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Oil and Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results

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Cited by:

  1. Florens, Jean-Pierre & Sokullu, Senay, 2017. "Nonparametric Estimation Of Semiparametric Transformation Models," Econometric Theory, Cambridge University Press, pages 839-873.
  2. Wu, Wen-Chieh & Cheng, Hui-Pei, 2010. "Symmetric mortality and asymmetric suicide cycles," Social Science & Medicine, Elsevier, pages 1974-1981.
  3. Mehmet Balcilar & Reneé van Eyden & Josine Uwilingiye & Rangan Gupta, 2017. "The Impact of Oil Price on South African GDP Growth: A Bayesian Markov Switching-VAR Analysis," African Development Review, African Development Bank, vol. 29(2), pages 319-336, June.
  4. Bashar, Omar H.M.N. & Wadud, I.K.M. Mokhtarul & Ali Ahmed, Huson Joher, 2013. "Oil price uncertainty, monetary policy and the macroeconomy: The Canadian perspective," Economic Modelling, Elsevier, pages 249-259.
  5. Rafiq, Shudhasattwa & Sgro, Pasquale & Apergis, Nicholas, 2016. "Asymmetric oil shocks and external balances of major oil exporting and importing countries," Energy Economics, Elsevier, pages 42-50.
  6. Muhammad Arshad Khan & Ayaz Ahmed, 2011. "Macroeconomic Effects of Global Food and Oil Price Shocks to the Pakistan Economy: A Structural Vector Autoregressive (SVAR) Analysis," The Pakistan Development Review, Pakistan Institute of Development Economics, pages 491-511.
  7. Mihaela NICOLAU, 2010. "Financial Markets Interactions between Economic Theory and Practice," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 27-36.
  8. Komain JIRANYAKUL, 2017. "The Response of Industrial Production to the Price of Oil: New Evidence for Thailand," Turkish Economic Review, KSP Journals, pages 193-204.
  9. Farzanegan, Mohammad Reza & Raeisian Parvari, Mozhgan, 2014. "Iranian-Oil-Free Zone and international oil prices," Energy Economics, Elsevier, pages 364-372.
  10. Elder, John & Serletis, Apostolos, 2009. "Oil price uncertainty in Canada," Energy Economics, Elsevier, pages 852-856.
  11. Sajjad F. Dizaji & Mohammad Reza Farzanegan & Alireza Naghavi, 2016. "Political institutions and government spending behavior: theory and evidence from Iran," International Tax and Public Finance, Springer;International Institute of Public Finance, pages 522-549.
  12. Aye, Goodness C. & Dadam, Vincent & Gupta, Rangan & Mamba, Bonginkosi, 2014. "Oil price uncertainty and manufacturing production," Energy Economics, Elsevier, pages 41-47.
  13. Jaffe, Amy Myers & Soligo, Ronald, 2002. "The role of inventories in oil market stability," The Quarterly Review of Economics and Finance, Elsevier, pages 401-415.
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  15. Hillard G. Huntington, 2017. "The Historical Roots of U.S. Energy Price Shocks," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
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  18. Yeh, Fang-Yu & Hu, Jin-Li & Lin, Cheng-Hsun, 2012. "Asymmetric impacts of international energy shocks on macroeconomic activities," Energy Policy, Elsevier, pages 10-22.
  19. Peersman, Gert & Van Robays, Ine, 2012. "Cross-country differences in the effects of oil shocks," Energy Economics, Elsevier, vol. 34(5), pages 1532-1547.
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  21. Vitaly Pershin & Juan Carlos Molero & Fernando Pérez de Gracia, 2015. "Exploring the oil prices and exchange rates nexus in some African economies," Faculty Working Papers 01/15, School of Economics and Business Administration, University of Navarra.
  22. Lee, Kiseok & Kang, Wensheng & Ratti, Ronald A., 2011. "Oil Price Shocks, Firm Uncertainty, And Investment," Macroeconomic Dynamics, Cambridge University Press, pages 416-436.
  23. Sacchi, Agnese & Salotti, Simone, 2015. "The impact of national fiscal rules on the stabilisation function of fiscal policy," European Journal of Political Economy, Elsevier, pages 1-20.
  24. Gupta, Kartick, 2016. "Oil price shocks, competition, and oil & gas stock returns — Global evidence," Energy Economics, Elsevier, pages 140-153.
  25. 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, pages 1-41.
  26. Lee, Chien-Chiang & Zeng, Jhih-Hong, 2011. "The impact of oil price shocks on stock market activities: Asymmetric effect with quantile regression," Mathematics and Computers in Simulation (MATCOM), Elsevier, pages 1910-1920.
  27. Hachula, Michael & Hoffmann, Sebastian, 2015. "The output effects of commodity price volatility: Evidence from exporting countries," Discussion Papers 2015/29, Free University Berlin, School of Business & Economics.
  28. Kuper, Gerard H. & Soest, Daan P. van, 1999. "Asymmetric adaptations to energy price changes," CCSO Working Papers 199913, University of Groningen, CCSO Centre for Economic Research.
  29. Turhan, M. Ibrahim & Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk, 2014. "A view to the long-run dynamic relationship between crude oil and the major asset classes," International Review of Economics & Finance, Elsevier, pages 286-299.
  30. Gerald Marschke, 2006. "The influence of university research on industrial innovation," Proceedings, Federal Reserve Bank of Cleveland.
  31. Michael P. Clements & David I. Harvey, 2010. "Forecast encompassing tests and probability forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., pages 1028-1062.
  32. Souček, Michael, 2013. "Crude oil, equity and gold futures open interest co-movements," Energy Economics, Elsevier, pages 306-315.
  33. Lutz Kilian & Robert J. Vigfusson, 2017. "The Role of Oil Price Shocks in Causing U.S. Recessions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(8), pages 1747-1776, December.
  34. Dong Kim, 2012. "What is an oil shock? Panel data evidence," Empirical Economics, Springer, pages 121-143.
  35. Cavalcanti, Tiago & Jalles, João Tovar, 2013. "Macroeconomic effects of oil price shocks in Brazil and in the United States," Applied Energy, Elsevier, pages 475-486.
  36. Löschel Andreas & Oberndorfer Ulrich, 2009. "Oil and Unemployment in Germany," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, pages 146-162.
  37. Baghestani, Hamid, 2016. "Do gasoline prices asymmetrically affect US consumers’ economic outlook?," Energy Economics, Elsevier, pages 247-252.
  38. Ortiz-Cruz, Alejandro & Rodriguez, Eduardo & Ibarra-Valdez, Carlos & Alvarez-Ramirez, Jose, 2012. "Efficiency of crude oil markets: Evidences from informational entropy analysis," Energy Policy, Elsevier, pages 365-373.
  39. repec:spr:empeco:v:53:y:2017:i:3:d:10.1007_s00181-016-1166-5 is not listed on IDEAS
  40. Tony Addison & Atanu Ghoshray & Michalis P. Stamatogiannis, 2016. "Agricultural Commodity Price Shocks and Their Effect on Growth in Sub-Saharan Africa," Journal of Agricultural Economics, Wiley Blackwell, vol. 67(1), pages 47-61, February.
  41. Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2017. "The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach," MPRA Paper 81638, University Library of Munich, Germany.
  42. Luís Francisco Aguiar-Conraria & Maria Joana Soares, 2007. "Using cross-wavelets to decompose the time-frequency relation between oil and the macroeconomy," NIPE Working Papers 16/2007, NIPE - Universidade do Minho.
  43. Eshien Chong & Freddy Huet, 2010. "Partenariats public-privé et investissements de fin de contrat : le cas de l'industrie de l'eau en France," Recherches économiques de Louvain, De Boeck Université, pages 413-448.
  44. Broadstock, David C. & Cao, Hong & Zhang, Dayong, 2012. "Oil shocks and their impact on energy related stocks in China," Energy Economics, Elsevier, pages 1888-1895.
  45. Alfred Haug & Syed Basher & Perry Sadorsky, 2016. "The impact of oil price shocks on exchange rates: A non-linear smooth-transition approach," EcoMod2016 9226, EcoMod.
  46. Naser, Hanan, 2015. "Analysing the long-run relationship among oil market, nuclear energy consumption, and economic growth: An evidence from emerging economies," Energy, Elsevier, pages 421-434.
  47. Monge, Manuel & Gil-Alana, Luis A. & Pérez de Gracia, Fernando, 2017. "Crude oil price behaviour before and after military conflicts and geopolitical events," Energy, Elsevier, pages 79-91.
  48. Mario Crucini, 2012. "Comparing General and Partial Equilibrium Approaches to the Study of Real Business Cycles," 2012 Meeting Papers 1057, Society for Economic Dynamics.
  49. Li, Qiming & Cheng, Ke & Yang, Xiaoguang, 2017. "Response pattern of stock returns to international oil price shocks: From the perspective of China’s oil industrial chain," Applied Energy, Elsevier, pages 1821-1831.
  50. Korhonen, Iikka & Mehrotra, Aaron, 2009. "Real exchange rate, output and oil : case of four large energy producers," BOFIT Discussion Papers 6/2009, Bank of Finland, Institute for Economies in Transition.
  51. Park, Jungwook & Ratti, Ronald A., 2008. "Oil price shocks and stock markets in the U.S. and 13 European countries," Energy Economics, Elsevier, pages 2587-2608.
  52. Mukhriz Izraf Azman AZIZ & Nor’Aznin Abu BAKAR, 2013. "Oil Price Fluctuations and Changing Comparative Advantage," Sosyoekonomi Journal, Sosyoekonomi Society.
  53. Diaz, Elena Maria & Molero, Juan Carlos & Perez de Gracia, Fernando, 2016. "Oil price volatility and stock returns in the G7 economies," Energy Economics, Elsevier, pages 417-430.
  54. Lardic, Sandrine & Mignon, Valérie, 2008. "Oil prices and economic activity: An asymmetric cointegration approach," Energy Economics, Elsevier, pages 847-855.
  55. Schwark, Florentine, 2014. "Energy price shocks and medium-term business cycles," Journal of Monetary Economics, Elsevier, pages 112-121.
  56. Suliman Zakaria S. Abdalla, 2014. "The Impact of Oil Price Fluctuations on the Sudanese Stock Market Performance," Working Papers 887, Economic Research Forum, revised Dec 2014.
  57. Wang, Yudong & Liu, Li & Diao, Xundi & Wu, Chongfeng, 2015. "Forecasting the real prices of crude oil under economic and statistical constraints," Energy Economics, Elsevier, pages 599-608.
  58. Domenico Ferraro & Kenneth S. Rogoff & Barbara Rossi, 2011. "Can oil prices forecast exchange rates?," Working Papers 11-34, Federal Reserve Bank of Philadelphia.
  59. Shimon Awerbuch & Raphael Sauter, 2005. "Exploiting the Oil-GDP Effect to Support Renewables Deployment," SPRU Working Paper Series 129, SPRU - Science and Technology Policy Research, University of Sussex.
  60. Mehmet Balcilar & Rangan Gupta & Ýsmail H. Gençb, 2016. "The links between crude oil prices and GCC stock markets: Evidence from time-varying Granger causality tests," Working Papers 15-30, Eastern Mediterranean University, Department of Economics.
  61. Sadorsky, Perry, 2008. "Assessing the impact of oil prices on firms of different sizes: Its tough being in the middle," Energy Policy, Elsevier, pages 3854-3861.
  62. Chen, Shiu-Sheng, 2010. "Do higher oil prices push the stock market into bear territory?," Energy Economics, Elsevier, pages 490-495.
  63. repec:ipg:wpaper:34 is not listed on IDEAS
  64. Oleg Korenok & Stanislav Radchenko, 2006. "The role of permanent and transitory components in business cycle volatility moderation," Empirical Economics, Springer, pages 217-241.
  65. Abdulaziz Hamad Algaeed, 2017. "The Effects of Asymmetric Oil Price Shocks on the Saudi Consumption: An Empirical Investigation," International Journal of Energy Economics and Policy, Econjournals, pages 99-107.
  66. Javier Ordóñez & Hector Sala & José I. Silva, 2010. "Oil price shocks and labor market fluctuations," Working Papers wpdea1005, Department of Applied Economics at Universitat Autonoma of Barcelona.
  67. Ying Fan & Jian-Ling Jiao & Qiao-Mei Liang & Zhi-Yong Han & Yi-Ming Wei, 2007. "The impact of rising international crude oil price on China's economy: an empirical analysis with CGE model," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 27(4), pages 404-424.
  68. Benhmad, François, 2013. "Dynamic cyclical comovements between oil prices and US GDP: A wavelet perspective," Energy Policy, Elsevier, pages 141-151.
  69. Rebeca Jiménez-Rodríguez, 2004. "Oil Price Shocks: Testing for Non-linearity," CSEF Working Papers 115, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  70. Balcilar, Mehmet & Gupta, Rangan & Miller, Stephen M., 2015. "Regime switching model of US crude oil and stock market prices: 1859 to 2013," Energy Economics, Elsevier, pages 317-327.
  71. Herrera, Ana María & Lagalo, Latika Gupta & Wada, Tatsuma, 2015. "Asymmetries in the response of economic activity to oil price increases and decreases?," Journal of International Money and Finance, Elsevier, pages 108-133.
  72. Jose de Gregorio & Oscar Landerretche & Christopher Neilson, 2007. "Another Pass-Through Bites the Dust? Oil Prices and Inflation," ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, ECONOMIA JOURNAL OF THE LATIN AMERICAN AND CARIBBEAN ECONOMIC ASSOCIATION, vol. 0(Spring 20), pages 155-208, January.
  73. Ju, Keyi & Zhou, Dequn & Zhou, P. & Wu, Junmin, 2014. "Macroeconomic effects of oil price shocks in China: An empirical study based on Hilbert–Huang transform and event study," Applied Energy, Elsevier, pages 1053-1066.
  74. 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, pages 1-41.
  75. Katsuya Ito, 2010. "The Impact of Oil Price Volatility on Macroeconomic Activity in Russia," Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016), Colexio de Economistas de A Coruña, Spain and Fundación Una Galicia Moderna, vol. 9, pages 1-21, July.
  76. Patrick J. Kehoe & Andrew Atkeson, 1999. "Models of Energy Use: Putty-Putty versus Putty-Clay," American Economic Review, American Economic Association, pages 1028-1043.
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  78. Cunado, Juncal & Perez de Gracia, Fernando, 2014. "Oil price shocks and stock market returns: Evidence for some European countries," Energy Economics, Elsevier, pages 365-377.
  79. Broadstock, David C. & Wang, Rui & Zhang, Dayong, 2014. "Direct and indirect oil shocks and their impacts upon energy related stocks," Economic Systems, Elsevier, pages 451-467.
  80. Wang, Yudong & Wu, Chongfeng & Yang, Li, 2013. "Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries," Journal of Comparative Economics, Elsevier, pages 1220-1239.
  81. Brown, Stephen P.A. & Huntington, Hillard G., 2013. "Assessing the U.S. oil security premium," Energy Economics, Elsevier, pages 118-127.
  82. Aloui, Riadh & Ben Aïssa, Mohamed Safouane & Nguyen, Duc Khuong, 2013. "Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach," Journal of International Money and Finance, Elsevier, pages 719-738.
  83. Paul Collier & Anthony J. Venables, 2014. "Closing coal: economic and moral incentives," Oxford Review of Economic Policy, Oxford University Press, vol. 30(3), pages 492-512.
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  86. Odusami, Babatunde Olatunji, 2010. "To consume or not: How oil prices affect the comovement of consumption and aggregate wealth," Energy Economics, Elsevier, pages 857-867.
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