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Structural Interpretation of Vector Autoregressions with Incomplete Information: Revisiting the Role of Oil Supply and Demand Shocks: Comment. (2018). Kilian, Lutz ; Zhou, Xiaoqing.
In: CEPR Discussion Papers.
RePEc:cpr:ceprdp:13068.

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Cited: 9

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Cites: 22

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  1. A simple model of global fuel consumption. (2024). Ellwanger, Reinhard ; Bilgin, Doga.
    In: Energy Economics.
    RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988323007521.

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  2. Oil price shocks and China’s consumer and entrepreneur sentiment: a Bayesian structural VAR approach. (2023). Ouyang, Yaofu ; Li, Peng.
    In: Empirical Economics.
    RePEc:spr:empeco:v:65:y:2023:i:5:d:10.1007_s00181-023-02413-x.

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  3. On the identification of the oil-stock market relationship. (2023). Panagiotidis, Theodore ; Arampatzidis, Ioannis.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003947.

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  4. On the identification of the oil-stock market relationship. (2022). Panagiotidis, Theodore ; Arampatzidis, Ioannis.
    In: Working Paper series.
    RePEc:rim:rimwps:22-15.

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  5. Heterogeneous dependence between crude oil price volatility and China’s agriculture commodity futures: Evidence from quantile-on-quantile regression. (2020). Ma, Xiang ; Huang, Rui ; Zhu, Huiming ; Hau, Liya.
    In: Energy.
    RePEc:eee:energy:v:213:y:2020:i:c:s0360544220318880.

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  6. Oil prices, exchange rates, and interest rates. (2019). Kilian, Lutz ; Zhou, Xiaoqing.
    In: 2019 Meeting Papers.
    RePEc:red:sed019:592.

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  7. Much ado about nothing? The shale oil revolution and the global supply curve. (2019). Stracca, Livio ; Foroni, Claudia.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20192309.

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  8. Oil Prices, Exchange Rates and Interest Rates. (2019). Zhou, Xiaoqing ; Kilian, Lutz.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_7484.

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References

References cited by this document

  1. Alquist, R., Kilian, L., and R.J. Vigfusson (2013), “Forecasting the Price of Oil,” in: G. Elliott and A. Timmermann (eds.), Handbook of Economic Forecasting, 2, Amsterdam: NorthHolland, 2013, 427-507.

  2. Baumeister, C., and J.D. Hamilton (2017), “Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Demand and Supply Shocks,” manuscript, University of California at San Diego.

  3. Bjørnland, H.C, Nordvik, F.M., and M. Rohrer (2017), “Supply Flexibility in the Shale Patch: Evidence from North Dakota,” manuscript, Norwegian Business School.

  4. Bornstein, G., Krusell, P., and S. Rebelo (2017), “Lags, Costs, and Shocks: An Equilibrium Model of the Oil Industry,” manuscript, Institute for International Economic Studies.

  5. Coglianese, J., Davis, L.W., Kilian, L., and J.H. Stock. (2017), “Anticipation, Tax Avoidance, and the Price Elasticity of Gasoline Demand,” Journal of Applied Econometrics, 32, 115.

  6. Fry, R., and A.R. Pagan (2011), “Sign Restrictions in Structural Vector Autoregressions: A Critical Review,” Journal of Economic Literature, 49, 938-960.

  7. Hamilton, J.D. (2003), “What Is an Oil Shock?” Journal of Econometrics, 113, 363-398.

  8. Hamilton, J.D. (2011), “Nonlinearities and the Macroeconomic Effects of Oil Prices,” Macroeconomic Dynamics, 15, 364-378.

  9. Herrera, A.M., and S.K. Rangaraju (2018), “The Effect of Oil Supply Shocks on U.S. Economic Activity: What Have We Learned?”, manuscript, University of Kentucky.
    Paper not yet in RePEc: Add citation now

  10. Inoue, A. and L. Kilian (2018), “Corrigendum to ‘Inference on impulse response functions in structural VAR models’ [J. Econometrics 177 (2013), 1-13],” (with A. Inoue), forthcoming: Journal of Econometrics.

  11. Inoue, A., and L. Kilian (2013), “Inference on Impulse Response Functions in Structural VAR Models,” Journal of Econometrics, 177, 1-13.

  12. Kilian, L. (2008a), “The Economic Effects of Energy Price Shocks,” Journal of Economic Literature, 46, 871-909.

  13. Kilian, L. (2008b), “Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?” Review of Economics and Statistics, 90, 216240.

  14. Kilian, L. (2009), “Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market”, American Economic Review, 99, 1053-1069.

  15. Kilian, L. (2017), “The Impact of the Fracking Boom on Arab Oil Producers,” Energy Journal, 38(6), 137-160.

  16. Kilian, L., and D.P. Murphy (2012), “Why Agnostic Sign Restrictions Are Not Enough: Understanding the Dynamics of Oil Market VAR Models,” Journal of the European Economic Association, 10, 1166-1188.

  17. Kilian, L., and D.P. Murphy (2014), “The Role of Inventories and Speculative Trading in the Global Market for Crude Oil,” Journal of Applied Econometrics, 29, 454-478. 29, 454-478.

  18. Kilian, L., and T.K. Lee (2014), “Quantifying the Speculative Component in the Real Price of Oil: The Role of Global Oil Inventories,” Journal of International Money and Finance, 42, 71-87 Kilian, L., and H. Lütkepohl (2017), Structural Vector Autoregressive Analysis, Cambridge: Cambridge University Press.

  19. Kilian, L., and T.K. Lee (2014), “Quantifying the Speculative Component in the Real Price of Oil: The Role of Global Oil Inventories,” Journal of International Money and Finance, 42, 71-87.

  20. Kilian, L., and X. Zhou (2018), “Modeling Fluctuations in the Global Demand for Commodities,” forthcoming: Journal of International Money and Finance.

  21. Newell, R., Prest, B., and A. Vissing (2016), “Trophy Hunting vs. Manufacturing Energy: The Price Responsiveness of Shale Gas,” manuscript, Resources for the Future.

  22. Sims, C.A., and T. Zha (1998), “Bayesian Methods for Dynamic Multivariate Models,” International Economic Review, 39, 949-968.

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