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Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market Author info | Abstract | Publisher info | Download info | Related research | Statistics Lutz Kilian
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Shocks to the real price of oil may reflect oil supply shocks, shocks to the global demand for all industrial commodities, or demand shocks that are specific to the crude oil market. Each shock has different effects on the real price of oil and on US macroeconomic aggregates. Changes in the composition of shocks help explain why regressions of macroeconomic aggregates on oil prices tend to be unstable. Evidence that the recent surge in oil prices was driven primarily by global demand shocks helps explain why this shock so far has failed to cause a major recession in the United States. (JEL E31, E32, Q41, Q43)
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Article provided by American Economic Association in its journal American Economic Review .
Volume (Year): 99 (2009)
Issue (Month): 3 (June)
Pages: 1053-69
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Handle: RePEc:aea:aecrev:v:99:y:2009:i:3:p:1053-69Contact details of provider: Email: Web page: http://www.aeaweb.org/aer/ More information through EDIRC
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References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: den Haan, Wouter J. & Sumner, Steven W., 2004.
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[Downloadable!] (restricted)
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Journal of Econometrics ,
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Other versions:
GONÇALVES, Silvia & KILIAN, Lutz, 2003.
"Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form ,"
Cahiers de recherche
2003-01, Universite de Montreal, Departement de sciences economiques.
[Downloadable!] Lutz Kilian & Silvia Goncalves, 2002.
"Bootstrapping autoregressions with conditional heteroskedasticity of unknown form ,"
Working Paper Series
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"Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form ,"
Cahiers de recherche
01-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
[Downloadable!] Kilian, Lutz & Gonçalves, Sílvia, 2002.
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Lutz Kilian, 2008.
"Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy? ,"
The Review of Economics and Statistics ,
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[Downloadable!] (restricted)
Other versions: den Haan, Wouter J., 2000.
"The comovement between output and prices ,"
Journal of Monetary Economics ,
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Journal of Econometrics ,
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references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Alquist, Ron & Kilian, Lutz, 2007.
"What Do We Learn from the Price of Crude Oil Futures? ,"
CEPR Discussion Papers
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Pablo Pincheira & Álvaro García, 2007.
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Working Papers Central Bank of Chile
413, Central Bank of Chile.
[Downloadable!]
Other versions: Elisaveta Archanskaïa & Jerome Creel & Paul Hubert, 2009.
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Documents de Travail de l'OFCE
2009-02, Observatoire Francais des Conjonctures Economiques (OFCE).
[Downloadable!]
Paul Edelstein & Lutz Kilian, 2007.
"The Response of Business Fixed Investment to Changes in Energy Prices: A Test of Some Hypotheses about the Transmission of Energy Price Shocks ,"
The B.E. Journal of Macroeconomics ,
Berkeley Electronic Press, vol. 7(1).
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"The Macroeconomic Effects of Oil Price Shocks: Why are the 2000s so different from the 1970s? ,"
Economics Working Papers
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Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium
08/515, Ghent University, Faculty of Economics and Business Administration.
[Downloadable!]
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Globalization and Monetary Policy Institute Working Paper
20, Federal Reserve Bank of Dallas.
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Massimiliano Serati & Gianni Amisano, 2008.
"Building composite leading indexes in a dynamic factor model framework: a new proposal ,"
LIUC Papers in Economics
212, Cattaneo University (LIUC).
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Kevin L. Kliesen, 2008.
"Oil and the U.S. macroeconomy: an update and a simple forecasting exercise ,"
Working Papers
2008-009, Federal Reserve Bank of St. Louis.
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Other versions: Jose De Gregorio. & Oscar Landerretche. & Christopher Neilson., 2007.
"Another Pass-Through Bites the Dust? Oil Prices and Inflation ,"
Working Papers Central Bank of Chile
417, Central Bank of Chile.
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Alessio Anzuini & Patrizio Pagano & Massimiliano Pisani, 2007.
"Oil supply news in a VAR: Information from financial markets ,"
Temi di discussione (Economic working papers)
632, Bank of Italy, Economic Research Department.
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Torsten Schmidt & Tobias Zimmermann, 2007.
"Why are the Effects of Recent Oil Price Shocks so Small? ,"
Ruhr Economic Papers
0029, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
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Alessia Campolmi, 2008.
"Oil price shocks: Demand vs Supply in a two-country model ,"
MNB Working Papers
2008/5, Magyar Nemzeti Bank (The Central Bank of Hungary).
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"Retail Energy Prices and Consumer Expenditures ,"
CEPR Discussion Papers
6255, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
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