jun 2020
Lutz Kilian, Nikos Nomikos and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas, affiliation not provided to SSRN and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 18 (898,620)
Citation 1

Abstract:

Loading...

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

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

CEPR Discussion Paper No. DP14798
Number of pages: 34 Posted: 28 May 2020
Lutz Kilian, Nikos K. Nomikos and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas, Cass Business School, City University London and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0
  • Add to Cart

Abstract:

Loading...

bunker fuel, crude oil, exports, Pass-Through, profits, shipping, tanker, time charter, VLCC, voyage

32.

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: 17 Aug 2022
Robert Barsky and Lutz Kilian
Research Department, Federal Reserve Bank of Chicago and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 144 (333,267)

Abstract:

Loading...

33.

Nonlinearities in the Oil Price-Output Relationship

Downloads 141 (338,879)
Citation 27

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
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 139 (343,446)
Citation 25

Abstract:

Loading...

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
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 2 (1,054,372)
Citation 1
  • Add to Cart

Abstract:

Loading...

Asymmetry, Nonlinearity, Oil price, Real Output, Uncertainty

34.

Heterogeneity in the Pass-Through from Oil to Gasoline Prices: A New Instrument for Estimating the Price Elasticity of Gasoline Demand

Downloads 125 (376,033)

Heterogeneity in the Pass-Through from Oil to Gasoline Prices: A New Instrument for Estimating the Price Elasticity of Gasoline Demand

FRB of Dallas Working Paper No. 2301
Number of pages: 60 Posted: 21 Jan 2023
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 54 (632,587)

Abstract:

Loading...

price elasticity, gasoline, demand, Pass-through, taxes, identification, instrumental variables, Cross-sectional

Heterogeneity in the Pass-Through from Oil to Gasoline Prices: A New Instrument for Estimating the Price Elasticity of Gasoline Demand

Center for Financial Studies Working Paper No. 685, 2023
Number of pages: 62 Posted: 18 Feb 2023
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 39 (728,198)

Abstract:

Loading...

Price elasticity of gasoline demand, pass-through, gasoline tax, gasoline supply, identification, IV, cross-section.

Heterogeneity in the Pass-Through from Oil to Gasoline Prices: A New Instrument for Estimating the Price Elasticity of Gasoline Demand

CESifo Working Paper No. 10350
Number of pages: 61 Posted: 07 Apr 2023
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 32 (773,556)

Abstract:

Loading...

price elasticity of gasoline demand, pass-through, gasoline tax, gasoline supply, identification, IV, cross-section

35.

Container Trade and the U.S. Recovery

Downloads 123 (376,033)

Container Trade and the U.S. Recovery

Center for Financial Studies Working Paper no. 659, 2021
Number of pages: 47 Posted: 18 Nov 2021
Lutz Kilian, Nikos K. Nomikos and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas, Cass Business School, City University London and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 67 (561,720)
Citation 1

Abstract:

Loading...

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

Container Trade and the U.S. Recovery

CESifo Working Paper No. 9154
Number of pages: 40 Posted: 01 Jul 2021
Lutz Kilian, Nikos K. Nomikos and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas, Cass Business School, City University London and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 40 (713,962)

Abstract:

Loading...

Container Trade and the U.S. Recovery

FRB of Dallas Working Paper No. 2108
Number of pages: 40 Posted: 09 Jul 2021
Lutz Kilian, Nikos K. Nomikos and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas, Cass Business School, City University London and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 16 (918,668)

Abstract:

Loading...

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

Container Trade and the U.S. Recovery

CEPR Discussion Paper No. DP16277
Number of pages: 41 Posted: 14 Jul 2021
Lutz Kilian, Nikos K. Nomikos and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas, Cass Business School, City University London and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0
  • Add to Cart

Abstract:

Loading...

36.

Unit Root Tests are Useful for Selecting Forecasting Models

Downloads 122 (378,348)
Citation 26

Unit Root Tests are Useful for Selecting Forecasting Models

NBER Working Paper No. w6928
Number of pages: 30 Posted: 26 Mar 1999 Last Revised: 08 Dec 2022
Francis X. Diebold and Lutz Kilian
University of Pennsylvania - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 64 (575,803)

Abstract:

Loading...

Unit Root Tests are Useful for Selecting Forecasting Models

NYU Working Paper No. FIN-99-063
Number of pages: 32 Posted: 11 Nov 2008
Francis X. Diebold and Lutz Kilian
University of Pennsylvania - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 58 (605,317)
Citation 4

Abstract:

Loading...

37.

A Broader Perspective on the Inflationary Effects of Energy Price Shocks

Downloads 113 (402,589)

A Broader Perspective on the Inflationary Effects of Energy Price Shocks

Center for Financial Studies Working Paper No. 686, 2023
Number of pages: 30 Posted: 22 Feb 2023
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 79 (514,704)

Abstract:

Loading...

headline, core, oil, gasoline, diesel, jet fuel, natural gas, coal, electricity

A Broader Perspective on the Inflationary Effects of Energy Price Shocks

FRB of Dallas Working Paper No. 2224
Number of pages: 28 Posted: 30 Dec 2022
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 34 (757,807)

Abstract:

Loading...

headline inflation, core inflation, goods, services, oil, gasoline, diesel, natural gas, electricity

38.

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

Downloads 109 (410,555)

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 62 (585,214)

Abstract:

Loading...

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
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 29 (798,176)

Abstract:

Loading...

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 Last Revised: 27 May 2023
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 18 (898,620)

Abstract:

Loading...

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
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 0
  • Add to Cart

Abstract:

Loading...

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

39.

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

Downloads 108 (413,204)
Citation 9

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

CFS Working Paper, No. 647, 2020
Number of pages: 42 Posted: 08 Jan 2021
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 56 (615,996)
Citation 10

Abstract:

Loading...

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

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

CESifo Working Paper No. 7753
Number of pages: 54 Posted: 26 Jul 2019
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 29 (798,176)

Abstract:

Loading...

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

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

FRB of Dallas Working Paper No. 1916
Number of pages: 39 Posted: 13 May 2020
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 22 (859,793)
Citation 2

Abstract:

Loading...

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

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

CEPR Discussion Paper No. DP13849
Number of pages: 55 Posted: 30 Jul 2019
Lutz Kilian and Xiaoqing Zhou
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 1 (1,063,377)
  • Add to Cart

Abstract:

Loading...

counterfactual, crude oil, Expectations, Fiscal policy, oil inventories, Policy intervention, SPR, Storage

40.

The Uniform Validity of Impulse Response Inference in Autoregressions

Downloads 104 (424,430)
Citation 7

The Uniform Validity of Impulse Response Inference in Autoregressions

Number of pages: 42 Posted: 27 Feb 2019
Atsushi Inoue and Lutz Kilian
Vanderbilt University - College of Arts and Science - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 61 (590,092)

Abstract:

Loading...

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

The Uniform Validity of Impulse Response Inference in Autoregressions

FRB of Dallas Working Paper No. 1908
Number of pages: 52 Posted: 22 Oct 2019 Last Revised: 29 Apr 2020
Atsushi Inoue and Lutz Kilian
Vanderbilt University - College of Arts and Science - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 43 (693,487)
Citation 7

Abstract:

Loading...

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

41.

Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings

Downloads 99 (439,208)
Citation 1

Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings

FRB of Dallas Working Paper No. 2223
Number of pages: 22 Posted: 26 Nov 2022
Lutz Kilian, Michael Plante and Alexander W. Richter
Federal Reserve Banks - Federal Reserve Bank of Dallas, Federal Reserve Bank of Dallas and Federal Reserve Bank of Dallas
Downloads 72 (539,494)

Abstract:

Loading...

Cholesky Decomposition, endogeneity, uncertainty, business cycle

Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings

CESifo Working Paper No. 10121
Number of pages: 23 Posted: 08 Dec 2022
Lutz Kilian, Michael Plante and Alexander W. Richter
Federal Reserve Banks - Federal Reserve Bank of Dallas, Federal Reserve Bank of Dallas and Federal Reserve Bank of Dallas
Downloads 15 (928,970)

Abstract:

Loading...

Cholesky decomposition, orthogonalization, simultaneity, endogeneity, uncertainty, business cycle

Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings

Center for Financial Studies Working Paper No. 687, 2023
Number of pages: 24 Posted: 22 Feb 2023
Lutz Kilian, Michael Plante and Alexander W. Richter
Federal Reserve Banks - Federal Reserve Bank of Dallas, Federal Reserve Bank of Dallas and Federal Reserve Bank of Dallas
Downloads 12 (960,179)

Abstract:

Loading...

Cholesky decomposition; orthogonalization; simultaneity; endogeneity; uncertainty; business cycle

42.

Facts and Fiction in Oil Market Modeling

Downloads 95 (451,217)
Citation 2

Facts and Fiction in Oil Market Modeling

FRB of Dallas Working Paper No. 1907
Number of pages: 46 Posted: 22 Oct 2019 Last Revised: 29 Apr 2020
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 33 (765,659)

Abstract:

Loading...

Elasticity, structural VAR, Bayesian inference, oil price, global real activity, oil inventories

Facts and Fiction in Oil Market Modeling

Center for Financial Studies Working Paper No. 661, 2021
Number of pages: 49 Posted: 03 Feb 2022
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 32 (773,556)

Abstract:

Loading...

Elasticity, structural VAR, Bayesian inference, oil price, global real activity, oil inventories

Facts and Fiction in Oil Market Modeling

CESifo Working Paper No. 7902
Number of pages: 46 Posted: 31 Oct 2019
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 30 (789,896)

Abstract:

Loading...

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

Facts and Fiction in Oil Market Modeling

CEPR Discussion Paper No. DP14047
Number of pages: 47 Posted: 17 Oct 2019
Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0
Citation 2
  • Add to Cart

Abstract:

Loading...

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

43.

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

Downloads 88 (473,606)
Citation 44

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
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 87 (481,266)
Citation 2

Abstract:

Loading...

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
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 1 (1,063,377)
Citation 29
  • Add to Cart

Abstract:

Loading...

Commodity market, Global business cycle, log transformation, Oil, shipping

44.

Modeling Fluctuations in the Global Demand for Commodities

Downloads 87 (476,847)
Citation 65

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
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 87 (481,266)
Citation 60

Abstract:

Loading...

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
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0
Citation 8
  • Add to Cart

Abstract:

Loading...

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

45.

Impulse Response Analysis for Structural Dynamic Models with Nonlinear Regressors

FRB of Dallas Working Paper No. 2019
Number of pages: 42 Posted: 01 Jul 2020
Sílvia Gonçalves, Ana Maria Herrera, Lutz Kilian and Elena Pesavento
University of Montreal - Department of Economics, University of Kentucky - Gatton College of Business and Economics, Federal Reserve Banks - Federal Reserve Bank of Dallas and Emory University - Department of Economics
Downloads 81 (497,947)

Abstract:

Loading...

local projections, structural models, censored regressor, nonlinear transformation, nonlinear responses, Monte Carlo integration

46.

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

Downloads 78 (508,963)
Citation 2

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

Center for Financial Studies Working Paper No. 660, 2021
Number of pages: 56 Posted: 31 Jan 2022
Atsushi Inoue and Lutz Kilian
Vanderbilt University - College of Arts and Science - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 53 (632,587)
Citation 4

Abstract:

Loading...

Prior, posterior, impulse response, loss function, joint inference, absolute loss, median.

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

FRB of Dallas Working Paper No. 2030
Number of pages: 54 Posted: 07 Dec 2020
Atsushi Inoue and Lutz Kilian
Vanderbilt University - College of Arts and Science - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 25 (832,310)

Abstract:

Loading...

Prior, posterior, impulse responses, loss function, joint inference, absolute loss, median

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

CEPR Discussion Paper No. DP15545
Number of pages: 56 Posted: 23 Dec 2020
Atsushi Inoue and Lutz Kilian
Vanderbilt University - College of Arts and Science - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0
Citation 1
  • Add to Cart

Abstract:

Loading...

47.

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

Downloads 78 (508,963)
Citation 18

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 Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 78 (514,704)
Citation 22

Abstract:

Loading...

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 Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0
  • Add to Cart

Abstract:

Loading...

oil loans, oil price decline, reallocation, shale oil, Stimulus, uncertainty

48.

Estimating the Effect of a Gasoline Tax on Carbon Emissions

Downloads 78 (508,963)
Citation 60

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: 18 Aug 2022
Lucas W. Davis and Lutz Kilian
University of California, Berkeley - Haas School of Business and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 74 (531,056)
Citation 9

Abstract:

Loading...

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 Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 4 (1,037,522)
Citation 4
  • Add to Cart

Abstract:

Loading...

carbon tax, elasticity, gasoline consumption, gasoline tax, global warming, price endogeneity

49.

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
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 75 (520,517)
Citation 298
  • Add to Cart

Abstract:

Loading...

Causality, oil demand, oil price shocks, oil supply

50.

Joint Bayesian Inference About Impulse Responses in VAR Models

FRB of Dallas Working Paper No. 2022
Number of pages: 49 Posted: 23 Jul 2020
Atsushi Inoue and Lutz Kilian
Vanderbilt University - College of Arts and Science - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 74 (524,567)
Citation 1

Abstract:

Loading...

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

51.

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

Downloads 58 (594,962)
Citation 2

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
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 57 (610,635)
Citation 2

Abstract:

Loading...

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
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 (1,063,377)
  • Add to Cart

Abstract:

Loading...

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

52.

State-Dependent Local Projections

FRB of Dallas Working Paper No. 2302
Number of pages: 66 Posted: 05 May 2023
Sílvia Gonçalves, Ana Maria Herrera, Lutz Kilian and Elena Pesavento
University of Montreal - Department of Economics, University of Kentucky - Gatton College of Business and Economics, Federal Reserve Banks - Federal Reserve Bank of Dallas and Emory University - Department of Economics
Downloads 56 (610,044)

Abstract:

Loading...

local projections, business cycle, state-dependence, impulse response, multiplier, nonlinear structural model, potential outcomes model

53.

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
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of Atlanta
Downloads 56 (605,027)
Citation 12

Abstract:

Loading...

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

54.

Joint Bayesian Inference about Impulse Responses in VAR Models

CFS Working Paper, No. 650, 2020
Number of pages: 55 Posted: 28 Feb 2021
Atsushi Inoue and Lutz Kilian
Vanderbilt University - College of Arts and Science - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 55 (610,044)
Citation 13

Abstract:

Loading...

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

55.

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

Downloads 55 (610,044)

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
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 55 (621,382)
Citation 3

Abstract:

Loading...

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
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 0
  • Add to Cart

Abstract:

Loading...

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

56.

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: 27 Aug 2021
Pablo Guerrón-Quintana, Atsushi Inoue and Lutz Kilian
Boston College - Department of Economics, Vanderbilt University - College of Arts and Science - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 52 (625,838)

Abstract:

Loading...

Stochastic analysis, Macroeconomics - Econometric models

57.

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
Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 48 (647,970)
Citation 42
  • Add to Cart

Abstract:

Loading...

Counterfactual, economic activity, exogeneity, inflation, oil shock, oil supply, war, weak instruments

58.

Measuring Predictability: Theory and Macroeconomic Applications

NBER Working Paper No. t0213
Number of pages: 51 Posted: 24 Jul 2000 Last Revised: 01 Feb 2023
Francis X. Diebold and Lutz Kilian
University of Pennsylvania - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 45 (665,365)

Abstract:

Loading...

59.

When Do State-Dependent Local Projections Work?

Downloads 41 (689,953)
Citation 1

When Do State-Dependent Local Projections Work?

FRB of Dallas Working Paper No. 2205
Number of pages: 40 Posted: 12 May 2022 Last Revised: 30 Jun 2022
Sílvia Gonçalves, Ana Maria Herrera, Lutz Kilian and Elena Pesavento
University of Montreal - Department of Economics, University of Kentucky - Gatton College of Business and Economics, Federal Reserve Banks - Federal Reserve Bank of Dallas and Emory University - Department of Economics
Downloads 40 (713,962)

Abstract:

Loading...

local projections, state-dependent impulse responses, threshold, identification, nonlinear VAR

When Do State-Dependent Local Projections Work?

CEPR Discussion Paper No. DP17265
Number of pages: 41 Posted: 27 May 2022
Sílvia Gonçalves, Ana Maria Herrera, Lutz Kilian and Elena Pesavento
University of Montreal - Department of Economics, University of Kentucky - Gatton College of Business and Economics, Federal Reserve Banks - Federal Reserve Bank of Dallas and Emory University - Department of Economics
Downloads 1 (1,063,377)
Citation 1
  • Add to Cart

Abstract:

Loading...

identification, Local projection, nonlinear VAR, state-dependent impulse responses, threshold

60.

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
Federal Reserve Banks - Federal Reserve Bank of Dallas and Independent
Downloads 37 (716,414)
Citation 34

Abstract:

Loading...

wild bootstrap, pairwise bootstrap, robust inference

61.

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 Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 37 (716,414)
Citation 6

Abstract:

Loading...

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

62.

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 Last Revised: 03 Nov 2022