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Citations for "The Role Of Time‐Varying Price Elasticities In Accounting For Volatility Changes In The Crude Oil Market"

by Christiane Baumeister & Gert Peersman

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  1. Maryam Ahmadi & Niaz Bashiri Behmiri & Matteo Manera, 2015. "How is Volatility in Commodity Markets Linked to Oil Price Shocks?," Working Papers 2015.101, Fondazione Eni Enrico Mattei.
  2. Nathan S. Balke, Michael Plante, and Mine Yücel, 2015. "Fuel Subsidies, the Oil Market and the World Economy," The Energy Journal, International Association for Energy Economics, vol. 0(Adelman S).
  3. Luciana Juvenal & Ivan Petrella, 2011. "Speculation in the oil market," Working Papers 2011-027, Federal Reserve Bank of St. Louis.
  4. Christiane Baumeister & Gert Peersman, 2013. "Time-Varying Effects of Oil Supply Shocks on the US Economy," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(4), pages 1-28, October.
  5. Allegret, Jean-Pierre & Mignon, Valérie & Sallenave, Audrey, 2015. "Oil price shocks and global imbalances: Lessons from a model with trade and financial interdependencies," Economic Modelling, Elsevier, vol. 49(C), pages 232-247.
  6. Yin, Libo & Zhou, Yimin, 2016. "What drives long-term oil market volatility? Fundamentals versus Speculation," Economics Discussion Papers 2016-2, Kiel Institute for the World Economy (IfW).
  7. Knut Are Aastveit & Hilde C. Bjoernland, 2013. "What drives oil prices? Emerging versus developed economies," CAMA Working Papers 2013-11, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  8. Kamiar Mohaddes & M. Hashem Pesaran, 2015. "Country-Specific Oil Supply Shocks and the Global Economy: A Counterfactual Analysis," Cambridge Working Papers in Economics 1516, Faculty of Economics, University of Cambridge.
  9. Liu, Qing & Shi, Kang & Wu, Zhouheng & Xu, Juanyi, 2014. "Oil price stabilization and global welfare," Journal of Development Economics, Elsevier, vol. 111(C), pages 246-260.
  10. Matthias Gubler & Matthias S. Hertweck, 2013. "Commodity Price Shocks and the Business Cycle: Structural Evidence for the U.S," Working Papers 2013-05, Swiss National Bank.
  11. Baumeister, Christiane & Kilian, Lutz, 2015. "Forty years of oil price fluctuations: Why the price of oil may still surprise us," CFS Working Paper Series 525, Center for Financial Studies (CFS).
  12. Jochen Güntner, 2013. "How do oil producers respond to oil demand shocks?," Economics working papers 2013-11, Department of Economics, Johannes Kepler University Linz, Austria.
  13. Soojin Jo, 2012. "The Effects of Oil Price Uncertainty on the Macroeconomy," Staff Working Papers 12-40, Bank of Canada.
  14. Inoue, Atsushi & Kilian, Lutz, 2013. "Inference on impulse response functions in structural VAR models," Journal of Econometrics, Elsevier, vol. 177(1), pages 1-13.
  15. John Baffes & M. Ayhan Kose & Franziska Ohnsorge & Marc Stocker, 2015. "The great plunge in oil prices: causes, consequences, and policy responses," CAMA Working Papers 2015-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  16. Kang, Wensheng & Ratti, Ronald A. & Yoon, Kyung Hwan, 2015. "Time-varying effect of oil market shocks on the stock market," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages S150-S163.
  17. Baumeister, Christiane & Kilian, Lutz, 2011. "Real-Time Analysis of Oil Price Risks Using Forecast Scenarios," CEPR Discussion Papers 8698, C.E.P.R. Discussion Papers.
  18. Khanna, Madhu & Hector, Nunez & David, Zilberman, 2014. "The Political-Economy of Biofuel and Cheap Oil Policies in Brazil," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 169471, Agricultural and Applied Economics Association.
  19. Scott, K. Rebecca, 2015. "Demand and price uncertainty: Rational habits in international gasoline demand," Energy, Elsevier, vol. 79(C), pages 40-49.
  20. Morana, Claudio, 2016. "Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area," ESP: Energy Scenarios and Policy 232925, Fondazione Eni Enrico Mattei (FEEM).
  21. Ron Alquist & Olivier Coibion, 2014. "Commodity Price Co-Movement and Global Economic Activity," Staff Working Papers 14-32, Bank of Canada.
  22. Marco Lorusso & Luca Pieroni, 2015. "Causes and Consequences of Oil Price Shocks on the UK Economy," CEERP Working Paper Series 002, Centre for Energy Economics Research and Policy, Heriot-Watt University, revised Nov 2015.
  23. Benjamin Wong, 2013. "Inflation Dynamics and The Role of Oil Shocks: How Different Were the 1970s?," CAMA Working Papers 2013-59, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  24. 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 9297, C.E.P.R. Discussion Papers.
  25. Christiane Baumeister & Luca Benati, 2013. "Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound," International Journal of Central Banking, International Journal of Central Banking, vol. 9(2), pages 165-212, June.
  26. Christiane Baumeister & Lutz Kilian, 2014. "What Central Bankers Need To Know About Forecasting Oil Prices," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55, pages 869-889, 08.
  27. Márcio Poletti Laurini & Roberto Baltieri Mauad & Fernando Antonio Lucena Aiube, 2016. "Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets," Working Papers Series 415, Central Bank of Brazil, Research Department.
  28. Benjamin Wong, 2014. "Inflation Expectations and How it Explains the Inflationary Impact of Oil Price Shocks: Evidence from the Michigan Survey," CAMA Working Papers 2014-45, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  29. Zhang, Bing & Li, Xiao-Ming & He, Fei, 2014. "Testing the evolution of crude oil market efficiency: Data have the conn," Energy Policy, Elsevier, vol. 68(C), pages 39-52.
  30. Bataa, Erdenebat & Izzeldin, Marwan & Osborn, Denise R., 2016. "Changes in the global oil market," Energy Economics, Elsevier, vol. 56(C), pages 161-176.
  31. Bassam Fattouh & Lavan Mahadeva, 2014. "Causes and Implications of Shifts in Financial Participation in Commodity Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(8), pages 757-787, 08.
  32. Fattouh, Bassam & Kilian, Lutz & Mahadeva, Lavan, 2012. "The Role of Speculation in Oil Markets: What Have We Learned So Far?," CEPR Discussion Papers 8916, C.E.P.R. Discussion Papers.
  33. Berg, Tim Oliver, 2014. "Time Varying Fiscal Multipliers in Germany," MPRA Paper 57223, University Library of Munich, Germany.
  34. Ron Alquist & Olivier Coibion, 2013. "The Comovement in Commodity Prices; Sources and Implications," IMF Working Papers 13/140, International Monetary Fund.
  35. Hilde C. Bjørnland & Leif Anders Thorsrud, 2015. "Commodity prices and fiscal policy design: Procyclical despite a rule," Working Papers 0033, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  36. Bagnai, Alberto & Mongeau Ospina, Christian Alexander, 2015. "Long- and short-run price asymmetries and hysteresis in the Italian gasoline market," Energy Policy, Elsevier, vol. 78(C), pages 41-50.
  37. Jean-Pierre Allegret & Cécile Couharde & Valérie Mignon & Tovonony Razafindrabe, 2015. "Oil currencies in the face of oil shocks: What can be learned from time-varying specifications?," Working Papers 2015-18, CEPII research center.
  38. Ron Alquist & Gregory Bauer & Antonio Diez de los Rios, 2014. "What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?," Staff Working Papers 14-42, Bank of Canada.
  39. Goodness C. Aye & Rangan Gupta & Mampho P. Modise, 2015. "Do Stock Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-varying Vector Autoregressive Model," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 14(2), pages 176-196, August.
  40. Samya Beidas-Strom & Andrea Pescatori, 2014. "Oil Price Volatility and the Role of Speculation," IMF Working Papers 14/218, International Monetary Fund.
  41. Marianna Riggi & Fabrizio Venditti, 2015. "The time varying effect of oil price shocks on euro-area exports," Temi di discussione (Economic working papers) 1035, Bank of Italy, Economic Research and International Relations Area.
  42. Ederer, Stefan & Heumesser, Christine & Staritz, Cornelia, 2013. "The role of fundamentals and financialisation in recent commodity price developments: An empirical analysis for wheat, coffee, cotton, and oil," Working Papers 42, Österreichische Forschungsstiftung für Internationale Entwicklung (ÖFSE) / Austrian Foundation for Development Research.
  43. Aastveit, Knut Are, 2014. "Oil price shocks in a data-rich environment," Energy Economics, Elsevier, vol. 45(C), pages 268-279.
  44. Alberto Bagnai & Christian Alexander Mongeau Ospina, 2014. "The impact of an exchange rate realignment on the trade balance: Euro vs. national currency - Some preliminary results with a/simmetrie model of the Italian economy," a/ Policy Briefs Series 1401, Italian Association for the Study of Economic Asymmetries, Rome (Italy).
  45. Herwartz, Helmut & Plödt, Martin, 2016. "The macroeconomic effects of oil price shocks: Evidence from a statistical identification approach," Journal of International Money and Finance, Elsevier, vol. 61(C), pages 30-44.
  46. Juncal Cunado & Soojin Jo & Fernando Perez de Gracia, 2015. "Revisiting the Macroeconomic Impact of Oil Shocks in Asian Economies," Staff Working Papers 15-23, Bank of Canada.
  47. Zhang, Bing, 2013. "Are the crude oil markets becoming more efficient over time? New evidence from a generalized spectral test," Energy Economics, Elsevier, vol. 40(C), pages 875-881.
  48. Van Robays, Ine, 2012. "Macroeconomic uncertainty and the impact of oil shocks," Working Paper Series 1479, European Central Bank.
  49. Wang, Yudong & Wu, Chongfeng & Yang, Li, 2014. "Oil price shocks and agricultural commodity prices," Energy Economics, Elsevier, vol. 44(C), pages 22-35.
  50. 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.
  51. Antonia Díaz & Luis A. Puch, 2013. "A Theory of Vintage Capital Investment and Energy Use," Documentos de Trabajo del ICAE 2013-35, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  52. Kilian, Lutz, 2014. "Oil Price Shocks: Causes and Consequences," CEPR Discussion Papers 9823, C.E.P.R. Discussion Papers.
  53. Rangan Gupta & Mampho P. Modise, 2013. "Does the Source of Oil Price Shocks Matter for South African Stock Returns? A Structural VAR Approach," Working Papers 201318, University of Pretoria, Department of Economics.
  54. Greene, David L. & Liu, Changzheng, 2015. "U.S. oil dependence 2014: Is energy independence in sight?," Energy Policy, Elsevier, vol. 85(C), pages 126-137.
  55. Tomas Krehlik & Jozef Barunik, 2016. "Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets," Papers 1603.07020, arXiv.org.
  56. Selien De Schryder and Gert Peersman, 2015. "The U.S. Dollar Exchange Rate and the Demand for Oil," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
  57. Wiggins, Seth & Etienne, Xiaoli, 2015. "US Natural Gas Price Determination: Fundamentals and the Development of Shale," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205788, Agricultural and Applied Economics Association;Western Agricultural Economics Association.
  58. Paul Cashin & Kamiar Mohaddes & Mehdi Raissi & Maziar Raissi, 2012. "The Differential Effects of Oil Demand and Supply Shocks on the Global Economy," IMF Working Papers 12/253, International Monetary Fund.
  59. Imran Shah, 2012. "Revisiting the Dynamic Effects of Oil Price Shock on Small Developing Economies," Bristol Economics Discussion Papers 12/626, Department of Economics, University of Bristol, UK.
  60. Cunado, Juncal & Jo, Soojin & Perez de Gracia, Fernando, 2015. "Macroeconomic impacts of oil price shocks in Asian economies," Energy Policy, Elsevier, vol. 86(C), pages 867-879.
  61. Khanna, Madhu & Nuñez, Hector M. & Zilberman, David, 2016. "Who pays and who gains from fuel policies in Brazil?," Energy Economics, Elsevier, vol. 54(C), pages 133-143.
  62. Dirk-Jan van de Ven & Roger Fouquet, 2014. "Historical energy price shocks and their changing effects on the economy," GRI Working Papers 153, Grantham Research Institute on Climate Change and the Environment.
  63. Alberto Behar & Robert A. Ritz, 2016. "OPEC vs US shale oil: Analyzing the shift to a market-share strategy," Cambridge Working Papers in Economics 1623, Faculty of Economics, University of Cambridge.
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