Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

, 1988, A neoclassical model of unemployment and the business cycle, Journal of Political Economy 96, 593â617.

, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3â56.

, 1994, Automatic lag selection in covariance matrix estimation, The Review of Economic Studies 61, pp. 631â653.

, 1996, This is what happened to the oil price-macroeconomy relationship, Journal of Monetary Economics 38, 215 â 220.

, 2003, What is an oil shock?, Journal of Econometrics 113, 363â398.

, 2008, The dog that did not bark: A defense of return predictability, Review of Financial Studies 21, 1533â1575.

, 2009, Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market, American Economic Review 99, 1053â1069.

, and Ana Maria Herrera, 2004, Comment: Oil shocks and aggregate macroeconomic behavior: The role of monetary policy, Journal of Money, Credit and Banking 36, 265â286.

, and Cheolbeom Park, 2009, The impact of oil price shocks on the u.s. stock market*, International Economic Review 50, 1267â1287.

, and Marcelo Sanchez, 2005, Oil price shocks and real gdp growth: Empirical evidence for some oecd countries, Applied Economics 37, 201â228.

, and Ronald A. Ratti, 1995, Oil shocks and the macroeconomy: The role of price variability, Energy Journal 16, 39â56.

, and Samuel B. Thompson, 2008, Predicting excess stock returns out of sample: Can anything beat the historical average?, Review of Financial Studies 21, 1509â1531.

, Mark Gertler, and Mark W. Watson, 1997, Systematic monetary policy and the eïects of oil price shocks, Brookings Papers on Economic Activity 1997, 91â157.

Ang, Andrew, and Geert Bekaert, 2007, Stock return predictability: Is it there?, Review of Financial Studies 20, 651â707.

Apergis, Nicholas, and Stephen M. Miller, 2009, Do structural oil-market shocks aïect stock prices?, Energy Economics 31, 569 â 575.

Bachmeier, Lance, 2008, Monetary policy and the transmission of oil shocks, Journal of Macroeconomics 30, 1738 â 1755.

Balke, Nathan S., Stephen P.A. Brown, and Mine K. Yucel, 2002, Oil price shocks and the u.s. economy: Where does the asymmetry originate?, Energy Joumal 23, 27â52.

Berkowitz, Jeremy, and Lutz Kilian, 2000, Recent developments in bootstrapping time series, Econometric Reviews 19, 1â48.

Bernanke, Ben S., 1983, Irreversibility, uncertainty, and cyclical investment, The Quarterly Journal of Economics 98, pp. 85â106.

Boudoukh, Jacob, Matthew Richardson, and Robert F. Whitelaw, 2008, The myth of long-horizon predictability, Review of Financial Studies 21, 1577â1605.

Breeden, Douglas T., and Robert H. Litzenberger, 1978, Prices of state-contingent claims implicit in option prices, Journal of Business 51, 621â651.

Campbell, John Y., 1987, Stock returns and the term structure, Journal of Financial Economics 18, 373 â 399.

Carruth, Alan A., Mark A. Hooker, and Andrew J. Oswald, 1998, Unemployment equilibria and input prices: Theory and evidence from the united states, Review of Economics and Statistics 80, 621â628.

Clark, Todd E., and Michael W. McCracken, 2001, Tests of equal forecast accuracy and encompassing for nested models, Journal of Econometrics 105, 85 â 110.

Cochrane, John H., 1996, A cross-sectional test of an investment-based asset pricing model, Journal of Political Economy 104, 572â621.

Cologni, Alessandro, and Matteo Manera, 2008, Oil prices, inïation and interest rates in a structural cointegrated var model for the g-7 countries, Energy Economics 30, 856 â 888.

Cooper, Ilan, and Richard Priestley, 2009, Time-varying risk premiums and the output gap, Review of Financial Studies 22, 2801â2833.

Davis, Steven J., and John Haltiwanger, 2001, Sectoral job creation and destruction responses to oil price changes, Journal of Monetary Economics 48, 465 â 512.

Dhawan, Rajeev, and Karsten Jeske, 2008, Energy price shocks and the macroeconomy: The role of consumer durables, Journal of Money, Credit and Banking 40, 1357â1377.

Diebold, Francis X., and Roberto S. Mariano, 1995, Comparing predictive accuracy, Journal of Business & Economic Statistics 13, pp. 253â263.

Driesprong, Gerben, Ben Jacobsen, and Benjamin Maat, 2008, Striking oil: Another puzzle?, Journal of Financial Economics 89, 307 â 327.

Fama, Eugene F., and Kenneth R. French, 1987, Commodity futures prices: Some evidence on forecast power, premiums, and the theory of storage, Journal of Business 60, 55â73.

Ferderer, J. Peter, 1996, Oil price volatility and the macroeconomy, Journal of Macroeconomics 18, 1â26.

Finn, Mary G., 2000, Perfect competition and the eïects of energy price increases on economic activity, Journal of Money, Credit and Banking 32, 400â416.

Gisser, Micha, and Thomas H. Goodwin, 1986, Crude oil and the macroeconomy: Tests of some popular notions: Note, Journal of Money, Credit and Banking 18, pp. 95â103.

Gronwald, Marc, 2008, Large oil shocks and the us economy: Infrequent incidents with large eïects, Energy Journal 29, 151â171.

Hamilton, James D., 1983, Oil and the macroeconomy since World War II, Journal of Political Economy 91, 228â248.

Harvey, David I., Stephen J. Leybourne, and Paul Newbold, 1998, Tests for forecast encompassing, Journal of Business & Economic Statistics 16, pp. 254â259.

Hooker, Mark A., 1996, What happened to the oil price-macroeconomy relationship?, Journal of Monetary Economics 38, 195 â 213.

Huang, Roger D., Ronald W. Masulis, and Hans R. Stoll, 1996, Energy shocks and ïnancial markets, Journal of Futures Markets 16, 1â27.

Huntington, Hillard G., 2007, Oil shocks and real u.s. income, Energy Joumal 28, 31â46.

Inoue, Atsushi, and Lutz Kilian, 2005, In-sample or out-of-sample tests of predictability: Which one should we use?, Econometric Reviews 23, 371â402.

Jimenez-Rodriguez, Rebeca, 2008, The impact of oil price shocks: Evidence from the industries of six oecd countries, Energy Economics 30, 3095 â 3108 Technological Change and the Environment.

Jones, Charles M., and Gautam Kaul, 1996, Oil and the stock markets, Journal of Finance 51, 463â491.

Kilian, Lutz, 1998, Small-sample conïdence intervals for impulse response functions, The Review of Economics and Statistics 80, pp. 218â230.

Kliesen, Kevin L., 2008, Oil and the u.s. macroeconomy: An update and a simple forecasting exercise, Federal Reserve Bank of St. Louis Review 90, 505â516.

Kumar, Manmohan S., 1992, The forecasting accuracy of crude oil futures prices, Staï Papers -International Monetary Fund 39, pp. 432â461.

Leduc, Sylvain, and Keith Sill, 2004, A quantitative analysis of oil-price shocks, systematic monetary policy, and economic downturns, Journal of Monetary Economics 51, 781â808.

Lee, Kiseok, and Shawn Ni, 2002, On the dynamic eïects of oil price shocks: A study using industry level data, Journal of Monetary Economics 49, 823â852.

Lettau, Martin, and Sydney C. Ludvigson, 2001a, Consumption, aggregate wealth, and expected stock returns, Journal of Finance 56, 815â849.

Lewellen, Jonathan, Stefan Nagel, and Jay Shanken, 2010, A skeptical appraisal of asset pricing tests, Journal of Financial Economics 96, 175 â 194.

Lilien, David M., 1982, Sectoral shifts and cyclical unemployment, Journal of Political Economy 90, pp. 777â793.

Ludvigson, Sydney C., and Serena Ng, 2007, The empirical risk-return relation: A factor analysis approach, Journal of Financial Economics 83, 171â222.

Lustig, Hanno N., and Stijn G. Van Nieuwerburgh, 2005, Housing collateral, consumption insurance, and risk premia: An empirical perspective., Journal of Finance 60, 1167â1219.

McCracken, Michael W., 2007, Asymptotics for out of sample tests of granger causality, Journal of Econometrics 140, 719 â 752.

Mork, Knut Anton, 1989, Oil and the macroeconomy when prices go up and down: An extension of hamiltonâs results, Journal of Political Economy 97, 740â744.

Nagel, Stefan, and Kenneth J. Singleton, 2011, Estimation and evaluation of conditional asset pricing models, The Journal of Finance 66, 873â909.

Nandha, Mohan, and Robert Faï, 2008, Does oil move equity prices? a global view, Energy Economics 30, 986â997.

Newey, Whitney K., and Kenneth D. West, 1987, A simple, positive semi-deïnite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica 55, pp. 703â708.

Park, Jungwook, and Ronald A. Ratti, 2008, Oil price shocks and stock markets in the u.s. and 13 european countries, Energy Economics 30, 2587 â 2608.

Sadorsky, Perry, 1999, Oil price shocks and stock market activity, Energy Economics 21, 449â469.

Santos, Tano, and Pietro Veronesi, 2006, Labor income and predictable stock returns, Review of Financial Studies 19, 1â44.

Sharpe, William F., 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance 19, 425â442.

Sims, Christopher A., 1980, Macroeconomics and reality, Econometrica 48, pp. 1â48.

Stambaugh, Robert F., 1999, Predictive regressions, Journal of Financial Economics 54, 375â421.

Switzer, Lorne N., and Mario El-Khoury, 2007, Extreme volatility, speculative eïciency, and the hedging eïectiveness of the oil futures markets, Journal of Futures Markets 27, 61â84.

Valkanov, Rossen, 2003, Long-horizon regressions: Theoretical results and applications, Journal of Financial Economics 68, 201â232.

Wei, Chao, 2003, Energy, the stock market, and the putty-clay investment model, American Economic Review 93, 311â323.

Welch, Ivo, and Amit Goyal, 2008, A comprehensive look at the empirical performance of equity premium prediction, Review of Financial Studies 21, 1455â1508.

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper

Full description at Econpapers || Download paper