Advanced Search
MyIDEAS: Login to follow this author

Lutz Kilian

Contents:

This is information that was supplied by Lutz Kilian in registering through RePEc. If you are Lutz Kilian , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Lutz
Middle Name:
Last Name: Kilian
Suffix:

RePEc Short-ID: pki110

Email:
Homepage: http://www-personal.umich.edu/~lkilian/
Postal Address:
Phone:

Affiliation

Economics Department
University of Michigan
Location: Ann Arbor, Michigan (United States)
Homepage: http://www.econ.lsa.umich.edu/
Email:
Phone: (734) 764-2355
Fax: (734) 764-2769
Postal: 611 S. Tappan Street, Ann Arbor, MI 48109-1220
Handle: RePEc:edi:edumius (more details at EDIRC)

Works

as in new window

Working papers

  1. Kilian, Lutz & Vigfusson, Robert J., 2014. "The role of oil price shocks in causing U.S. recessions," CFS Working Paper Series 460, Center for Financial Studies (CFS).
  2. Atsushi Inoue & Lutz Kilian, 2014. "Joint Confidence Sets for Structural Impulse Responses," Departmental Working Papers 1401, Southern Methodist University, Department of Economics.
  3. Kilian, Lutz, 2014. "Oil Price Shocks: Causes and Consequences," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9823, C.E.P.R. Discussion Papers.
  4. Christiane Baumeister & Lutz Kilian, 2013. "Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach," Working Papers, Bank of Canada 13-28, Bank of Canada.
  5. Baumeister, Christiane & Kilian, Lutz, 2013. "Do oil price increases cause higher food prices?," CFS Working Paper Series 2013/10, Center for Financial Studies (CFS).
  6. Kilian, Lutz & Lee, Thomas K, 2013. "Quantifying the Speculative Component in the Real Price of Oil: The Role of Global Oil Inventories," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9297, C.E.P.R. Discussion Papers.
  7. Baumeister, Christiane & Guérin, Pierre & Kilian, Lutz, 2013. "Do high-frequency financial data help forecast oil prices? The MIDAS touch at work," CFS Working Paper Series 2013/22, Center for Financial Studies (CFS).
  8. Christiane Baumeister & Lutz Kilian & Xiaoqing Zhou, 2013. "Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis," Working Papers, Bank of Canada 13-25, Bank of Canada.
  9. Bodenstein, Martin & Guerrieri, Luca & Kilian, Lutz, 2012. "Monetary policy responses to oil price fluctuations," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8928, C.E.P.R. Discussion Papers.
  10. Baumeister, Christiane & Kilian, Lutz, 2012. "What Central Bankers Need to Know about Forecasting Oil Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9118, C.E.P.R. Discussion Papers.
  11. Fattouh, Bassam & Kilian, Lutz & Mahadeva, Lavan, 2012. "The Role of Speculation in Oil Markets: What Have We Learned So Far?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8916, C.E.P.R. Discussion Papers.
  12. Kilian, Lutz & Vigfusson, Robert J., 2012. "Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8980, C.E.P.R. Discussion Papers.
  13. Kilian, Lutz, 2011. "Structural Vector Autoregressions," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8515, C.E.P.R. Discussion Papers.
  14. Baumeister, Christiane & Kilian, Lutz, 2011. "Real-Time Forecasts of the Real Price of Oil," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8414, C.E.P.R. Discussion Papers.
  15. Baumeister, Christiane & Kilian, Lutz, 2011. "Real-Time Analysis of Oil Price Risks Using Forecast Scenarios," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8698, C.E.P.R. Discussion Papers.
  16. Alquist, Ron & Kilian, Lutz & Vigfusson, Robert J., 2011. "Forecasting the Price of Oil," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8388, C.E.P.R. Discussion Papers.
  17. Inoue, Atsushi & Kilian, Lutz, 2011. "Inference on Impulse Response Functions in Structural VAR Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8419, C.E.P.R. Discussion Papers.
  18. Kilian, Lutz & Vigfusson, Robert J., 2011. "Nonlinearities in the Oil Price-Output Relationship," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8174, C.E.P.R. Discussion Papers.
  19. Kilian, Lutz & Murphy, Dan, 2010. "The Role of Inventories and Speculative Trading in the Global Market for Crude Oil," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7753, C.E.P.R. Discussion Papers.
  20. Hicks, Bruce & Kilian, Lutz, 2009. "Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7265, C.E.P.R. Discussion Papers.
  21. Pablo Guerron-Quintana & Atsushi Inoue & Lutz Kilian, 2009. "Frequentist inference in weakly identified DSGE models," Working Papers 09-13, Federal Reserve Bank of Philadelphia.
  22. Kilian, Lutz & Vigfusson, Robert J., 2009. "Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7284, C.E.P.R. Discussion Papers.
  23. Kilian, Lutz & Kim, Yun Jung, 2009. "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7266, C.E.P.R. Discussion Papers.
  24. Kilian, Lutz, 2009. "Why Agnostic Sign Restrictions Are Not Enough: Understanding the Dynamics of Oil Market VAR Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7471, C.E.P.R. Discussion Papers.
  25. Kilian, Lutz & Lewis, Logan, 2009. "Does the Fed Respond to Oil Price Shocks?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7594, C.E.P.R. Discussion Papers.
  26. Lucas W. Davis & Lutz Kilian, 2009. "Estimating the Effect of a Gasoline Tax on Carbon Emissions," NBER Working Papers 14685, National Bureau of Economic Research, Inc.
  27. Kilian, Lutz, 2009. "Oil Price Shocks, Monetary Policy and Stagflation," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7324, C.E.P.R. Discussion Papers.
  28. Lutz Kilian & Clara Vega, 2008. "Do energy prices respond to U.S. macroeconomic news? a test of the hypothesis of predetermined energy prices," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 957, Board of Governors of the Federal Reserve System (U.S.).
  29. Kilian, Lutz, 2008. "Why Does Gasoline Cost so Much? A Joint Model of the Global Crude Oil Market and the U.S. Retail Gasoline Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6919, C.E.P.R. Discussion Papers.
  30. Lucas W. Davis & Lutz Kilian, 2008. "The Allocative Cost of Price Ceilings in the U.S. Residential Market for Natural Gas," NBER Working Papers 14030, National Bureau of Economic Research, Inc.
  31. Kilian, Lutz, 2007. "The Economic Effects of Energy Price Shocks," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6559, C.E.P.R. Discussion Papers.
  32. Kilian, Lutz & Manganelli, Simone, 2007. "The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6031, C.E.P.R. Discussion Papers.
  33. Davis, Lucas W & Kilian, Lutz, 2007. "The Allocative Cost of Price Ceilings: Lessons to be Learned from the US Residential Market for Natural Gas," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6142, C.E.P.R. Discussion Papers.
  34. Kilian, Lutz & Rebucci, Alessandro & Spatafora, Nikola, 2007. "Oil Shocks and External Balances," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6303, C.E.P.R. Discussion Papers.
  35. Edelstein, Paul & Kilian, Lutz, 2007. "Retail Energy Prices and Consumer Expenditures," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6255, C.E.P.R. Discussion Papers.
  36. Edelstein, Paul & Kilian, Lutz, 2007. "The Response of Business Fixed Investment to Changes in Energy Prices: A Test of Some Hypotheses About the Transmission of Energy Price Shocks," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6507, C.E.P.R. Discussion Papers.
  37. Kilian, Lutz & Park, Cheolbeom, 2007. "The Impact of Oil Price Shocks on the U.S. Stock Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6166, C.E.P.R. Discussion Papers.
  38. Alquist, Ron & Kilian, Lutz, 2007. "What Do We Learn from the Price of Crude Oil Futures?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6548, C.E.P.R. Discussion Papers.
  39. Francis X. Diebold & Lutz Kilian & Marc Nerlove, 2006. "Time Series Analysis," PIER Working Paper Archive 06-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  40. Kilian, Lutz, 2006. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5994, C.E.P.R. Discussion Papers.
  41. Inoue, Atsushi & Kilian, Lutz & Kiraz, Fatma Burcu, 2006. "Do actions speak louder than words? Household expectations of inflation based on micro consumption data," Discussion Paper Series 1: Economic Studies 2006,26, Deutsche Bundesbank, Research Centre.
  42. Kilian, Lutz, 2005. "Exogenous Oil Supply Shocks: How Big Are They and How Much do they Matter for the US Economy?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5131, C.E.P.R. Discussion Papers.
  43. Inoue, Atsushi & Kilian, Lutz, 2005. "How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5304, C.E.P.R. Discussion Papers.
  44. Kilian, Lutz, 2005. "The Effects of Exogenous Oil Supply Shocks on Output and Inflation: Evidence from the G7 Countries," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5404, C.E.P.R. Discussion Papers.
  45. Robert Barsky & Lutz Kilian, 2004. "Oil and the Macroeconomy Since the 1970s," NBER Working Papers 10855, National Bureau of Economic Research, Inc.
  46. Inoue, Atsushi & Kilian, Lutz, 2004. "Bagging Time Series Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4333, C.E.P.R. Discussion Papers.
  47. Inoue, Atsushi & Kilian, Lutz, 2003. "On the selection of forecasting models," Working Paper Series, European Central Bank 0214, European Central Bank.
  48. GONÇALVES, Silvia & KILIAN, Lutz, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 2003-01, Universite de Montreal, Departement de sciences economiques.
  49. Kilian, Lutz & Manganelli, Simone, 2003. "The central bank as a risk manager: quantifying and forecasting inflation risks," Working Paper Series, European Central Bank 0226, European Central Bank.
  50. Sílvia Gonçalves & Lutz Kilian, 2003. "Asymptotic and Bootstrap Inference for AR( Infinite ) Processes with Conditional Heteroskedasticity," CIRANO Working Papers, CIRANO 2003s-28, CIRANO.
  51. Inoue, Atsushi & Kilian, Lutz, 2002. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3671, C.E.P.R. Discussion Papers.
  52. Kilian, Lutz & Taylor, Mark P, 2001. "Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3024, C.E.P.R. Discussion Papers.
  53. Ivanov, Ventzislav & Kilian, Lutz, 2001. "A Practitioner's Guide to Lag-Order Selection for Vector Autoregressions," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2685, C.E.P.R. Discussion Papers.
  54. Robert B. Barsky & Lutz Kilian, 2001. "Do We Really Know that Oil Caused the Great Stagflation? A Monetary Alternative," NBER Working Papers 8389, National Bureau of Economic Research, Inc.
  55. Diebold, Francis X & Kilian, Lutz, 2000. "Measuring Predictability: Theory And Macroeconomic Applications," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2424, C.E.P.R. Discussion Papers.
  56. Barsky, Robert & Kilian, Lutz, 2000. "A Monetary Explanation Of The Great Stagflation Of The 1970s," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2389, C.E.P.R. Discussion Papers.
  57. Atsushi Inoue & Lutz Kilian, 2000. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometric Society World Congress 2000 Contributed Papers 0401, Econometric Society.
  58. Caner, Mehmet & Kilian, Lutz, 2000. "Size Distortions Of Tests Of The Null Hypothesis Of Stationarity: Evidence And Implications For The PPP Debate," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2425, C.E.P.R. Discussion Papers.
  59. Francis X. Diebold & Lutz Kilian, 1999. "Unit Root Tests Are Useful for Selecting Forecasting Models," NBER Working Papers 6928, National Bureau of Economic Research, Inc.
  60. Kilian, L. & Bergean, I., 1999. "Data-Driven Nonparametric Spectral Density Estimators for Economic Time Series: A Monte Carlo Study," Papers, Michigan - Center for Research on Economic & Social Theory 99-04, Michigan - Center for Research on Economic & Social Theory.
  61. Jeremy Berkowitz & Ionel Birgean & Lutz Kilian, 1999. "On the finite-sample accuracy of nonparametric resampling algorithms for economic time series," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1999-04, Board of Governors of the Federal Reserve System (U.S.).
  62. Mehmet Caner & Lutz Kilian, 1999. "Size Distortions of Tests of the Null Hypothesis of Stationarity: Evidence and Implications for Applied Work," Computing in Economics and Finance 1999, Society for Computational Economics 511, Society for Computational Economics.
  63. Lutz Kilian & Tao Zha, 1999. "Quantifying the half-life of deviations from PPP: The role of economic priors," Working Paper, Federal Reserve Bank of Atlanta 99-21, Federal Reserve Bank of Atlanta.
  64. Kilian, L. & Ohanian, L.E., 1999. "Unit Roots, Trend Breaks and Transitory Dynamics: A Macroeconomic Perspective," Papers, Michigan - Center for Research on Economic & Social Theory 99-02, Michigan - Center for Research on Economic & Social Theory.
  65. Kilian, L., 1998. "Pitfalls in Constructing Bootstrap Confidence Intervals for Asymptotically Pivotal Statistics," Papers, Michigan - Center for Research on Economic & Social Theory 98-04, Michigan - Center for Research on Economic & Social Theory.
  66. Lutz Kilian & Lee E. Ohanian, 1998. "Is there a trend break in U.S. GNP? A macroeconomic perspective," Staff Report, Federal Reserve Bank of Minneapolis 244, Federal Reserve Bank of Minneapolis.
  67. Mehmet Caner & Lutz Kilian, 1998. "A Direct test of the Emerging Consensus about Long-Run PPP," Departmental Working Papers, Bilkent University, Department of Economics 9823, Bilkent University, Department of Economics.
  68. Kilian, L. & Chang, P.L., 1998. "How Reliable Are VAR Estimates of Responses to Monetary bPolicy Shocks?," Papers, Michigan - Center for Research on Economic & Social Theory 98-06, Michigan - Center for Research on Economic & Social Theory.
  69. Kilian, L. & Caner, M., 1998. "Analyzing Unit Root Tests in Finite Samples Using Power Profiles," Papers, Michigan - Center for Research on Economic & Social Theory 98-05, Michigan - Center for Research on Economic & Social Theory.
  70. Kilian, L. & Demiroglu, U., 1997. "Residual-Based Bootstrap Tests for Normality in Autoregressions," Papers, Michigan - Center for Research on Economic & Social Theory 97-14, Michigan - Center for Research on Economic & Social Theory.
  71. Kilian, L., 1997. "Exchange rates and Fundamentals: What Do We Learn From Long-Horizon Regressions?," Working Papers, Research Seminar in International Economics, University of Michigan 401, Research Seminar in International Economics, University of Michigan.
  72. Jeremy Berkowitz & Lutz Kilian, 1996. "Recent developments in bootstrapping time series," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 96-45, Board of Governors of the Federal Reserve System (U.S.).

Articles

  1. Lutz Kilian & Daniel P. Murphy, 2014. "The Role Of Inventories And Speculative Trading In The Global Market For Crude Oil," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 454-478, 04.
  2. Christiane Baumeister & Lutz Kilian, 2014. "Real-Time Analysis of Oil Price Risks Using Forecast Scenarios," IMF Economic Review, Palgrave Macmillan, Palgrave Macmillan, vol. 62(1), pages 119-145, April.
  3. Kilian, Lutz & Lee, Thomas K., 2014. "Quantifying the speculative component in the real price of oil: The role of global oil inventories," Journal of International Money and Finance, Elsevier, Elsevier, vol. 42(C), pages 71-87.
  4. Lutz Kilian & Robert J. Vigfusson, 2013. "Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries," Journal of Business & Economic Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 31(1), pages 78-93, January.
  5. Lutz Kilian & Bruce Hicks, 2013. "Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003–2008?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(5), pages 385-394, 08.
  6. Bassam Fattouh, Lutz Kilian, and Lavan Mahadeva, 2013. "The Role of Speculation in Oil Markets: What Have We Learned So Far?," The Energy Journal, International Association for Energy Economics, International Association for Energy Economics, vol. 0(Number 3).
  7. Pablo Guerron‐Quintana & Atsushi Inoue & Lutz Kilian, 2013. "Frequentist inference in weakly identified dynamic stochastic general equilibrium models: Acronyms must be spelled out in titles for indexing purposes," Quantitative Economics, Econometric Society, Econometric Society, vol. 4(2), pages 197-229, 07.
  8. Inoue, Atsushi & Kilian, Lutz, 2013. "Inference on impulse response functions in structural VAR models," Journal of Econometrics, Elsevier, Elsevier, vol. 177(1), pages 1-13.
  9. Lutz Kilian & Daniel P. Murphy, 2012. "Why Agnostic Sign Restrictions Are Not Enough: Understanding The Dynamics Of Oil Market Var Models," Journal of the European Economic Association, European Economic Association, European Economic Association, vol. 10(5), pages 1166-1188, October.
  10. Martin Bodenstein & Luca Guerrieri & Lutz Kilian, 2012. "Monetary Policy Responses to Oil Price Fluctuations," IMF Economic Review, Palgrave Macmillan, Palgrave Macmillan, vol. 60(4), pages 470-504, December.
  11. Thomas F. Helbling & Vincent Kaminski & Lutz Kilian & Robert Levin, 2012. "Interviews with the experts on "Financial Speculation in the Oil Market and the Determinants of the Oil Price" (PART II)," Review of Environment, Energy and Economics - Re3, Fondazione Eni Enrico Mattei, January.
  12. Lucas W. Davis & Lutz Kilian, 2011. "Estimating the effect of a gasoline tax on carbon emissions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(7), pages 1187-1214, November.
  13. Kilian, Lutz & Vigfusson, Robert J., 2011. "Nonlinearities In The Oil Price–Output Relationship," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 15(S3), pages 337-363, November.
  14. Christiane Baumeister & Lutz Kilian, 2011. "Real-Time Forecasts of the Real Price of Oil," Journal of Business & Economic Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 30(2), pages 326-336, September.
  15. Lutz Kilian & Logan T. Lewis, 2011. "Does the Fed Respond to Oil Price Shocks?," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 121(555), pages 1047-1072, 09.
  16. Lucas W. Davis & Lutz Kilian, 2011. "The Allocative Cost of Price Ceilings in the U.S. Residential Market for Natural Gas," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 119(2), pages 212 - 241.
  17. Lutz Kilian & Clara Vega, 2011. "Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices," The Review of Economics and Statistics, MIT Press, vol. 93(2), pages 660-671, May.
  18. Lutz Kilian & Robert J. Vigfusson, 2011. "Are the responses of the U.S. economy asymmetric in energy price increases and decreases?," Quantitative Economics, Econometric Society, Econometric Society, vol. 2(3), pages 419-453, November.
  19. Lutz Kilian & Yun Jung Kim, 2011. "How Reliable Are Local Projection Estimators of Impulse Responses?," The Review of Economics and Statistics, MIT Press, vol. 93(4), pages 1460-1466, November.
  20. Lutz Kilian, 2010. "Explaining Fluctuations in Gasoline Prices: A Joint Model of the Global Crude Oil Market and the U.S. Retail Gasoline Market," The Energy Journal, International Association for Energy Economics, International Association for Energy Economics, vol. 0(Number 2), pages 87-112.
  21. Ron Alquist & Lutz Kilian, 2010. "What do we learn from the price of crude oil futures?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 25(4), pages 539-573.
  22. Kilian, Lutz & Rebucci, Alessandro & Spatafora, Nikola, 2009. "Oil shocks and external balances," Journal of International Economics, Elsevier, Elsevier, vol. 77(2), pages 181-194, April.
  23. Atsushi Inoue & Lutz Kilian & Fatma Burcu Kiraz, 2009. "Do Actions Speak Louder Than Words? Household Expectations of Inflation Based on Micro Consumption Data," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 41(7), pages 1331-1363, October.
  24. Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," American Economic Review, American Economic Association, American Economic Association, vol. 99(3), pages 1053-69, June.
  25. Lutz Kilian & Cheolbeom Park, 2009. "The Impact Of Oil Price Shocks On The U.S. Stock Market," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(4), pages 1267-1287, November.
  26. Edelstein, Paul & Kilian, Lutz, 2009. "How sensitive are consumer expenditures to retail energy prices?," Journal of Monetary Economics, Elsevier, Elsevier, vol. 56(6), pages 766-779, September.
  27. Lutz Kilian, 2008. "The Economic Effects of Energy Price Shocks," Journal of Economic Literature, American Economic Association, vol. 46(4), pages 871-909, December.
  28. 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, MIT Press, vol. 90(2), pages 216-240, May.
  29. Lutz Kilian & Simone Manganelli, 2008. "The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 40(6), pages 1103-1129, 09.
  30. Lutz Kilian, 2008. "A Comparison of the Effects of Exogenous Oil Supply Shocks on Output and Inflation in the G7 Countries," Journal of the European Economic Association, MIT Press, MIT Press, vol. 6(1), pages 78-121, 03.
  31. Inoue, Atsushi & Kilian, Lutz, 2008. "How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 103, pages 511-522, June.
  32. Silvia Goncalves & Lutz Kilian, 2007. "Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 26(6), pages 609-641.
  33. Kilian, Lutz, 2007. "Comment," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 25, pages 156-159, April.
  34. Edelstein Paul & Kilian Lutz, 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, De Gruyter, De Gruyter, vol. 7(1), pages 1-41, November.
  35. Lutz Kilian & Simone Manganelli, 2007. "Quantifying the Risk of Deflation," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 39(2-3), pages 561-590, 03.
  36. Inoue, Atsushi & Kilian, Lutz, 2006. "On the selection of forecasting models," Journal of Econometrics, Elsevier, Elsevier, vol. 130(2), pages 273-306, February.
  37. Kilian, Lutz, 2006. "NEW INTRODUCTION TO MULTIPLE TIME SERIES ANALYSIS, by Helmut L tkepohl, Springer, 2005," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 22(05), pages 961-967, October.
  38. Lutz Kilian, 2006. "Understanding the effects of exogenous oil supply shocks," CESifo Forum, Ifo Institute for Economic Research at the University of Munich, Ifo Institute for Economic Research at the University of Munich, vol. 7(2), pages 21-27, 07.
  39. Atsushi Inoue & Lutz Kilian, 2005. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 23(4), pages 371-402.
  40. Ivanov Ventzislav & Kilian Lutz, 2005. "A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(1), pages 1-36, March.
  41. Robert B. Barsky & Lutz Kilian, 2004. "Oil and the Macroeconomy Since the 1970s," Journal of Economic Perspectives, American Economic Association, vol. 18(4), pages 115-134, Fall.
  42. Goncalves, Silvia & Kilian, Lutz, 2004. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, Elsevier, vol. 123(1), pages 89-120, November.
  43. Kilian, Lutz & Taylor, Mark P., 2003. "Why is it so difficult to beat the random walk forecast of exchange rates?," Journal of International Economics, Elsevier, Elsevier, vol. 60(1), pages 85-107, May.
  44. Inoue, Atsushi & Kilian, Lutz, 2003. "The Continuity Of The Limit Distribution In The Parameter Of Interest Is Not Essential For The Validity Of The Bootstrap," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 19(06), pages 944-961, December.
  45. Ionel Birgean & Lutz Kilian, 2002. "Data-Driven Nonparametric Spectral Density Estimators For Economic Time Series: A Monte Carlo Study," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 21(4), pages 449-476.
  46. Atsushi Inoue & Lutz Kilian, 2002. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometrica, Econometric Society, Econometric Society, vol. 70(1), pages 377-391, January.
  47. Lutz Kilian & Tao Zha, 2002. "Quantifying the uncertainty about the half-life of deviations from PPP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 17(2), pages 107-125.
  48. Kilian, Lutz & Ohanian, Lee E., 2002. "Unit Roots, Trend Breaks, And Transitory Dynamics: A Macroeconomic Perspective," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 6(05), pages 614-632, November.
  49. Atsushi Inoue & Lutz Kilian, 2002. "Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR (∞) Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 43(2), pages 309-332, May.
  50. Caner, M. & Kilian, L., 2001. "Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate," Journal of International Money and Finance, Elsevier, Elsevier, vol. 20(5), pages 639-657, October.
  51. Francis X. Diebold & Lutz Kilian, 2001. "Measuring predictability: theory and macroeconomic applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 16(6), pages 657-669.
  52. Kilian, Lutz, 2001. "Impulse Response Analysis in Vector Autoregressions with Unknown Lag Order," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 20(3), pages 161-79, April.
  53. Kilian, Lutz & Demiroglu, Ufuk, 2000. "Residual-Based Tests for Normality in Autoregressions: Asymptotic Theory and Simulation Evidence," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 18(1), pages 40-50, January.
  54. Diebold, Francis X & Kilian, Lutz, 2000. "Unit-Root Tests Are Useful for Selecting Forecasting Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 18(3), pages 265-73, July.
  55. Kilian, Lutz & Chang, Pao-Li, 2000. "How accurate are confidence intervals for impulse responses in large VAR models?," Economics Letters, Elsevier, Elsevier, vol. 69(3), pages 299-307, December.
  56. Jeremy Berkowitz & Lutz Kilian, 2000. "Recent developments in bootstrapping time series," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 19(1), pages 1-48.
  57. Lutz Kilian, 1999. "Finite-Sample Properties of Percentile and Percentile-t Bootstrap Confidence Intervals for Impulse Responses," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 652-660, November.
  58. Kilian, Lutz, 1999. "Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 14(5), pages 491-510, Sept.-Oct.
  59. Lutz Kilian, 1998. "Confidence intervals for impulse responses under departures from normality," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 17(1), pages 1-29.
  60. Lutz Kilian, 1998. "Small-Sample Confidence Intervals For Impulse Response Functions," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 218-230, May.
  61. Lee E. Ohanian & Alan C. Stockman & Lutz Killian, 1994. "The effects of real and monetary shocks in a business cycle model with some sticky prices," Proceedings, Federal Reserve Bank of Cleveland, pages 1209-1240.

Chapters

  1. Lutz Kilian, 2010. "Oil Price Shocks, Monetary Policy and Stagflation," RBA Annual Conference Volume, in: Renée Fry & Callum Jones & Christopher Kent (ed.), Inflation in an Era of Relative Price Shocks Reserve Bank of Australia.
  2. Robert B. Barsky & Lutz Kilian, 2002. "Do We Really Know that Oil Caused the Great Stagflation? A Monetary Alternative," NBER Chapters, in: NBER Macroeconomics Annual 2001, Volume 16, pages 137-198 National Bureau of Economic Research, Inc.

NEP Fields

78 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-AGR: Agricultural Economics (3) 2013-11-22 2014-01-10 2014-06-02
  2. NEP-BEC: Business Economics (5) 2005-08-13 2007-10-13 2011-08-02 2012-05-29 2012-07-23. Author is listed
  3. NEP-CBA: Central Banking (24) 2006-09-23 2006-10-28 2007-01-28 2007-05-26 2007-06-23 2007-09-02 2007-11-17 2008-12-07 2009-04-25 2009-05-02 2009-07-28 2009-12-19 2011-06-11 2011-06-11 2011-06-11 2011-08-02 2011-08-15 2011-10-15 2011-10-15 2011-12-19 2012-02-20 2012-04-10 2012-09-09 2013-06-16. Author is listed
  4. NEP-CMP: Computational Economics (3) 2003-04-27 2003-06-16 2003-07-13
  5. NEP-CWA: Central & Western Asia (10) 2011-06-11 2011-06-11 2011-08-02 2011-10-15 2011-10-15 2011-12-19 2012-02-20 2012-04-03 2012-04-10 2012-09-09. Author is listed
  6. NEP-DGE: Dynamic General Equilibrium (2) 2009-08-22 2009-11-27
  7. NEP-ECM: Econometrics (17) 1999-02-22 1999-07-12 2003-03-17 2003-05-12 2003-06-09 2003-06-19 2003-07-16 2004-06-13 2005-12-09 2006-06-24 2008-12-07 2009-04-25 2009-08-22 2009-11-27 2011-06-11 2011-08-15 2014-03-08. Author is listed
  8. NEP-ENE: Energy Economics (51) 2001-07-23 2005-02-13 2005-08-13 2006-01-24 2007-01-02 2007-03-03 2007-03-17 2007-04-21 2007-05-26 2007-06-23 2007-09-02 2007-10-13 2007-11-10 2007-11-17 2008-12-07 2009-01-31 2009-02-28 2009-02-28 2009-02-28 2009-04-25 2009-05-02 2009-07-28 2009-11-27 2009-12-19 2011-03-05 2011-06-11 2011-06-11 2011-08-02 2011-10-15 2011-10-15 2011-12-19 2012-02-20 2012-04-03 2012-04-10 2012-05-29 2012-07-23 2012-09-09 2013-04-13 2013-06-16 2013-08-31 2013-09-24 2013-11-22 2013-11-22 2013-11-22 2013-11-29 2014-01-10 2014-05-09 2014-06-02 2014-06-02 2014-06-02 2014-06-28. Author is listed
  9. NEP-ENV: Environmental Economics (2) 2009-01-31 2009-02-28
  10. NEP-ETS: Econometric Time Series (20) 1999-02-15 1999-07-12 2003-03-14 2003-04-27 2003-06-04 2003-06-16 2003-07-13 2003-10-20 2004-06-13 2004-10-30 2005-12-09 2006-06-24 2009-04-25 2009-05-02 2009-08-22 2009-11-27 2011-06-11 2011-08-15 2013-11-22 2014-06-02. Author is listed
  11. NEP-FDG: Financial Development & Growth (1) 2009-04-25
  12. NEP-FIN: Finance (1) 2003-07-13
  13. NEP-FMK: Financial Markets (3) 2006-06-24 2007-03-17 2007-11-10
  14. NEP-FOR: Forecasting (20) 2005-12-09 2011-06-11 2011-06-11 2011-08-02 2011-10-15 2011-10-15 2011-12-19 2012-02-20 2012-05-29 2012-07-23 2012-09-09 2013-06-16 2013-08-23 2013-08-31 2013-09-24 2013-11-22 2013-11-22 2013-11-29 2014-05-09 2014-06-02. Author is listed
  15. NEP-HIS: Business, Economic & Financial History (5) 2000-02-21 2005-02-13 2005-08-13 2007-03-03 2012-04-03. Author is listed
  16. NEP-INT: International Trade (3) 2007-05-26 2007-06-23 2007-09-02
  17. NEP-MAC: Macroeconomics (26) .html">"> 2004-11-22 2005-02-13 2005-08-13 2006-01-24 2006-09-23 2006-10-28 2007-01-02 2007-01-28 2007-04-21 2007-10-13 2007-11-17 2008-12-07 2009-02-28 2009-04-25 2009-05-02 2009-08-22 2009-12-19 2011-03-05 2012-04-10 2013-11-22 2013-11-22 2013-11-22 2014-01-10 2014-06-02 2014-06-28. Author is listed
  18. NEP-MIC: Microeconomics (1) 2008-06-07
  19. NEP-MON: Monetary Economics (5) 2000-02-21 2003-07-13 2007-01-28 2009-12-19 2012-04-10. Author is listed
  20. NEP-MST: Market Microstructure (3) 2013-11-29 2014-05-09 2014-06-02
  21. NEP-ORE: Operations Research (2) 2013-08-31 2013-09-24
  22. NEP-PKE: Post Keynesian Economics (1) 2001-07-23
  23. NEP-REG: Regulation (2) 2007-03-03 2008-06-07
  24. NEP-RMG: Risk Management (5) 2003-03-14 2003-04-27 2003-07-13 2003-10-20 2007-03-17. Author is listed
  25. NEP-URE: Urban & Real Estate Economics (1) 2008-06-07

Statistics

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Works
  3. Number of Distinct Works
  4. Number of Distinct Works, Weighted by Simple Impact Factor
  5. Number of Distinct Works, Weighted by Recursive Impact Factor
  6. Number of Distinct Works, Weighted by Number of Authors
  7. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  8. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  9. Number of Citations
  10. Number of Citations, Discounted by Citation Age
  11. Number of Citations, Weighted by Simple Impact Factor
  12. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  13. Number of Citations, Weighted by Recursive Impact Factor
  14. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  15. Number of Citations, Weighted by Number of Authors
  16. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  17. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  18. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  19. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  20. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  21. h-index
  22. Number of Registered Citing Authors
  23. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  24. Number of Journal Pages
  25. Number of Journal Pages, Weighted by Simple Impact Factor
  26. Number of Journal Pages, Weighted by Recursive Impact Factor
  27. Number of Journal Pages, Weighted by Number of Authors
  28. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  29. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  30. Number of Abstract Views in RePEc Services over the past 12 months
  31. Number of Downloads through RePEc Services over the past 12 months
  32. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  33. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  34. Closeness measure in co-authorship network
  35. Betweenness measure in co-authorship network
  36. Breadth of citations across fields
  37. Wu-Index

Most cited item

Most downloaded item (past 12 months)

Access and download statistics for all items

Co-authorship network on CollEc

Corrections

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Lutz Kilian should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.