Christiane Baumeister

University of Notre Dame

722 Flanner Hall

Notre Dame, IN 46556

United States

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

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

Centre for Economic Policy Research (CEPR)

London

United Kingdom

SCHOLARLY PAPERS

25

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231

Scholarly Papers (25)

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 2,873 (3,772)
Citation 27

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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 497 (54,369)
Citation 26

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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 (649,306)
Citation 5
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Oil demand, Oil price declines, Oil supply, OPEC, Shale oil

2.

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

ECB Working Paper No. 1258
Number of pages: 52 Posted: 22 Oct 2010
Christiane Baumeister and Luca Benati
University of Notre Dame and European Central Bank (ECB)
Downloads 992 (21,535)
Citation 86

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

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

CFS Working Paper, No. 525
Number of pages: 40 Posted: 13 Jan 2016 Last Revised: 04 Jan 2018
Christiane Baumeister and Lutz Kilian
University of Notre Dame and University of Michigan at Ann Arbor - Department of Economics
Downloads 474 (57,809)
Citation 9

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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 101 (261,720)

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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 (675,099)
Citation 39
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Oil market, Oil price expectations, Oil price shock, Peak oil, Unconventional oil

4.

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

Number of pages: 48 Posted: 19 Feb 2008 Last Revised: 07 Sep 2008
Christiane Baumeister and Gert Peersman
University of Notre Dame and Ghent University-Universiteit Gent - Department of Financial Economics
Downloads 386 (74,841)
Citation 85

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Oil prices, vector autoregressions, time-varying coefficients

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

CFS Working Paper, No. 466
Number of pages: 58 Posted: 23 Sep 2014
Christiane Baumeister and Lutz Kilian
University of Notre Dame and University of Michigan at Ann Arbor - Department of Economics
Downloads 232 (129,576)
Citation 23

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

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

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 94 (274,508)

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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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Citation 2
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Forecast, Futures, Market expectation, Model uncertainty, Oil price, Risk premium

6.

Sources of the Volatility Puzzle in the Crude Oil Market

Number of pages: 42 Posted: 10 Sep 2009 Last Revised: 16 Dec 2009
Christiane Baumeister and Gert Peersman
University of Notre Dame and Ghent University-Universiteit Gent - Department of Financial Economics
Downloads 296 (100,929)
Citation 18

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Oil prices, volatility, time variation, price elasticities

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

CFS Working Paper No. 500
Number of pages: 46 Posted: 17 Jan 2015
Christiane Baumeister, Lutz Kilian and Thomas K Lee
University of Notre Dame, University of Michigan at Ann Arbor - Department of Economics and Energy Information Administration - US DOE
Downloads 171 (172,811)
Citation 5

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

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

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, University of Michigan at Ann Arbor - Department of Economics and Energy Information Administration - US DOE
Downloads 27 (489,479)

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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
Christiane Baumeister, Lutz Kilian and Thomas K Lee
University of Notre Dame, University of Michigan at Ann Arbor - Department of Economics and Energy Information Administration - US DOE
Downloads 0
Citation 6
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Brent, Expert forecasts, Forecast combination, Oil market, Real-time data, Retail gasoline price, Survey expectations, WTI

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

Number of pages: 48 Posted: 27 Oct 2008
Christiane Baumeister, Eveline John Durinck and Gert Peersman
University of Notre Dame, affiliation not provided to SSRN and Ghent University-Universiteit Gent - Department of Financial Economics
Downloads 97 (268,947)
Citation 65

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Liquidity, asset prices, inflation, time-varying coefficients

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

National Bank of Belgium Working Paper No. 142
Number of pages: 55 Posted: 02 Oct 2010
Christiane Baumeister, Eveline John Durinck and Gert Peersman
University of Notre Dame, affiliation not provided to SSRN and Ghent University-Universiteit Gent - Department of Financial Economics
Downloads 82 (299,546)
Citation 59

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Liquidity, asset prices, inflation, time-varying coefficients

9.

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

Bank of England Working Paper No. 401
Number of pages: 51 Posted: 01 Nov 2010
Christiane Baumeister, Philip Liu and Haroon Mumtaz
University of Notre Dame, International Monetary Fund (IMF) and University of London - School of Sciences
Downloads 138 (206,439)
Citation 17

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FAVAR, Time-Varying Parameters, Monetary Transmission

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 57 (366,392)
Citation 18

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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
Christiane Baumeister, Reinhard Ellwanger and Lutz Kilian
University of Notre Dame, Government of Canada - Bank of Canada and University of Michigan at Ann Arbor - Department of Economics
Downloads 36 (444,865)

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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
Christiane Baumeister, Reinhard Ellwanger and Lutz Kilian
University of Notre Dame, Government of Canada - Bank of Canada and University of Michigan at Ann Arbor - Department of Economics
Downloads 14 (571,309)

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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
Christiane Baumeister, Reinhard Ellwanger and Lutz Kilian
University of Notre Dame, Government of Canada - Bank of Canada and University of Michigan at Ann Arbor - Department of Economics
Downloads 4 (640,525)

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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
Christiane Baumeister, Reinhard Ellwanger and Lutz Kilian
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

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, University of Michigan at Ann Arbor - Department of Economics and Bank of Canada
Downloads 39 (431,799)

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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
Christiane Baumeister, Lutz Kilian and Xiaoqing Zhou
University of Notre Dame, University of Michigan at Ann Arbor - Department of Economics and Bank of Canada
Downloads 1 (675,099)
Citation 1
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discretionary income effect, expenditure share, gasoline, net oil imports, oil price decline, Stimulus

13.

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

CESifo Working Paper Series No. 6835
Number of pages: 52 Posted: 27 Feb 2018
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 23 (497,604)

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

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

CESifo Working Paper Series No. 7048
Number of pages: 54 Posted: 18 Jul 2018
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 13 (577,854)

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

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

NBER Working Paper No. w24597
Number of pages: 53 Posted: 14 May 2018
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 5 (632,953)
Citation 1
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Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-Evaluating the Role of Monetary Policy in Economic Fluctuations

CEPR Discussion Paper No. DP12911
Number of pages: 55 Posted: 24 May 2018
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 0
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historical decompositions, impulse-response functions, informative priors, Model uncertainty, monetary policy, set identification, structural vector autoregressions

15.

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

Bank of Finland Research Discussion Paper No. 14/2018
Number of pages: 55 Posted: 20 Jun 2018 Last Revised: 22 Jun 2018
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 13 (555,545)

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

16.

Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information

NBER Working Paper No. w20741
Number of pages: 62 Posted: 15 Dec 2014
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 6 (598,975)
Citation 44

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17.

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 (598,975)
Citation 26
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Forecast, Oil price, Predictive density, Real time, Risk, Scenario analysis, VAR

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

NBER Working Paper No. w24167
Number of pages: 54 Posted: 03 Jan 2018
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 5 (632,953)
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Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks

CEPR Discussion Paper No. DP12532
Number of pages: 53 Posted: 02 Jan 2018
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 0
Citation 7
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Bayesian inference, Measurement error, oil prices, sign restrictions, vector autoregressions

19.

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
Downloads 4 (612,359)
Citation 42
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Forecast, Oil price, Real time, Scenario analysis

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
Downloads 1 (675,099)
Citation 23
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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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21.

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

CEPR Discussion Paper No. DP10075
Number of pages: 30 Posted: 25 Sep 2014
Christiane Baumeister, Lutz Kilian and Thomas K Lee
University of Notre Dame, University of Michigan at Ann Arbor - Department of Economics and Energy Information Administration - US DOE
Downloads 0 (661,060)
Citation 9
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forecast combination, forecast pooling, oil price, real-time data, refiners' acquisition cost, WTI

22.

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
Christiane Baumeister, Pierre Guérin and Lutz Kilian
University of Notre Dame, Government of Canada - Bank of Canada and University of Michigan at Ann Arbor - Department of Economics
Downloads 0 (661,060)
Citation 9
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Forecasts, Mixed frequency, Oil price, Real-time data

23.
Downloads 0 (661,060)
Citation 6

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
Downloads 0
Citation 19
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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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24.

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
Christiane Baumeister, Lutz Kilian and Xiaoqing Zhou
University of Notre Dame, University of Michigan at Ann Arbor - Department of Economics and Bank of Canada
Downloads 0 (661,060)
Citation 5
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acquisition cost, crack spread, forecast accuracy, futures, oil price, real-time data, refined products, WTI

25.

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