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Citations for "Do energy prices respond to U.S. macroeconomic news? a test of the hypothesis of predetermined energy prices"

by Lutz Kilian & Clara Vega

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  1. Gao, Liping & Kim, Hyeongwoo & Saba, Richard, 2014. "How do oil price shocks affect consumer prices?," Energy Economics, Elsevier, vol. 45(C), pages 313-323.
  2. Gospodinov, Nikolay & Jamali, Ibrahim, 2013. "Monetary policy surprises, positions of traders, and changes in commodity futures prices," Working Paper 2013-12, Federal Reserve Bank of Atlanta.
  3. Yannick Le Pen & Benoît Sévi, 2011. "Macro factors in oil futures returns," Economie Internationale, CEPII research center, issue 126-127, pages 13-38.
  4. Alessio Anzuini & Marco J. Lombardi & Patrizio Pagano, 2012. "The impact of monetary policy shocks on commodity prices," Temi di discussione (Economic working papers) 851, Bank of Italy, Economic Research and International Relations Area.
  5. Morana, Claudio, 2013. "Oil price dynamics, macro-finance interactions and the role of financial speculation," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 206-226.
  6. Kilian, Lutz & Vigfusson, Robert J., 2011. "Nonlinearities in the Oil Price-Output Relationship," CEPR Discussion Papers 8174, C.E.P.R. Discussion Papers.
  7. Marc Joëts & Valérie Mignon & Tovonony Razafindrabe, 2015. "Does the volatility of commodity prices reflect macroeconomic uncertainty?," EconomiX Working Papers 2015-7, University of Paris West - Nanterre la Défense, EconomiX.
  8. Qiu, Cheng & Colson, Gregory & Escalante, Cesar & Wetzstein, Michael, 2012. "Considering macroeconomic indicators in the food before fuel nexus," Energy Economics, Elsevier, vol. 34(6), pages 2021-2028.
  9. Mohamed El Hedi Arouri & Duc Khuong Nguyen, 2010. "Oil Prices, Stock Markets and Portfolio Investment: Evidence from Sector Analysis in Europe over the Last Decade," Working Papers hal-00507823, HAL.
  10. Christiane Baumeister & Lutz Kilian, 2013. "Do Oil Price Increases Cause Higher Food Prices?," Working Papers 13-52, Bank of Canada.
  11. Francesco Ravazzolo & Marco J. Lombardi, 2012. "Oil price density forecasts: Exploring the linkages with stock markets," Working Papers 0008, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  12. Venditti, Fabrizio, 2013. "From oil to consumer energy prices: How much asymmetry along the way?," Energy Economics, Elsevier, vol. 40(C), pages 468-473.
  13. Shiu-Sheng Chen, 2014. "Forecasting Crude Oil Price Movements With Oil-Sensitive Stocks," Economic Inquiry, Western Economic Association International, vol. 52(2), pages 830-844, 04.
  14. Kang, Wensheng & Ratti, Ronald A. & Yoon, Kyung Hwan, 2014. "The impact of oil price shocks on U.S. bond market returns," Energy Economics, Elsevier, vol. 44(C), pages 248-258.
  15. Aymen Belgacem & Anna Creti & Khaled Guesmi & Amine Lahiani, 2014. "Volatility spillovers and macroeconomic announcements evidence from crude oil markets," Working Papers 2014-050, Department of Research, Ipag Business School.
  16. Chen, Wang & Hamori, Shigeyuki & Kinkyo, Takuji, 2014. "Macroeconomic impacts of oil prices and underlying financial shocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 1-12.
  17. Domenico Ferraro & Ken Rogoff & Barbara Rossi, 2011. "Can oil prices forecast exchange rates?," Economics Working Papers 1461, Department of Economics and Business, Universitat Pompeu Fabra, revised Jan 2015.
  18. Ratti, Ronald & Vespignani, Joaquin, 2012. "Liquidity and crude oil prices: China’s influence over 1996-2011," Working Papers 15062, University of Tasmania, School of Economics and Finance, revised 20 Sep 2012.
  19. Gubler, Matthias & Hertweck, Matthias S., 2013. "Commodity price shocks and the business cycle: Structural evidence for the U.S," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 324-352.
  20. Conrad, Christian & Loch, Karin & Rittler, Daniel, 2012. "On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation," Working Papers 0525, University of Heidelberg, Department of Economics.
  21. Marco Jacopo Lombardi, 2013. "On the correlation between commodity and equity returns: implications for portfolio allocation," BIS Working Papers 420, Bank for International Settlements.
  22. Alquist, Ron & Kilian, Lutz & Vigfusson, Robert J., 2011. "Forecasting the Price of Oil," CEPR Discussion Papers 8388, C.E.P.R. Discussion Papers.
  23. Thomas Gilbert & Chiara Scotti & Georg H. Strasser & Clara Vega, 2015. "Is the Intrinsic Value of Macroeconomic News Announcements Related to Their Asset Price Impact?," Boston College Working Papers in Economics 874, Boston College Department of Economics, revised 23 Apr 2015.
  24. Wensheng Kang & Ronald A. Ratti & Kyung Hwan Yoon, 2014. "The Impact of Oil Price Shocks on the Stock Market Return and Volatility Relationship," CAMA Working Papers 2014-71, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  25. Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2014. "How does bad and good volatility spill over across petroleum markets?," Papers 1405.2445, arXiv.org.
  26. Andrea Bastianin & Matteo Manera, 2015. "How Does Stock Market Volatility React to Oil Shocks?," Working Papers 2014.110, Fondazione Eni Enrico Mattei.
  27. Chiou-Wei, Song-Zan & Linn, Scott C. & Zhu, Zhen, 2014. "The response of U.S. natural gas futures and spot prices to storage change surprises: Fundamental information and the effect of escalating physical gas production," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 156-173.
  28. Samya Beidas-Strom & Andrea Pescatori, 2014. "Oil Price Volatility and the Role of Speculation," IMF Working Papers 14/218, International Monetary Fund.
  29. Christiane Baumeister & Lutz Kilian, 2011. "Real-Time Forecasts of the Real Price of Oil," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 326-336, September.
  30. Kilian, Lutz, 2009. "Oil Price Shocks, Monetary Policy and Stagflation," CEPR Discussion Papers 7324, C.E.P.R. Discussion Papers.
  31. Maria Mansanet-Bataller & Julien Chevallier & Morgan Hervé-Mignucci & Emilie Alberola, 2010. "The EUA-sCER Spread: Compliance Strategies and Arbitrage in the European Carbon Market," Post-Print halshs-00458991, HAL.
  32. Kang, Wensheng & Ratti, Ronald A., 2013. "Oil shocks, policy uncertainty and stock market return," MPRA Paper 49008, University Library of Munich, Germany.
  33. Kang, Wensheng & Ratti, Ronald A., 2013. "Structural oil price shocks and policy uncertainty," MPRA Paper 49007, University Library of Munich, Germany.
  34. Kilian, Lutz & Lewis, Logan, 2009. "Does the Fed Respond to Oil Price Shocks?," CEPR Discussion Papers 7594, C.E.P.R. Discussion Papers.
  35. Roache, Shaun K. & Rossi, Marco, 2010. "The effects of economic news on commodity prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 377-385, August.
  36. Lutz Kilian, 2013. "Structural vector autoregressions," Chapters, in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 22, pages 515-554 Edward Elgar.
  37. Jochen H. F. Güntner, 2011. "How do international stock markets respond to oil demand and supply shocks?," FEMM Working Papers 110028, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
  38. Ferraro, Domenico & Rogoff, Kenneth & Rossi, Barbara, 2015. "Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 116-141.
  39. Bachmeier, Lance, 2013. "Identification in models of gasoline pricing," Economics Letters, Elsevier, vol. 120(1), pages 71-73.
  40. Christiane Baumeister & Gert Peersman, 2012. "Time-Varying Effects of Oil Supply Shocks on the U.S. Economy," Working Papers 12-2, Bank of Canada.
  41. Aastveit, Knut Are, 2014. "Oil price shocks in a data-rich environment," Energy Economics, Elsevier, vol. 45(C), pages 268-279.
  42. 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.
  43. Andrew Jobling & Tooraj Jamasb, 2015. "Price Volatility and Demand for Oil: A Comparative Analysis of Developed and Developing Countries," Cambridge Working Papers in Economics 1512, Faculty of Economics, University of Cambridge.
  44. Aye, Goodness C. & Dadam, Vincent & Gupta, Rangan & Mamba, Bonginkosi, 2014. "Oil price uncertainty and manufacturing production," Energy Economics, Elsevier, vol. 43(C), pages 41-47.
  45. Kilian, Lutz & Vigfusson, Robert J., 2009. "Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks," CEPR Discussion Papers 7284, C.E.P.R. Discussion Papers.
  46. Carlo Rosa, 2013. "The high-frequency response of energy prices to monetary policy: understanding the empirical evidence," Staff Reports 598, Federal Reserve Bank of New York.
  47. Kucher, Oleg & Kurov, Alexander, 2014. "Business cycle, storage, and energy prices," Review of Financial Economics, Elsevier, vol. 23(4), pages 217-226.
  48. Shaun K. Roache & Marco Rossi, 2009. "The Effects of Economic Newson Commodity Prices; Is Gold Just Another Commodity?," IMF Working Papers 09/140, International Monetary Fund.
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