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Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks

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  • Lutz Kilian

    (University of Michigan and CEPR Robert J. Vigfusson ; Federal Reserve Board)

Abstract

transmission of energy price shocks and for the debate about policy responses to energy price shocks. The practical importance of our analysis is illustrated by presenting alternative estimates of the effects of falling oil prices on U.S. real GDP since mid‐2008.

Suggested Citation

  • Lutz Kilian, 2009. "Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks," 2009 Meeting Papers 473, Society for Economic Dynamics.
    • Handle: RePEc:red:sed009:473
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    References listed on IDEAS

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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