IDEAS home Printed from https://ideas.repec.org/e/c/pvi18.html
   My authors  Follow this author

Robert John Vigfusson

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Lawrence J. Christiano & Martin S. Eichenbaum & Robert J. Vigfusson, 2006. "Assessing structural VARs," International Finance Discussion Papers 866, Board of Governors of the Federal Reserve System (U.S.).

    Mentioned in:

    1. Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models
      by Christian Zimmermann in NEP-DGE blog on 2009-09-27 06:45:04
  2. Lutz Kilian & Robert J. Vigfusson, 2014. "The Role of Oil Price Shocks in Causing U.S. Recessions," International Finance Discussion Papers 1114, Board of Governors of the Federal Reserve System (U.S.).

    Mentioned in:

    1. Les récessions américaines sont-elles déclenchées par les chocs pétroliers ?
      by ? in D'un champ l'autre on 2014-09-27 15:30:00

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Etienne Gagnon & Benjamin R. Mandel & Robert J. Vigfusson, 2014. "Missing Import Price Changes and Low Exchange Rate Pass-Through," American Economic Journal: Macroeconomics, American Economic Association, vol. 6(2), pages 156-206, April.

    Mentioned in:

    1. Missing Import Price Changes and Low Exchange Rate Pass-Through (AEJ:MA 2014) in ReplicationWiki ()

Working papers

  1. Shaghil Ahmed & Carol C. Bertaut & Jessica Liu & Robert J. Vigfusson, 2018. "Should We Be Concerned Again About U.S. Current Account Sustainability?," IFDP Notes 2018-03-09-1, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Virginia Navajas-Romero & Rosalía Díaz-Carrión & Antonio Ariza-Montes, 2019. "Decent Work as Determinant of Work Engagement on Dependent Self-Employed," Sustainability, MDPI, vol. 11(9), pages 1-17, April.

  2. Deepa Datta & Benjamin K Johannsen & Hannah Kwon & Robert J Vigfusson, 2017. "Oil, equities, and the zero lower bound," BIS Working Papers 617, Bank for International Settlements.

    Cited by:

    1. Choi, Sangyup & Shin, Junhyeok & Yoo, Seung Yong, 2022. "Are government spending shocks inflationary at the zero lower bound? New evidence from daily data," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    2. Peersman, Gert & Rüth, Sebastian K. & Van der Veken, Wouter, 2019. "The interplay between oil and food commodity prices: Has It changed over time?," Working Papers 0665, University of Heidelberg, Department of Economics.
    3. Nils M. Gornemann & Sebastian Hildebrand & Keith Kuester, 2024. "Limited (Energy) Supply, Monetary Policy, and Sunspots," International Finance Discussion Papers 1395, Board of Governors of the Federal Reserve System (U.S.).
    4. Lutz Kilian & Xiaoqing Zhou, 2019. "Oil Prices, Exchange Rates and Interest Rates," Working Papers 1914, Federal Reserve Bank of Dallas.
    5. Ahmed, Rashad, 2023. "Global commodity prices and macroeconomic fluctuations in a low interest rate environment," Energy Economics, Elsevier, vol. 127(PB).
    6. Edouard Challe, 2018. "Is the study of business-cycle fluctuations 'scientific'?," SciencePo Working papers Main hal-03389352, HAL.
    7. Jinan Liu & Apostolos Serletis, 2022. "World Commodity Prices and Economic Activity in Advanced and Emerging Economies," Open Economies Review, Springer, vol. 33(2), pages 347-374, April.
    8. François Gourio & Phuong Ngo, 2020. "Risk Premia at the ZLB: A Macroeconomic Interpretation," Working Paper Series WP 2020-01, Federal Reserve Bank of Chicago.
    9. Ron Alquist & Reinhard Ellwanger & Jianjian Jin, 2020. "The effect of oil price shocks on asset markets: Evidence from oil inventory news," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(8), pages 1212-1230, August.
    10. Wataru Miyamoto & Thuy Lan Nguyen & Dmitry Sergeyev, 2023. "How Oil Shocks Propagate: Evidence on the Monetary Policy Channel," Working Paper Series 2024-06, Federal Reserve Bank of San Francisco.
    11. Alfonso A. Irarrazabal & Lin Ma & Juan Carlos Parra-Alvarez, 2020. "Optimal Asset Allocation for Commodity Sovereign Wealth Funds," CREATES Research Papers 2020-10, Department of Economics and Business Economics, Aarhus University.
    12. Kathi Schlepper & Heiko Hofer & Ryan Riordan & Andreas Schrimpf, 2017. "Scarcity effects of QE: A transaction-level analysis in the Bund market," BIS Working Papers 625, Bank for International Settlements.
    13. Martínez-Cañete, Ana R. & Márquez-de-la-Cruz, Elena & Pérez-Soba, Inés, 2022. "Non-linear cointegration between oil and stock prices: The role of interest rates," Research in International Business and Finance, Elsevier, vol. 59(C).
    14. Nguyen, Bao H. & Okimoto, Tatsuyoshi & Tran, Trung Duc, 2022. "Uncertainty-dependent and sign-dependent effects of oil market shocks," Journal of Commodity Markets, Elsevier, vol. 26(C).
    15. Nikolay Gospodinov, 2017. "Asset Co-movements: Features and Challenges," FRB Atlanta Working Paper 2017-11, Federal Reserve Bank of Atlanta.
    16. Mollick, André V. & Killins, Robert N. & Egly, Peter V. & Johnk, David W., 2024. "Bank equity returns and oil prices: The story from U.S. regional banks during the “shale oil” revolution," Research in International Business and Finance, Elsevier, vol. 70(PA).
    17. Theophilus Teye Osah & Andre Varella Mollick, 2023. "Stock and oil price returns in international markets: Identifying short and long-run effects," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(1), pages 116-141, March.
    18. Degiannakis, Stavros & Filis, George, 2023. "Oil price assumptions for macroeconomic policy," Energy Economics, Elsevier, vol. 117(C).
    19. Bergholt, Drago & Larsen, Vegard H. & Seneca, Martin, 2019. "Business cycles in an oil economy," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 283-303.
    20. Bao H. NGUYEN & OKIMOTO Tatsuyoshi, 2017. "Asymmetric Reactions of the U.S. Natural Gas Market and Economic Activity," Discussion papers 17102, Research Institute of Economy, Trade and Industry (RIETI).
    21. Alexander Mechanick & Jacob P. Weber, 2024. "The Countercyclical Benefits of Regulatory Costs," Staff Reports 1109, Federal Reserve Bank of New York.
    22. José Renato Haas Ornelas & Roberto Baltieri Mauad, 2017. "Volatility risk premia and future commodities returns," BIS Working Papers 619, Bank for International Settlements.

  3. Lutz Kilian & Robert J. Vigfusson, 2016. "The Role of Oil Price Shocks in Causing U.S. Recessions," CESifo Working Paper Series 5743, CESifo.

    Cited by:

    1. Li, Sufang & Tu, Dalun & Zeng, Yan & Gong, Chenggang & Yuan, Di, 2022. "Does geopolitical risk matter in crude oil and stock markets? Evidence from disaggregated data," Energy Economics, Elsevier, vol. 113(C).
    2. Benkraiem, Ramzi & Lahiani, Amine & Miloudi, Anthony & Shahbaz, Muhammad, 2018. "New insights into the US stock market reactions to energy price shocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 169-187.
    3. Apostolos Serletis & Libo Xu, "undated". "Markov Switching Oil Price Uncertainty," Working Papers 2019-02, Department of Economics, University of Calgary, revised 02 Jan 2019.
    4. Abubakar, Attahir Babaji & Muhammad, Mansur & Mensah, Samuel, 2023. "Response of fiscal efforts to oil price dynamics," Resources Policy, Elsevier, vol. 81(C).
    5. Johannes Pfeiffer, 2017. "Fossil Resources and Climate Change – The Green Paradox and Resource Market Power Revisited in General Equilibrium," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 77.
    6. Sara Boni & Massimiliano Caporin & Francesco Ravazzolo, 2024. "Nowcasting Inflation at Quantiles: Causality from Commodities," BEMPS - Bozen Economics & Management Paper Series BEMPS102, Faculty of Economics and Management at the Free University of Bozen.
    7. Jean-Baptiste Hasse & Quentin Lajaunie, 2020. "Does the Yield Curve Signal Recessions? New Evidence from an International Panel Data Analysis," AMSE Working Papers 2013, Aix-Marseille School of Economics, France.
    8. Bakas, Dimitrios & Ioakimidis, Marilou & Triantafyllou, Athanasios, 2020. "Commodity Price Uncertainty as a Leading Indicator of Economic Activity," Essex Finance Centre Working Papers 27361, University of Essex, Essex Business School.
    9. Oladosu, Gbadebo A. & Leiby, Paul N. & Bowman, David C. & Uría-Martínez, Rocio & Johnson, Megan M., 2018. "Impacts of oil price shocks on the United States economy: A meta-analysis of the oil price elasticity of GDP for net oil-importing economies," Energy Policy, Elsevier, vol. 115(C), pages 523-544.
    10. Kozlovtceva, Irina & Ponomarenko, Alexey & Sinyakov, Andrey & Tatarintsev, Stas, 2020. "A case for leaning against the wind in a commodity-exporting economy," International Economics, Elsevier, vol. 164(C), pages 86-114.
    11. Gilles Dufrénot & William Ginn & Marc Pourroy, 2023. "ENSO Climate Patterns on Global Economic Conditions," Working Papers hal-04064759, HAL.
    12. Mohamad B. Karaki, 2018. "Asymmetries In The Responses Of Regional Job Flows To Oil Price Shocks," Economic Inquiry, Western Economic Association International, vol. 56(3), pages 1827-1845, July.
    13. Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
    14. Nijat Guliyev, 2018. "The effects of external shocks on Azerbaijan economy," Working Papers 1802, Central Bank of Azerbaijan Republic.
    15. Wen, Danyan & He, Mengxi & Wang, Yudong & Zhang, Yaojie, 2024. "Forecasting crude oil market volatility: A comprehensive look at uncertainty variables," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1022-1041.
    16. Chen, Yufeng & Xu, Jing & Miao, Jiafeng, 2023. "Dynamic volatility contagion across the Baltic dry index, iron ore price and crude oil price under the COVID-19: A copula-VAR-BEKK-GARCH-X approach," Resources Policy, Elsevier, vol. 81(C).
    17. Gonçalves, Sílvia & Herrera, Ana María & Kilian, Lutz & Pesavento, Elena, 2021. "Impulse response analysis for structural dynamic models with nonlinear regressors," Journal of Econometrics, Elsevier, vol. 225(1), pages 107-130.
    18. Naser, Hanan, 2015. "Analysing the long-run relationship among oil market, nuclear energy consumption, and economic growth: An evidence from emerging economies," Energy, Elsevier, vol. 89(C), pages 421-434.
    19. Gros, Daniel & Lane, Philip R. & Langfield, Sam & Matikainen, Sini & Pagano, Marco & Schoenmaker, Dirk & Suarez, Javier, 2016. "Too late, too sudden: Transition to a low-carbon economy and systemic risk," Report of the Advisory Scientific Committee 6, European Systemic Risk Board.
    20. Timo Baas & Ansgar Belke, 2023. "Oil Price Shocks and Current Account Imbalances within a Currency Union," The Energy Journal, , vol. 44(4), pages 223-240, July.
    21. Dang, Tam Hoang-Nhat & Nguyen, Canh Phuc & Lee, Gabriel S. & Nguyen, Binh Quang & Le, Thuy Thu, 2023. "Measuring the energy-related uncertainty index," Energy Economics, Elsevier, vol. 124(C).
    22. Sun, Chuanwang & Min, Jialin & Sun, Jiacheng & Gong, Xu, 2023. "The role of China's crude oil futures in world oil futures market and China's financial market," Energy Economics, Elsevier, vol. 120(C).
    23. Oglend, Atle, 2022. "The commodities/equities beta term-structure," Journal of Commodity Markets, Elsevier, vol. 28(C).
    24. Zhang, Yaojie & Ma, Feng & Wang, Yudong, 2019. "Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors?," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 97-117.
    25. Guo, Yangli & Ma, Feng & Li, Haibo & Lai, Xiaodong, 2022. "Oil price volatility predictability based on global economic conditions," International Review of Financial Analysis, Elsevier, vol. 82(C).
    26. He, Mengxi & Zhang, Yaojie & Wen, Danyan & Wang, Yudong, 2021. "Forecasting crude oil prices: A scaled PCA approach," Energy Economics, Elsevier, vol. 97(C).
    27. Christiane Baumeister & Lutz Kilian & Xiaoqing Zhou, 2017. "Is the Discretionary Income Effect of Oil Price Shocks a Hoax?," Staff Working Papers 17-50, Bank of Canada.
    28. Saleh Mothana Obadi & Kristina Gardonova, 2019. "How does the Production of Unconventional Resources of Energy Influence Energy Security: Empirical Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 9(5), pages 46-54.
    29. Goktug Sahin & Nukhet Dogan & M. Hakan Berument, 2023. "The effects of two benchmarks on Russian crude oil prices," Economic Change and Restructuring, Springer, vol. 56(2), pages 733-748, April.
    30. Matteo Iacopini & Aubrey Poon & Luca Rossini & Dan Zhu, 2022. "Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP," Papers 2209.01910, arXiv.org.
    31. Nusair, Salah A. & Olson, Dennis, 2021. "Asymmetric oil price and Asian economies: A nonlinear ARDL approach," Energy, Elsevier, vol. 219(C).
    32. Pozo, Veronica F. & Bachmeier, Lance J. & Schroeder, Ted C., 2021. "Are there price asymmetries in the U.S. beef market?," Journal of Commodity Markets, Elsevier, vol. 21(C).
    33. Chen, Zhan-Ming & Chen, Pei-Lin & Ma, Zeming & Xu, Shiyun & Hayat, Tasawar & Alsaedi, Ahmed, 2019. "Inflationary and distributional effects of fossil energy price fluctuation on the Chinese economy," Energy, Elsevier, vol. 187(C).
    34. Jihad El Hokayem & Ibrahim Jamali & Ale Hejase, 2024. "A forecasting model for oil prices using a large set of economic indicators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1615-1624, August.
    35. Soma Patra, 2022. "Oil price shocks, firm entry and exit in a heterogeneous firm model," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 55(1), pages 349-378, February.
    36. Conny Olovsson, 2018. "Online Appendix to Oil prices in a general equilibrium model with precautionary demand for oil"," Online Appendices 18-15, Review of Economic Dynamics.
    37. Mansur, Alfan, 2015. "Identifying Shocks on the Economic Fluctuations in Indonesia and US: The Role of Oil Price Shocks in a Structural Vector Autoregression Model," MPRA Paper 94018, University Library of Munich, Germany, revised 09 Jun 2015.
    38. Taghizadeh-Hesary, Farhad & Yoshino, Naoyuki & Rasoulinezhad, Ehsan & Chang, Youngho, 2019. "Trade linkages and transmission of oil price fluctuations," Energy Policy, Elsevier, vol. 133(C).
    39. Stenvall, David & Hedström, Axel & Yoshino, Naoyuki & Uddin, Gazi Salah & Taghizadeh-Hesary, Farhad, 2022. "Nonlinear tail dependence between the housing and energy markets," Energy Economics, Elsevier, vol. 106(C).
    40. Gilles Dufrénot & William Ginn & Marc Pourroy, 2021. "The Effect of ENSO Shocks on Commodity Prices: A Multi-Time Scale Approach," AMSE Working Papers 2130, Aix-Marseille School of Economics, France.
    41. Luca Eduardo Fierro & Mario Martinoli, 2024. "An Empirical Inquiry into the Distributional Consequences of Energy Price Shocks," LEM Papers Series 2024/30, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    42. Zhang, Yaojie & Ma, Feng & Shi, Benshan & Huang, Dengshi, 2018. "Forecasting the prices of crude oil: An iterated combination approach," Energy Economics, Elsevier, vol. 70(C), pages 472-483.
    43. Degiannakis, Stavros & Filis, George, 2023. "Oil price assumptions for macroeconomic policy," Energy Economics, Elsevier, vol. 117(C).
    44. Bosupeng, Mpho & Naranpanawa, Athula & Su, Jen-Je, 2024. "Does exchange rate volatility affect the impact of appreciation and depreciation on the trade balance? A nonlinear bivariate approach," Economic Modelling, Elsevier, vol. 130(C).
    45. Charfeddine, Lanouar & Khediri, Karim Ben & Mrabet, Zouhair, 2019. "The forward premium anomaly in the energy futures markets: A time-varying approach," Research in International Business and Finance, Elsevier, vol. 47(C), pages 600-615.
    46. Sajjadur Rahman, 2021. "Oil price volatility and the US stock market," Empirical Economics, Springer, vol. 61(3), pages 1461-1489, September.
    47. Chavleishvili, Sulkhan & Manganelli, Simone, 2019. "Forecasting and stress testing with quantile vector autoregression," Working Paper Series 2330, European Central Bank.
    48. He, Zhifang & Sun, Hao, 2024. "The time-varying and asymmetric impacts of oil price shocks on geopolitical risk," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 942-957.
    49. Akdoğan, Kurmaş, 2020. "Fundamentals versus speculation in oil market: The role of asymmetries in price adjustment?," Resources Policy, Elsevier, vol. 67(C).
    50. Borozan, Djula & Lolic Cipcic, Marina, 2022. "Asymmetric and nonlinear oil price pass-through to economic growth in Croatia: Do oil-related policy shocks matter?," Resources Policy, Elsevier, vol. 76(C).
    51. Omotosho, Babatunde S. & Yang, Bo, 2024. "Oil price shocks and macroeconomic dynamics in resource-rich emerging economies under regime shifts," Journal of International Money and Finance, Elsevier, vol. 144(C).
    52. Yang, Yang & Zhang, Jiqiang & Chen, Sanpan, 2023. "Information effects of monetary policy announcements on oil price," Journal of Commodity Markets, Elsevier, vol. 30(C).
    53. George Kapetanios & Massimiliano Marcellino & Fabrizio Venditti, 2017. "Large time-varying parameter VARs: a non-parametric approach," Temi di discussione (Economic working papers) 1122, Bank of Italy, Economic Research and International Relations Area.
    54. Tii N. Nchofoung, 2023. "Oil price shocks and energy transition in Africa," Working Papers of the African Governance and Development Institute. 23/064, African Governance and Development Institute..
    55. Liang, Ting & Zhang, Yue-Jun & Qiang, Wei, 2022. "Does technological innovation benefit energy firms’ environmental performance? The moderating effect of government subsidies and media coverage," Technological Forecasting and Social Change, Elsevier, vol. 180(C).
    56. Sarker, Md Showaib Rahman & Mazumder, Sharif & Amin, Md Ruhul, 2023. "Oil price uncertainty, workplace misconduct, and cash holding," International Review of Financial Analysis, Elsevier, vol. 89(C).
    57. Alomran, Abdulaziz Ahmed & Alsubaiei, Bader Jawid, 2022. "Oil price uncertainty and corporate cash holdings: Global evidence," International Review of Financial Analysis, Elsevier, vol. 81(C).
    58. Costa, Alexandre Bonnet R. & Ferreira, Pedro Cavalcanti G. & Gaglianone, Wagner P. & Guillén, Osmani Teixeira C. & Issler, João Victor & Lin, Yihao, 2021. "Machine learning and oil price point and density forecasting," Energy Economics, Elsevier, vol. 102(C).
    59. Zhang, Yaojie & Wahab, M.I.M. & Wang, Yudong, 2023. "Forecasting crude oil market volatility using variable selection and common factor," International Journal of Forecasting, Elsevier, vol. 39(1), pages 486-502.
    60. Cheng, Xian & Wu, Peng & Liao, Stephen Shaoyi & Wang, Xuelian, 2023. "An integrated model for crude oil forecasting: Causality assessment and technical efficiency," Energy Economics, Elsevier, vol. 117(C).
    61. Wu, Xi & Wang, Yudong & Tong, Xinle, 2021. "Cash holdings and oil price uncertainty exposures," Energy Economics, Elsevier, vol. 99(C).
    62. Sharma, Shahil & Escobari, Diego, 2018. "Identifying price bubble periods in the energy sector," Energy Economics, Elsevier, vol. 69(C), pages 418-429.
    63. Olovsson, Conny, 2016. "Oil prices in a real-businesscycle model with precautionary demand for oil," Working Paper Series 332, Sveriges Riksbank (Central Bank of Sweden).
    64. Irina Kozlovtceva & Alexey Ponomarenko & Andrey Sinyakov & Stas Tatarintsev, 2019. "Financial Stability Implications of Policy Mix in a Small Open Commodity-Exporting Economy," Bank of Russia Working Paper Series wps42, Bank of Russia.
    65. Elie Bouri & Rangan Gupta & Christian Pierdzioch & Onur Polat, 2024. "Forecasting U.S. Recessions Using Over 150 Years of Data: Stock-Market Moments versus Oil-Market Moments," Working Papers 202435, University of Pretoria, Department of Economics.
    66. Xin Sheng & Rangan Gupta & Qiang Ji, 2023. "The Effects of Disaggregate Oil Shocks on the Aggregate Expected Skewness of the United States," Risks, MDPI, vol. 11(11), pages 1-9, October.
    67. Nchofoung, Tii N., 2024. "Oil price shocks and energy transition in Africa," Energy Policy, Elsevier, vol. 184(C).
    68. Mohamad B. Karaki, 2020. "Monetary shocks and job flows: evidence from disaggregated data," Empirical Economics, Springer, vol. 58(6), pages 2911-2936, June.
    69. Wen, Fenghua & Chen, Meng & Zhang, Yun & Miao, Xiao, 2023. "Oil price uncertainty and audit fees: Evidence from the energy industry," Energy Economics, Elsevier, vol. 125(C).
    70. Yue-Jun & Ting Liang & Zongwu Cai, 2021. "Can Technological Innovation Bring an Economic and Environmental Benefit to Energy Firms: An Evidence from China?," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202112, University of Kansas, Department of Economics, revised May 2021.
    71. Mont'Alverne Duarte, Angelo & Gaglianone, Wagner Piazza & de Carvalho Guillén, Osmani Teixeira & Issler, João Victor, 2021. "Commodity prices and global economic activity: A derived-demand approach," Energy Economics, Elsevier, vol. 96(C).
    72. Miescu, Mirela & Mumtaz, Haroon & Theodoridis, Konstantinos, 2024. "Non-linear Dynamics of Oil Supply News Shocks," Cardiff Economics Working Papers E2024/18, Cardiff University, Cardiff Business School, Economics Section.
    73. Ozge Kandemir Kocaaslan, 2021. "Are the responses of output and investment to oil price shocks asymmetric?: The case of an oil-importing small open economy," Empirical Economics, Springer, vol. 61(5), pages 2501-2516, November.
    74. Fernandes, Leonardo H.S. & de Araújo, Fernando H.A. & Silva, Igor E.M., 2020. "The (in)efficiency of NYMEX energy futures: A multifractal analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 556(C).
    75. Herrera, Ana María & Karaki, Mohamad B. & Rangaraju, Sandeep Kumar, 2019. "Oil price shocks and U.S. economic activity," Energy Policy, Elsevier, vol. 129(C), pages 89-99.
    76. Alkis Blanz & Ulrich Eydam & Maik Heinemann & Matthias Kalkuhl, 2022. "Optimal carbon pricing with fluctuating energy prices - emission targeting vs. price targeting," CEPA Discussion Papers 51, Center for Economic Policy Analysis.
    77. Christina Sklibosios Nikitopoulos & Alice Carole Thomas & Jianxin Wang, 2024. "Hedging pressure and oil volatility: Insurance versus liquidity demands," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 252-280, February.
    78. Nima Ebrahimi & Craig Pirrong, 2020. "Oil jump risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(8), pages 1282-1311, August.
    79. Aminu, Nasir & Meenagh, David & Minford, Patrick, 2018. "The role of energy prices in the Great Recession — A two-sector model with unfiltered data," Energy Economics, Elsevier, vol. 71(C), pages 14-34.
    80. Lu, Quanying & Li, Yuze & Chai, Jian & Wang, Shouyang, 2020. "Crude oil price analysis and forecasting: A perspective of “new triangle”," Energy Economics, Elsevier, vol. 87(C).
    81. Ordóñez, Javier & Monfort, Mercedes & Cuestas, Juan Carlos, 2019. "Oil prices, unemployment and the financial crisis in oil-importing countries: The case of Spain," Energy, Elsevier, vol. 181(C), pages 625-634.
    82. Matthew Klepacz, 2021. "Price Setting and Volatility: Evidence from Oil Price Volatility Shocks," International Finance Discussion Papers 1316, Board of Governors of the Federal Reserve System (U.S.).

  4. Alejandro Perez-Segura & Robert J. Vigfusson, 2016. "The Relationship Between Oil Prices and Inflation Compensation," IFDP Notes 2016-04-06, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Nathan Sussman & Osnat Zohar, 2016. "Has Inflation Targeting Become Less Credible? Oil Prices, Global Aggregate Demand and Inflation Expectations during the Global Financial Crisis," Bank of Israel Working Papers 2016.13, Bank of Israel.
    2. Hammoudeh, Shawkat & Reboredo, Juan C., 2018. "Oil price dynamics and market-based inflation expectations," Energy Economics, Elsevier, vol. 75(C), pages 484-491.
    3. Inês da Cunha Cabral & Pedro Pires Ribeiro & João Nicolau, 2022. "Changes in inflation compensation and oil prices: short-term and long-term dynamics," Empirical Economics, Springer, vol. 62(2), pages 581-603, February.
    4. Venditti, Fabrizio & Veronese, Giovanni, 2020. "Global financial markets and oil price shocks in real time," Working Paper Series 2472, European Central Bank.
    5. Doga Bilgin & Reinhard Ellwanger, 2017. "A Dynamic Factor Model for Commodity Prices," Staff Analytical Notes 17-12, Bank of Canada.

  5. Sylvain Leduc & Kevin Moran & Robert J. Vigfusson, 2016. "Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications," CIRANO Working Papers 2016s-53, CIRANO.

    Cited by:

    1. Galego Mendes,Arthur & Pennings,Steven Michael, 2020. "One Rule Fits All ? Heterogeneous Fiscal Rules for Commodity Exporters When Price Shocks Can BePersistent: Theory and Evidence," Policy Research Working Paper Series 9400, The World Bank.
    2. Huang, Dayong & Li, Jay Y. & Wu, Kai, 2021. "The effect of oil supply shocks on industry returns," Journal of Commodity Markets, Elsevier, vol. 24(C).
    3. 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).
    4. Fédéric Holm-Hadulla & Kirstin Hubrich, 2017. "Macroeconomic Implications of Oil Price Fluctuations : A Regime-Switching Framework for the Euro Area," Finance and Economics Discussion Series 2017-063, Board of Governors of the Federal Reserve System (U.S.).
    5. Christiane Baumeister, 2021. "Measuring Market Expectations," Working Papers 202163, University of Pretoria, Department of Economics.
    6. Gambetti, Luca & Moretti, Laura, 2017. "News, Noise and Oil Price Swings," Research Technical Papers 12/RT/17, Central Bank of Ireland.
    7. Deepa Dhume Datta & Benjamin K. Johannsen & Hannah Kwon & Robert J. Vigfusson, 2018. "Oil, Equities, and the Zero Lower Bound," Finance and Economics Discussion Series 2018-058, Board of Governors of the Federal Reserve System (U.S.).
    8. Nooman Rebei & Rashid Sbia, 2021. "Transitory and permanent shocks in the global market for crude oil," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 1047-1064, November.
    9. Andrés Fernández & Andres Gonzalez & Diego Rodriguez, 2015. "Sharing a Ride on the Commodities Roller Coaster: Common Factors in Business Cycles of Emerging Economies," IMF Working Papers 2015/280, International Monetary Fund.
    10. Moran, Kevin & Nono, Simplice Aimé, 2018. "Gradual learning about shocks and the forward premium puzzle," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 79-100.
    11. Maryam Movahedifar & Hossein Hassani & Masoud Yarmohammadi & Mahdi Kalantari & Rangan Gupta, 2021. "A robust approach for outlier imputation: Singular Spectrum Decomposition," Working Papers 202164, University of Pretoria, Department of Economics.

  6. Joseph W. Gruber & Andrew H. McCallum & Robert J. Vigfusson, 2016. "The Dollar in the U.S. International Transactions (USIT) Model," IFDP Notes 2016-02-08-2, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Willem Thorbecke, 2018. "The Exposure of U.S. Manufacturing Industries to Exchange Rates," Growth Lab Working Papers 111, Harvard's Growth Lab.
    2. Lael Brainard, 2016. "What Happened to the Great Divergence? a speech at the 2016 U.S. Monetary Policy Forum, New York, New York, February 26, 2016," Speech 891, Board of Governors of the Federal Reserve System (U.S.).
    3. Office of Financial Research (ed.), 2016. "2016 Financial Stability Report," Reports, Office of Financial Research, US Department of the Treasury, number 16-3, May.
    4. Willem Thorbecke & Nimesh Salike, 2020. "Export Sophistication and Trade Elasticities," Journal of Asian Economic Integration, , vol. 2(1), pages 7-26, April.
    5. Mr. Yasser Abdih & Mr. Ravi Balakrishnan & Baoping Shang, 2016. "What is Keeping U.S. Core Inflation Low: Insights from a Bottom-Up Approach," IMF Working Papers 2016/124, International Monetary Fund.
    6. Masuda, Kazuto, 2021. "Trade Policy and the Marshall–Lerner Condition: Application of the Tobit Model," SocArXiv njzk3, Center for Open Science.
    7. Colin J. Hottman & Ryan Monarch, 2023. "Who�s Most Exposed to International Shocks? Estimating Differences in Import Price Sensitivity across U.S. Demographic Groups," Working Papers 23-13, Center for Economic Studies, U.S. Census Bureau.
    8. Lael Brainard, 2016. "An Update on the Outlook, Liquidity, and Resilience : a speech at the Institute of International Bankers Annual Washington Conference, Washington, D.C., March 7, 2016," Speech 893, Board of Governors of the Federal Reserve System (U.S.).

  7. Joseph W. Gruber & Robert J. Vigfusson, 2013. "Do Low Interest Rates Decrease Commodity Price Volatility?," IFDP Notes 2013-09-26, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Mo, Di & Gupta, Rakesh & Li, Bin & Singh, Tarlok, 2018. "The macroeconomic determinants of commodity futures volatility: Evidence from Chinese and Indian markets," Economic Modelling, Elsevier, vol. 70(C), pages 543-560.

  8. Etienne Gagnon & Benjamin R. Mandel & Robert J. Vigfusson, 2012. "Missing Import Price Changes and Low Exchange Rate Pass-Through," International Finance Discussion Papers 1040, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Fischer, Andreas & Sauré, Philip, 2016. "The speed of the exchange rate pass-through," CEPR Discussion Papers 11195, C.E.P.R. Discussion Papers.
    2. López-Salido, J David & Gagnon, Etienne & Sockin, Jason, 2015. "The Cyclicality of Sales, Regular and Effective Prices: Comment," CEPR Discussion Papers 10726, C.E.P.R. Discussion Papers.
    3. Olivier de Bandt & Tovonony Razafindrabe, 2014. "Does nominal rigidity mislead our perception of the exchange rate pass-through?," EconomiX Working Papers 2014-36, University of Paris Nanterre, EconomiX.
    4. Ariel Burstein & Gita Gopinath, 2013. "International Prices and Exchange Rates," NBER Working Papers 18829, National Bureau of Economic Research, Inc.
    5. Auer, Raphael, 2015. "Exchange Rate Pass-Through, Domestic Competition, and Inflation: Evidence from the 2005/08 Revaluation of the Renminbi," CEPR Discussion Papers 10344, C.E.P.R. Discussion Papers.
    6. Raphael A. Auer & Thomas Chaney & Philip U. Sauré, 2012. "Quality Pricing-to-Market," Working Papers 2012-11, Swiss National Bank.
    7. Mina Kim & Deokwoo Nam & Jian Wang & Jason J. Wu, 2013. "International trade price stickiness and exchange rate pass-through in micro data: a case study on U.S.–China trade," Globalization Institute Working Papers 135, Federal Reserve Bank of Dallas.
    8. Etienne Gagnon & Benjamin R. Mandel & Robert J. Vigfusson, 2012. "Missing Import Price Changes and Low Exchange Rate Pass-Through," International Finance Discussion Papers 1040, Board of Governors of the Federal Reserve System (U.S.).
    9. Roberto Rigobon & Brent Neiman & Alberto Cavallo, 2013. "Product Introductions, Currency Unions, and the Real Exchange Rate," 2013 Meeting Papers 1357, Society for Economic Dynamics.
    10. Mikael Carlsson, 2017. "Microdata Evidence on the Empirical Importance of Selection Effects in Menu‐Cost Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(8), pages 1803-1830, December.
    11. Philip Sauré & Andrei Levchenko & Raphael Auer, 2017. "International Inflation Spillovers Through Input Linkages," 2017 Meeting Papers 1208, Society for Economic Dynamics.
    12. Natalie Chen & Luciana Juvenal, 2014. "Quality, Trade, and Exchange Rate Pass-Through," IMF Working Papers 2014/042, International Monetary Fund.
    13. Mina Kim & Deokwoo Nam & Jian Wang & Jason Wu, 2013. "International Trade Price Stickiness and Exchange Rate and Pass-Through in Micro Data: A Case Study on US-China Trade," Working Papers 202013, Hong Kong Institute for Monetary Research.
    14. Alberto Cavallo & Brent Neiman & Roberto Rigobon, 2014. "Currency Unions, Product Introductions, and the Real Exchange Rate," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 129(2), pages 529-595.
    15. Gee Hee Hong & Nicholas Li, 2013. "Market Structure and Cost Pass-Through in Retail," Staff Working Papers 13-5, Bank of Canada.
    16. Colin Hottman & Surabhi Ghai, 2019. "Exchange Rates, Product Variety, and Substitution in U.S. Scanner Data," 2019 Meeting Papers 1059, Society for Economic Dynamics.
    17. Nagengast, Arne J. & Bursian, Dirk & Menz, Jan-Oliver, 2021. "Dynamic pricing and exchange rate pass-through: Evidence from transaction-level data," European Economic Review, Elsevier, vol. 133(C).
    18. Md Deluair Hossen, 2023. "Exchange Rate Pass-Through and Data Frequency: Firm-Level Evidence from Bangladesh," Papers 2303.04101, arXiv.org.
    19. M. Tiunova G. & М. Тиунова Г., 2018. "Моделирование Эффекта Переноса Валютного Курса На Цены В России // Modeling The Transfer Effect Of Exchange Rate On Prices In Russia," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 22(3), pages 136-154.
    20. Juan Carlos Berganza & Pedro del Río & Fructuoso Borrallo, 2016. "Determinants and implications of low global inflation rates," Occasional Papers 1608, Banco de España.
    21. Zaichao Du & Jie Li & Pei Pei, 2021. "The impacts of China’s exchange rate regime reform in 2005: A counterfactual analysis," Review of Development Economics, Wiley Blackwell, vol. 25(1), pages 430-448, February.
    22. Syed Al-Helal Uddin, 2016. "Value-added Trade, Exchange Rate Pass-Through and Trade Elasticity: Revisiting the Trade Competitiveness," 2016 Papers pud11, Job Market Papers.
    23. Imura, Yuko, 2016. "Endogenous trade participation with price rigidities," Journal of International Economics, Elsevier, vol. 100(C), pages 14-33.
    24. Naoko Hara & Kazuhiro Hiraki & Yoshitaka Ichise, 2015. "Changing Exchange Rate Pass-Through in Japan: Does It Indicate Changing Pricing Behavior?," Bank of Japan Working Paper Series 15-E-4, Bank of Japan.

  9. Kilian, Lutz & Vigfusson, Robert J., 2012. "Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries," CEPR Discussion Papers 8980, C.E.P.R. Discussion Papers.

    Cited by:

    1. Chen, Shiu-Sheng, 2013. "Forecasting Crude Oil Price Movements with Oil-Sensitive Stocks," MPRA Paper 49240, University Library of Munich, Germany.
    2. Imran Shah, 2012. "Revisiting the Dynamic Effects of Oil Price Shock on Small Developing Economies," Bristol Economics Discussion Papers 12/626, School of Economics, University of Bristol, UK.
    3. Nima Nonejad, 2021. "Should crude oil price volatility receive more attention than the price of crude oil? An empirical investigation via a large‐scale out‐of‐sample forecast evaluation of US macroeconomic data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 769-791, August.
    4. Ben-Salha, Ousama & Mokni, Khaled, 2022. "Detrended cross-correlation analysis in quantiles between oil price and the US stock market," Energy, Elsevier, vol. 242(C).
    5. Khan, Faridoon & Muhammadullah, Sara & Sharif, Arshian & Lee, Chien-Chiang, 2024. "The role of green energy stock market in forecasting China's crude oil market: An application of IIS approach and sparse regression models," Energy Economics, Elsevier, vol. 130(C).
    6. Cheng, Zishu & Li, Mingchen & Sun, Yuying & Hong, Yongmiao & Wang, Shouyang, 2024. "Climate change and crude oil prices: An interval forecast model with interval-valued textual data," Energy Economics, Elsevier, vol. 134(C).
    7. Bakas, Dimitrios & Ioakimidis, Marilou & Triantafyllou, Athanasios, 2020. "Commodity Price Uncertainty as a Leading Indicator of Economic Activity," Essex Finance Centre Working Papers 27361, University of Essex, Essex Business School.
    8. Erdemalp Ozden & Didem Guleryuz, 2022. "Optimized Machine Learning Algorithms for Investigating the Relationship Between Economic Development and Human Capital," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 347-373, June.
    9. Piergiorgio Alessandri & Antonio M. Conti & Fabrizio Venditti, 2016. "The Financial Stability Dark Side of Monetary Policy," BCAM Working Papers 1601, Birkbeck Centre for Applied Macroeconomics.
    10. Ben Salem, Leila & Nouira, Ridha & Saafi, Sami & Rault, Christophe, 2024. "How do oil prices affect the GDP and its components? New evidence from a time-varying threshold model," Energy Policy, Elsevier, vol. 190(C).
    11. Maheu, John M & Yang, Qiao & Song, Yong, 2018. "Oil Price Shocks and Economic Growth: The Volatility Link," MPRA Paper 83779, University Library of Munich, Germany.
    12. Noguera, José, 2017. "The Seven Sisters versus OPEC: Solving the mystery of the petroleum market structure," Energy Economics, Elsevier, vol. 64(C), pages 298-305.
    13. Nonejad, Nima, 2021. "Predicting equity premium using news-based economic policy uncertainty: Not all uncertainty changes are equally important," International Review of Financial Analysis, Elsevier, vol. 77(C).
    14. Lu Wang & Feng Ma & Guoshan Liu & Qiaoqi Lang, 2023. "Do extreme shocks help forecast oil price volatility? The augmented GARCH‐MIDAS approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 2056-2073, April.
    15. Nonejad, Nima, 2019. "Forecasting aggregate equity return volatility using crude oil price volatility: The role of nonlinearities and asymmetries," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    16. Balcilar, Mehmet & Gupta, Rangan & Wohar, Mark E., 2017. "Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data," Energy Economics, Elsevier, vol. 61(C), pages 72-86.
    17. Nima Nonejad, 2020. "Does the price of crude oil help predict the conditional distribution of aggregate equity return?," Empirical Economics, Springer, vol. 58(1), pages 313-349, January.
    18. Moses Tule & Afees Salisu & Charles Chiemeke, 2020. "Improving Nigeria’s Inflation Forecast with Oil Price: The Role of Estimators," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(1), pages 191-229, March.
    19. Valadkhani, Abbas & Ghazanfari, Arezoo & Nguyen, Jeremy & Moradi-Motlagh, Amir, 2021. "The asymmetric effects of COVID19 on wholesale fuel prices in Australia," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 255-266.
    20. Salisu, Afees A. & Isah, Kazeem O., 2018. "Predicting US inflation: Evidence from a new approach," Economic Modelling, Elsevier, vol. 71(C), pages 134-158.
    21. 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).
    22. Basel Awartani & Aktham Maghyereh & Julie Ayton, 2019. "Oil Price Changes And Industrial Output In The Mena Region: Nonlinearities And Asymmetries," Working Papers 1342, Economic Research Forum, revised 20 Sep 2019.
    23. Lu, Xinjie & Ma, Feng & Wang, Tianyang & Wen, Fenghua, 2023. "International stock market volatility: A data-rich environment based on oil shocks," Journal of Economic Behavior & Organization, Elsevier, vol. 214(C), pages 184-215.
    24. Wang, Shu & Zhou, Baicheng & Gao, Tianshu, 2023. "Speculation or actual demand? The return spillover effect between stock and commodity markets," Journal of Commodity Markets, Elsevier, vol. 29(C).
    25. Salisu, Afees A. & Ademuyiwa, Idris & Isah, Kazeem O., 2018. "Revisiting the forecasting accuracy of Phillips curve: The role of oil price," Energy Economics, Elsevier, vol. 70(C), pages 334-356.
    26. Jacint Balaguer & Manuel Cantavella-Jordá, 2014. "The Effect of Economic Growth and Oil Price Variations on CO2 Emissions: Evidence from Spain (1874-2011)," Working Papers 2014/22, Economics Department, Universitat Jaume I, Castellón (Spain).
    27. Soliman, Alaa M. & Lau, Chi Keung & Cai, Yifei & Sarker, Provash Kumer & Dastgir, Shabbir, 2023. "Asymmetric Effects of Energy Inflation, Agri-inflation and CPI on Agricultural Output: Evidence from NARDL and SVAR Models for the UK," Energy Economics, Elsevier, vol. 126(C).
    28. Nonejad, Nima, 2022. "Forecasting crude oil price volatility out-of-sample using news-based geopolitical risk index: What forms of nonlinearity help improve forecast accuracy the most?," Finance Research Letters, Elsevier, vol. 46(PA).
    29. Afees A. Salisu & Umar B. Ndako, 2017. "Modelling stock price-exchange rate nexus in OECD countries - A new perspective," Working Papers 038, Centre for Econometric and Allied Research, University of Ibadan.
    30. Nima Nonejad, 2021. "Crude oil price point forecasts of the Norwegian GDP growth rate," Empirical Economics, Springer, vol. 61(5), pages 2913-2930, November.
    31. Monika Roman & Aleksandra Górecka & Joanna Domagała, 2020. "The Linkages between Crude Oil and Food Prices," Energies, MDPI, vol. 13(24), pages 1-18, December.
    32. Wang, Yudong & Liu, Li & Wu, Chongfeng, 2017. "Forecasting the real prices of crude oil using forecast combinations over time-varying parameter models," Energy Economics, Elsevier, vol. 66(C), pages 337-348.
    33. An, Lian & Jin, Xiaoze & Ren, Xiaomei, 2014. "Are the macroeconomic effects of oil price shock symmetric?: A Factor-Augmented Vector Autoregressive approach," Energy Economics, Elsevier, vol. 45(C), pages 217-228.
    34. 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.
    35. Charfeddine, Lanouar & Klein, Tony & Walther, Thomas, 2018. "Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?," QBS Working Paper Series 2018/03, Queen's University Belfast, Queen's Business School.
    36. Xing, Li-Min & Zhang, Yue-Jun, 2022. "Forecasting crude oil prices with shrinkage methods: Can nonconvex penalty and Huber loss help?," Energy Economics, Elsevier, vol. 110(C).
    37. Umar, Zaghum & Mokni, Khaled & Manel, Youssef & Gubareva, Mariya, 2024. "Dynamic spillover between oil price shocks and technology stock indices: A country level analysis," Research in International Business and Finance, Elsevier, vol. 69(C).
    38. Rajesh H. Acharya & Anver C. Sadath, 2018. "Revisiting the relationship between oil price and macro economy: Evidence from India," ECONOMICS AND POLICY OF ENERGY AND THE ENVIRONMENT, FrancoAngeli Editore, vol. 2018(1), pages 173-190.
    39. Lu, Fei & Ma, Feng & Feng, Lin, 2024. "Carbon dioxide emissions and economic growth: New evidence from GDP forecasting," Technological Forecasting and Social Change, Elsevier, vol. 205(C).
    40. Pal, Debdatta & Mitra, Subrata Kumar, 2019. "Asymmetric oil price transmission to the purchasing power of the U.S. dollar: A multiple threshold NARDL modelling approach," Resources Policy, Elsevier, vol. 64(C).
    41. Pozo, Veronica F. & Bachmeier, Lance J. & Schroeder, Ted C., 2021. "Are there price asymmetries in the U.S. beef market?," Journal of Commodity Markets, Elsevier, vol. 21(C).
    42. Chen, Hongtao & Liu, Li & Wang, Yudong & Zhu, Yingming, 2016. "Oil price shocks and U.S. dollar exchange rates," Energy, Elsevier, vol. 112(C), pages 1036-1048.
    43. Nonejad, Nima, 2021. "The price of crude oil and (conditional) out-of-sample predictability of world industrial production," Journal of Commodity Markets, Elsevier, vol. 23(C).
    44. Nicholas Apergis, 2023. "Forecasting energy prices: Quantile‐based risk models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(1), pages 17-33, January.
    45. Nonejad, Nima, 2020. "Crude oil price volatility and short-term predictability of the real U.S. GDP growth rate," Economics Letters, Elsevier, vol. 186(C).
    46. Badeeb, Ramez Abubakr & Szulczyk, Kenneth R. & Lean, Hooi Hooi, 2021. "Asymmetries in the effect of oil rent shocks on economic growth: A sectoral analysis from the perspective of the oil curse," Resources Policy, Elsevier, vol. 74(C).
    47. Sun, Qingru & An, Haizhong & Gao, Xiangyun & Guo, Sui & Wang, Ze & Liu, Siyao & Wen, Shaobo, 2019. "Effects of crude oil shocks on the PPI system based on variance decomposition network analysis," Energy, Elsevier, vol. 189(C).
    48. 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.
    49. Zhang, Yaojie & Ma, Feng & Shi, Benshan & Huang, Dengshi, 2018. "Forecasting the prices of crude oil: An iterated combination approach," Energy Economics, Elsevier, vol. 70(C), pages 472-483.
    50. Degiannakis, Stavros & Filis, George, 2023. "Oil price assumptions for macroeconomic policy," Energy Economics, Elsevier, vol. 117(C).
    51. Iwaisako, Tokuo & Nakata, Hayato, 2017. "Impact of exchange rate shocks on Japanese exports: Quantitative assessment using a structural VAR model," Journal of the Japanese and International Economies, Elsevier, vol. 46(C), pages 1-16.
    52. Rangan Gupta & Mark E. Wohar, 2015. "Forecasting Oil and Stock Returns with a Qual VAR using over 150 Years of Data," Working Papers 201589, University of Pretoria, Department of Economics.
    53. Afees A. Salisu & Kazeem O. Isah & Idris Ademuyiwa, 2017. "Testing for asymmetries in the predictive model for oil price-inflation nexus," Economics Bulletin, AccessEcon, vol. 37(3), pages 1797-1804.
    54. Pan, Zhiyuan & Wang, Qing & Wang, Yudong & Yang, Li, 2018. "Forecasting U.S. real GDP using oil prices: A time-varying parameter MIDAS model," Energy Economics, Elsevier, vol. 72(C), pages 177-187.
    55. Akdoğan, Kurmaş, 2020. "Fundamentals versus speculation in oil market: The role of asymmetries in price adjustment?," Resources Policy, Elsevier, vol. 67(C).
    56. Gonzato, Luca & Sgarra, Carlo, 2021. "Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging," Energy Economics, Elsevier, vol. 99(C).
    57. Nonejad, Nima, 2023. "Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 91-122.
    58. Nonejad, Nima, 2020. "Crude oil price changes and the United Kingdom real gross domestic product growth rate: An out-of-sample investigation," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    59. Pal, Debdatta & Mitra, Subrata Kumar, 2015. "Asymmetric impact of crude price on oil product pricing in the United States: An application of multiple threshold nonlinear autoregressive distributed lag model," Economic Modelling, Elsevier, vol. 51(C), pages 436-443.
    60. Dufays, Arnaud & Rombouts, Jeroen V.K., 2020. "Relevant parameter changes in structural break models," Journal of Econometrics, Elsevier, vol. 217(1), pages 46-78.
    61. Agboola, Emmanuel & Chowdhury, Rosen & Yang, Bo, 2024. "Oil price fluctuations and their impact on oil-exporting emerging economies," Economic Modelling, Elsevier, vol. 132(C).
    62. Ouyang, Zisheng & Lu, Min & Ouyang, Zhongzhe & Zhou, Xuewei & Wang, Ren, 2024. "A novel integrated method for improving the forecasting accuracy of crude oil: ESMD-CFastICA-BiLSTM-Attention," Energy Economics, Elsevier, vol. 138(C).
    63. Nima Nonejad, 2021. "Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables," Quantitative Finance, Taylor & Francis Journals, vol. 21(8), pages 1387-1411, August.
    64. Costa, Alexandre Bonnet R. & Ferreira, Pedro Cavalcanti G. & Gaglianone, Wagner P. & Guillén, Osmani Teixeira C. & Issler, João Victor & Lin, Yihao, 2021. "Machine learning and oil price point and density forecasting," Energy Economics, Elsevier, vol. 102(C).
    65. Cheng, Xian & Wu, Peng & Liao, Stephen Shaoyi & Wang, Xuelian, 2023. "An integrated model for crude oil forecasting: Causality assessment and technical efficiency," Energy Economics, Elsevier, vol. 117(C).
    66. Dong, Minyi & Chang, Chun-Ping & Gong, Qiang & Chu, Yin, 2019. "Revisiting global economic activity and crude oil prices: A wavelet analysis," Economic Modelling, Elsevier, vol. 78(C), pages 134-149.
    67. Sinan Q. Salih & Intisar Alakili & Ufuk Beyaztas & Shamsuddin Shahid & Zaher Mundher Yaseen, 2021. "Prediction of dissolved oxygen, biochemical oxygen demand, and chemical oxygen demand using hydrometeorological variables: case study of Selangor River, Malaysia," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 23(5), pages 8027-8046, May.
    68. Kim, Myung Suk, 2018. "Impacts of supply and demand factors on declining oil prices," Energy, Elsevier, vol. 155(C), pages 1059-1065.
    69. Nima Nonejad, 2022. "New Findings Regarding the Out-of-Sample Predictive Impact of the Price of Crude Oil on the United States Industrial Production," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 18(1), pages 1-35, March.
    70. Yin, Libo & Wang, Yang, 2019. "Forecasting the oil prices: What is the role of skewness risk?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    71. Nima Nonejad, 2020. "A detailed look at crude oil price volatility prediction using macroeconomic variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1119-1141, November.
    72. Zeng, Qing & Zhang, Jixiang & Zhong, Juandan, 2024. "China's futures market volatility and sectoral stock market volatility prediction," Energy Economics, Elsevier, vol. 132(C).
    73. Wen, Danyan & Liu, Li & Ma, Chaoqun & Wang, Yudong, 2020. "Extreme risk spillovers between crude oil prices and the U.S. exchange rate: Evidence from oil-exporting and oil-importing countries," Energy, Elsevier, vol. 212(C).
    74. Caporale, Guglielmo Maria & Çatık, Abdurrahman Nazif & Huyuguzel Kısla, Gul Serife & Helmi, Mohamad Husam & Akdeniz, Coşkun, 2022. "Oil prices and sectoral stock returns in the BRICS-T countries: A time-varying approach," Resources Policy, Elsevier, vol. 79(C).
    75. Nonejad, Nima, 2020. "A comprehensive empirical analysis of the predictive impact of the price of crude oil on aggregate equity return volatility," Journal of Commodity Markets, Elsevier, vol. 20(C).
    76. Vasilios Plakandaras & Juncal Cunado & Rangan Gupta & Mark E. Wohar, 2016. "Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data," Working Papers 201685, University of Pretoria, Department of Economics.
    77. Mont'Alverne Duarte, Angelo & Gaglianone, Wagner Piazza & de Carvalho Guillén, Osmani Teixeira & Issler, João Victor, 2021. "Commodity prices and global economic activity: A derived-demand approach," Energy Economics, Elsevier, vol. 96(C).
    78. Lu, Xinjie & Ma, Feng & Wang, Jiqian & Zhu, Bo, 2021. "Oil shocks and stock market volatility: New evidence," Energy Economics, Elsevier, vol. 103(C).
    79. Padhan, Hemachandra & Kocoglu, Mustafa & Tiwari, Aviral Kumar & Haouas, Ilham, 2024. "Economic activities, dry bulk freight, and economic policy uncertainties as drivers of oil prices: A tail-behaviour time-varying causality perspective," Energy Economics, Elsevier, vol. 138(C).
    80. Atems, Bebonchu & Mette, Jehu & Lin, Guoyu & Madraki, Golshan, 2023. "Estimating and forecasting the impact of nonrenewable energy prices on US renewable energy consumption," Energy Policy, Elsevier, vol. 173(C).
    81. Ozge Kandemir Kocaaslan, 2021. "Are the responses of output and investment to oil price shocks asymmetric?: The case of an oil-importing small open economy," Empirical Economics, Springer, vol. 61(5), pages 2501-2516, November.
    82. Steven D. Baker, 2021. "The Financialization of Storable Commodities," Management Science, INFORMS, vol. 67(1), pages 471-499, January.
    83. Nonejad, Nima, 2022. "Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    84. Roach, Travis, 2015. "Hidden regimes and the demand for carbon dioxide from motor-gasoline," Energy Economics, Elsevier, vol. 52(PB), pages 306-315.
    85. Rossi, Barbara & Gürkaynak, Refet & Kısacıkoğlu, Burçin, 2013. "Do DSGE Models Forecast More Accurately Out-of-Sample than VAR Models?," CEPR Discussion Papers 9576, C.E.P.R. Discussion Papers.
    86. Jeremy J. Nalewaik, 2015. "Regime-Switching Models for Estimating Inflation Uncertainty," Finance and Economics Discussion Series 2015-93, Board of Governors of the Federal Reserve System (U.S.).
    87. Bergmann, Philip, 2019. "Oil price shocks and GDP growth: Do energy shares amplify causal effects?," Energy Economics, Elsevier, vol. 80(C), pages 1010-1040.
    88. Ferreira, Paulo & Pereira, Éder Johson de Area Leão & Silva, Marcus Fernandes da & Pereira, Hernane Borges, 2019. "Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 86-96.
    89. Wang, Jiqian & Huang, Yisu & Ma, Feng & Chevallier, Julien, 2020. "Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? New evidence," Energy Economics, Elsevier, vol. 91(C).
    90. Herrera, Ana María & Karaki, Mohamad B. & Rangaraju, Sandeep Kumar, 2019. "Oil price shocks and U.S. economic activity," Energy Policy, Elsevier, vol. 129(C), pages 89-99.
    91. Nima Ebrahimi & Craig Pirrong, 2020. "Oil jump risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(8), pages 1282-1311, August.
    92. Nonejad, Nima, 2022. "Equity premium prediction using the price of crude oil: Uncovering the nonlinear predictive impact," Energy Economics, Elsevier, vol. 115(C).
    93. Zulfigarov, Farid & Neuenkirch, Matthias, 2020. "The impact of oil price changes on selected macroeconomic indicators in Azerbaijan," Economic Systems, Elsevier, vol. 44(4).
    94. Fresoli, Diego & Ruiz, Esther & Pascual, Lorenzo, 2015. "Bootstrap multi-step forecasts of non-Gaussian VAR models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 834-848.
    95. Naser, Hanan, 2016. "Estimating and forecasting the real prices of crude oil: A data rich model using a dynamic model averaging (DMA) approach," Energy Economics, Elsevier, vol. 56(C), pages 75-87.
    96. Wang, Yudong & Wei, Yu & Wu, Chongfeng & Yin, Libo, 2018. "Oil and the short-term predictability of stock return volatility," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 90-104.
    97. Dbouk, Wassim & Jamali, Ibrahim, 2018. "Predicting daily oil prices: Linear and non-linear models," Research in International Business and Finance, Elsevier, vol. 46(C), pages 149-165.
    98. Nonejad, Nima, 2021. "Predicting the return on the spot price of crude oil out-of-sample by conditioning on news-based uncertainty measures: Some new empirical results," Energy Economics, Elsevier, vol. 104(C).
    99. Nonejad, Nima, 2020. "Crude oil price volatility and equity return predictability: A comparative out-of-sample study," International Review of Financial Analysis, Elsevier, vol. 71(C).
    100. Wang, Jia & Wang, Xinyi & Wang, Xu, 2024. "International oil shocks and the volatility forecasting of Chinese stock market based on machine learning combination models," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).

  10. Etienne Gagnon & Benjamin R. Mandel & Robert J. Vigfusson, 2012. "The hitchhiker’s guide to missing import price changes and pass-through," Staff Reports 537, Federal Reserve Bank of New York.

    Cited by:

    1. Tovonony Razafindrabe, 2017. "Nonlinearity and asymmetry in the exchange rate pass-through: What role for nominal price stickiness?," Review of International Economics, Wiley Blackwell, vol. 25(4), pages 711-732, September.
    2. Gee Hee Hong & Nicholas Li, 2013. "Market Structure and Cost Pass-Through in Retail," Staff Working Papers 13-5, Bank of Canada.

  11. Joseph W. Gruber & Robert J. Vigfusson, 2012. "Interest rates and the volatility and correlation of commodity prices," International Finance Discussion Papers 1065, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Ing-Haw Cheng & Wei Xiong, 2014. "Financialization of Commodity Markets," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 419-441, December.
    2. Weshah Razzak, 2018. "The Purchasing Power Parity Puzzle: An Update," EERI Research Paper Series EERI RP 2018/05, Economics and Econometrics Research Institute (EERI), Brussels.
    3. Delle Chiaie, Simona & Ferrara, Laurent & Giannone, Domenico, 2018. "Common factors of commodity prices," Research Bulletin, European Central Bank, vol. 51.
    4. Xu, Zheng, 2013. "Estimation of parametric homogeneous stochastic volatility pricing formulae based on option data," Economics Letters, Elsevier, vol. 120(3), pages 369-373.
    5. You‐How Go & Jia‐Jun Teo & Kam Fong Chan, 2023. "The effectiveness of crude oil futures hedging during infectious disease outbreaks in the 21st century," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1559-1575, November.
    6. Chen, Peng & Miao, Xinru, 2024. "Understanding the role of China's factors in international commodity price fluctuations: A perspective of monetary-fiscal policy interaction," Economic Analysis and Policy, Elsevier, vol. 81(C), pages 1464-1483.
    7. Shahriyar Aliev & Evžen Kočenda, 2022. "ECB monetary policy and commodity prices," FFA Working Papers 4.008, Prague University of Economics and Business, revised 21 Jun 2022.
    8. Nicola, Francesca de & De Pace, Pierangelo & Hernandez, Manuel A., 2016. "Co-movement of major energy, agricultural, and food commodity price returns: A time-series assessment," Energy Economics, Elsevier, vol. 57(C), pages 28-41.
    9. Sercan Demiralay & Selcuk Bayraci & H. Gaye Gencer, 2019. "Time-varying diversification benefits of commodity futures," Empirical Economics, Springer, vol. 56(6), pages 1823-1853, June.
    10. Deepa Dhume Datta & Benjamin K. Johannsen & Hannah Kwon & Robert J. Vigfusson, 2018. "Oil, Equities, and the Zero Lower Bound," Finance and Economics Discussion Series 2018-058, Board of Governors of the Federal Reserve System (U.S.).
    11. Jinan Liu & Apostolos Serletis, 2022. "World Commodity Prices and Economic Activity in Advanced and Emerging Economies," Open Economies Review, Springer, vol. 33(2), pages 347-374, April.
    12. Bayaa, Yasmeen & Qadan, Mahmoud, 2024. "The shape of the Treasury yield curve and commodity prices," International Review of Financial Analysis, Elsevier, vol. 94(C).
    13. Ruipeng Liu & Mawuli Segnon & Oguzhan Cepni & Rangan Gupta, 2023. "Forecasting Volatility of Commodity, Currency, and Stock Markets: Evidence from Markov Switching Multifractal Models," Working Papers 202340, University of Pretoria, Department of Economics.
    14. Christophe Gouel & Qingyin Ma & John Stachurski, 2023. "Interest Rate Dynamics and Commodity Prices," Papers 2308.07577, arXiv.org, revised Sep 2024.
    15. Bigerna, Simona & D'Errico, Maria Chiara & Polinori, Paolo & Simshauer, Paul, 2022. "Renewable energy and portfolio volatility spillover effects of GCC oil exporting countries," MPRA Paper 114164, University Library of Munich, Germany.
    16. Bessler, Wolfgang & Wolff, Dominik, 2015. "Do commodities add value in multi-asset portfolios? An out-of-sample analysis for different investment strategies," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 1-20.
    17. Cortney Cowley, 2024. "The Expanding Role of Renewable Fuel Policy as a Demand Driver in Agriculture," Economic Review, Federal Reserve Bank of Kansas City, vol. 0(no. 6), pages 1-16, July.
    18. Nikolaos T. Milonas & Evangelia K. Photina, 2024. "The convenience yield under commodity financialization," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 631-652, April.
    19. Hu, Min & Zhang, Dayong & Ji, Qiang & Wei, Lijian, 2020. "Macro factors and the realized volatility of commodities: A dynamic network analysis," Resources Policy, Elsevier, vol. 68(C).

  12. Trevor A. Reeve & Robert J. Vigfusson, 2011. "Evaluating the forecasting performance of commodity futures prices," International Finance Discussion Papers 1025, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Chen, Shiu-Sheng, 2013. "Forecasting Crude Oil Price Movements with Oil-Sensitive Stocks," MPRA Paper 49240, University Library of Munich, Germany.
    2. Ding Du & Ronald J Gunderson & Xiaobing Zhao, 2016. "Investor sentiment and oil prices," Journal of Asset Management, Palgrave Macmillan, vol. 17(2), pages 73-88, March.
    3. Baumeister, Christiane & Kilian, Lutz, 2013. "Are product spreads useful for forecasting? An empirical evaluation of the Verleger hypothesis," CFS Working Paper Series 2013/09, Center for Financial Studies (CFS).
    4. Hardy, Nicolás & Ferreira, Tiago & Quinteros, Maria J. & Magner, Nicolás S., 2023. "“Watch your tone!”: Forecasting mining industry commodity prices with financial report tone," Resources Policy, Elsevier, vol. 86(PA).
    5. Rehman, Mobeen Ur & Owusu Junior, Peterson & Ahmad, Nasir & Vo, Xuan Vinh, 2022. "Time-varying risk analysis for commodity futures," Resources Policy, Elsevier, vol. 78(C).
    6. Mr. David A Reichsfeld & Mr. Shaun K. Roache, 2011. "Do Commodity Futures Help Forecast Spot Prices?," IMF Working Papers 2011/254, International Monetary Fund.
    7. Pincheira, Pablo & Hardy, Nicolas, 2018. "Forecasting Base Metal Prices with Commodity Currencies," MPRA Paper 83564, University Library of Munich, Germany.
    8. Christiane Baumeister & Lutz Kilian, 2013. "Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach," Staff Working Papers 13-28, Bank of Canada.
    9. Pincheira Brown, Pablo & Hardy, Nicolás, 2019. "Forecasting base metal prices with the Chilean exchange rate," Resources Policy, Elsevier, vol. 62(C), pages 256-281.
    10. Hui Jun ZHANG & Jean-Marie DUFOUR & John W. GALBRAITH, 2013. "Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons," Cahiers de recherche 14-2013, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    11. Fernandez, Viviana, 2017. "A historical perspective of the informational content of commodity futures," Resources Policy, Elsevier, vol. 51(C), pages 135-150.
    12. Fernandez, Viviana, 2020. "The predictive power of convenience yields," Resources Policy, Elsevier, vol. 65(C).
    13. Mihaela Bratu, 2012. "A Strategy to Improve the Survey of Professional Forecasters (SPF) Predictions Using Bias-Corrected-Accelerated (BCA) Bootstrap Forecast Intervals," International Journal of Synergy and Research, ToKnowPress, vol. 1(2), pages 45-59.
    14. Nixon, Dan & Smith, Tom, 2012. "What can the oil futures curve tell us about the outlook for oil prices?," Bank of England Quarterly Bulletin, Bank of England, vol. 52(1), pages 39-47.
    15. Bratu Mihaela, 2013. "An Evaluation Of Usa Unemployment Rate Forecasts In Terms Of Accuracy And Bias. Empirical Methods To Improve The Forecasts Accuracy," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 1, pages 170-180, February.
    16. Clark, Andrew, 2022. "Causality in the aluminum market," Journal of Commodity Markets, Elsevier, vol. 27(C).
    17. Funk, Christoph, 2018. "Forecasting the real price of oil - Time-variation and forecast combination," Energy Economics, Elsevier, vol. 76(C), pages 288-302.
    18. Naser, Hanan, 2016. "Estimating and forecasting the real prices of crude oil: A data rich model using a dynamic model averaging (DMA) approach," Energy Economics, Elsevier, vol. 56(C), pages 75-87.
    19. Trop, P. & Anicic, B. & Goricanec, D., 2014. "Production of methanol from a mixture of torrefied biomass and coal," Energy, Elsevier, vol. 77(C), pages 125-132.

  13. Ron Alquist & Lutz Kilian & Robert Vigfusson, 2011. "Forecasting the Price of Oil," Staff Working Papers 11-15, Bank of Canada.

    Cited by:

    1. Wang, Yudong & Hao, Xianfeng, 2023. "Forecasting the real prices of crude oil: What is the role of parameter instability?," Energy Economics, Elsevier, vol. 117(C).
    2. 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.
    3. Delle Chiaie, Simona & Ferrara, Laurent & Giannone, Domenico, 2018. "Common factors of commodity prices," Research Bulletin, European Central Bank, vol. 51.
    4. Chen, Shiu-Sheng, 2013. "Forecasting Crude Oil Price Movements with Oil-Sensitive Stocks," MPRA Paper 49240, University Library of Munich, Germany.
    5. Lutz Kilian & Xiaoqing Zhou, 2019. "Oil Prices, Exchange Rates and Interest Rates," Working Papers 1914, Federal Reserve Bank of Dallas.
    6. Kilian, Lutz & Fattouh, Bassam & 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.
    7. Mr. Ron Alquist & Mr. Olivier Coibion, 2013. "The Comovement in Commodity Prices: Sources and Implications," IMF Working Papers 2013/140, International Monetary Fund.
    8. Lutz Kilian & Xiaoqing Zhou, 2021. "The Impact of Rising Oil Prices on U.S. Inflation and Inflation Expectations in 2020-23," CESifo Working Paper Series 9455, CESifo.
    9. Coletti, Donald & Lalonde, René & Masson, Paul & Muir, Dirk & Snudden, Stephen, 2021. "Commodities and monetary policy: Implications for inflation and price level targeting," Journal of Policy Modeling, Elsevier, vol. 43(5), pages 982-999.
    10. Sugaipov, Deni, 2022. "Estimating the impact of terms of trade news shocks on the Russian economy," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 66, pages 39-67.
    11. Dr. Angela Abbate & Sandra Eickmeier & Esteban Prieto, 2020. "Financial shocks and inflation dynamics," Working Papers 2020-13, Swiss National Bank.
    12. Lu-Tao Zhao & Shun-Gang Wang & Zhi-Gang Zhang, 2020. "Oil Price Forecasting Using a Time-Varying Approach," Energies, MDPI, vol. 13(6), pages 1-16, March.
    13. Chris Florakis & Gianluigi Giorgioni & Alexandros Kostakis & Costas Milas, 2012. "The Impact of Stock Market Illiquidity on Real UK GDP Growth," Working Paper series 65_12, Rimini Centre for Economic Analysis.
    14. Pan, Zhiyuan & Zhong, Hao & Wang, Yudong & Huang, Juan, 2024. "Forecasting oil futures returns with news," Energy Economics, Elsevier, vol. 134(C).
    15. Gao, Liping & Kim, Hyeongwoo & Saba, Richard, 2014. "How Do Oil Price Shocks Affect Consumer Prices?," MPRA Paper 57259, University Library of Munich, Germany.
    16. Wensheng Kang & Ronald A. Ratti, 2014. "Policy Uncertainty in China, Oil Shocks and Stock Returns," CAMA Working Papers 2014-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    17. Yannick Le Pen & Benoît Sévi, 2013. "Futures trading and the excess comovement of commodity prices," Working Papers 2013-19, Department of Research, Ipag Business School.
    18. Khan, Faridoon & Muhammadullah, Sara & Sharif, Arshian & Lee, Chien-Chiang, 2024. "The role of green energy stock market in forecasting China's crude oil market: An application of IIS approach and sparse regression models," Energy Economics, Elsevier, vol. 130(C).
    19. Blaise Gnimassoun & Marc Joëts & Tovonony Razafindrabe, 2016. "On the link between current account and oil price fluctuations in diversified economies: The case of Canada," EconomiX Working Papers 2016-35, University of Paris Nanterre, EconomiX.
    20. Johannes Pfeiffer, 2017. "Fossil Resources and Climate Change – The Green Paradox and Resource Market Power Revisited in General Equilibrium," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 77.
    21. Polbin, Andrey & Fokin, Nikita, 2017. "К Вопросу О Долгосрочной Взаимосвязи Реального Потребления Домохозяйств С Реальным Доходом В Рф [A note on cointegration relationship between real consumption and real income in Russia]," MPRA Paper 82451, University Library of Munich, Germany, revised Nov 2017.
    22. Figuerola-Ferretti, Isabel & McCrorie, J. Roderick & Paraskevopoulos, Ioannis, 2020. "Mild explosivity in recent crude oil prices," Energy Economics, Elsevier, vol. 87(C).
    23. Degiannakis, Stavros & Filis, George, 2017. "Forecasting oil price realized volatility using information channels from other asset classes," MPRA Paper 96276, University Library of Munich, Germany.
    24. Walter Enders & Matthew T. Holt, 2014. "The Evolving Relationships between Agricultural and Energy Commodity Prices: A Shifting-Mean Vector Autoregressive Analysis," NBER Chapters, in: The Economics of Food Price Volatility, pages 135-187, National Bureau of Economic Research, Inc.
    25. Mohammad Reza Farzanegan & Mozhgan Raeisian Parvari, 2014. "Iranian-Oil-Free Zone and International Oil Prices," MAGKS Papers on Economics 201427, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    26. Katrakilidis Constantinos & Zafeiriou Eleni & Sariannidis Nikolaos & Dimitris Bantis, 2019. "Greenhouse gas emissions–crude oil prices: an empirical investigation in a nonlinear framework," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 21(6), pages 2835-2856, December.
    27. Mehmet Balcilar & Zeynel Abidin Ozdemir, 2017. "The nexus between the oil price and its volatility in a stochastic volatility in mean model with time-varying parameters," Working Papers 15-33, Eastern Mediterranean University, Department of Economics.
    28. Christiane Baumeister & Gert Peersman, 2011. "The Role of Time-Varying Price Elasticities in Accounting for Volatility Changes in the Crude Oil Market," Staff Working Papers 11-28, Bank of Canada.
    29. Vespignani, Joaquin L. & Ratti, Ronald A., 2013. "International monetary transmission to the Euro area: Evidence from the U.S., Japan and China," MPRA Paper 49707, University Library of Munich, Germany.
    30. Vincent Brémond & Emmanuel Hache & Tovonony Razafindrabe, 2016. "The Oil Price and Exchange Rate Relationship Revisited: A time-varying VAR parameter approach," Post-Print halshs-01683809, HAL.
    31. F. Bec & A. De Gaye, 2014. "How do oil price forecast errors impact inflation forecast errors? An empirical analysis from French and US inflation forecasts," Working papers 523, Banque de France.
    32. Khalil, Makram, 2020. "Global oil prices and the macroeconomy: The role of tradeable manufacturing versus nontradeable services," Discussion Papers 60/2020, Deutsche Bundesbank.
    33. Baumeister, Christiane & Kilian, Lutz, 2014. "A general approach to recovering market expectations from futures prices with an application to crude oil," CFS Working Paper Series 466, Center for Financial Studies (CFS).
    34. Ercio Muñoz & Miguel Ricaurte & Mariel Siravegna, 2012. "Combinación de Proyecciones para el Precio del Petróleo: Aplicación y Evaluación de Metodologías," Working Papers Central Bank of Chile 660, Central Bank of Chile.
    35. Boubakri, Salem & Guillaumin, Cyriac & Silanine, Alexandre, 2019. "Non-linear relationship between real commodity price volatility and real effective exchange rate: The case of commodity-exporting countries," Journal of Macroeconomics, Elsevier, vol. 60(C), pages 212-228.
    36. Kilian, Lutz & Baumeister, Christiane, 2012. "What Central Bankers Need to Know about Forecasting Oil Prices," CEPR Discussion Papers 9118, C.E.P.R. Discussion Papers.
    37. Lutz Kilian, 2016. "The Impact of the Fracking Boom on Arab Oil Producers," CESifo Working Paper Series 5751, CESifo.
    38. Liu, Xinheng & Pan, Sishi & Li, Shuxian & Yang, Xin & Huang, Chuangxia, 2024. "Unraveling the causal impact: Oil price uncertainty on firms’ productivity in China," Resources Policy, Elsevier, vol. 96(C).
    39. Kellogg, Ryan, 2020. "Output and attribute-based carbon regulation under uncertainty," Journal of Public Economics, Elsevier, vol. 190(C).
    40. Christiane Baumeister & Dimitris Korobilis & Thomas K. Lee, 2020. "Energy Markets and Global Economic Conditions," Working Papers 2020_08, Business School - Economics, University of Glasgow.
    41. Charles W. Calomiris & Nida Çakır Melek & Harry Mamaysky, 2021. "Predicting the Oil Market," NBER Working Papers 29379, National Bureau of Economic Research, Inc.
    42. Bastianin, Andrea & Manera, Matteo, 2018. "How Does Stock Market Volatility React To Oil Price Shocks?," Macroeconomic Dynamics, Cambridge University Press, vol. 22(3), pages 666-682, April.
    43. Liu, Yang & Han, Liyan & Xu, Yang, 2021. "The impact of geopolitical uncertainty on energy volatility," International Review of Financial Analysis, Elsevier, vol. 75(C).
    44. Ratti, Ronald A & Vespignani, Joaquin L., 2013. "Why crude oil prices are high when global activity is weak?," Working Papers 2013-01, University of Tasmania, Tasmanian School of Business and Economics, revised 20 Mar 2013.
    45. Papapostolou, Nikos C. & Pouliasis, Panos K. & Nomikos, Nikos K. & Kyriakou, Ioannis, 2016. "Shipping investor sentiment and international stock return predictability," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 96(C), pages 81-94.
    46. Su, Zhi & Lu, Man & Yin, Libo, 2018. "Oil prices and news-based uncertainty: Novel evidence," Energy Economics, Elsevier, vol. 72(C), pages 331-340.
    47. Lutz Kilian & Xiaoqing Zhou, 2020. "Oil Prices, Gasoline Prices and Inflation Expectations: A New Model and New Facts," Working Papers 2025, Federal Reserve Bank of Dallas.
    48. Li, Jingrui & Wang, Rui & Wang, Jianzhou & Li, Yifan, 2018. "Analysis and forecasting of the oil consumption in China based on combination models optimized by artificial intelligence algorithms," Energy, Elsevier, vol. 144(C), pages 243-264.
    49. 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.
    50. Al Jabri, Salwa & Raghavan, Mala & Vespignani, Joaquin, 2022. "Oil prices and fiscal policy in an oil-exporter country: Empirical evidence from Oman," Energy Economics, Elsevier, vol. 111(C).
    51. Mathilde Lebrand & Garima Vasishtha & Hakan Yilmazkuday, 2023. "Energy Price Shocks and Current Account Balances: Evidence from Emerging Market and Developing Economies," Working Papers 2305, Florida International University, Department of Economics.
    52. Dr. 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.
    53. Cristiana Belu Manescu & Ine Van Robays, 2016. "Forecasting the Brent Oil Price: Addressing Time-Variation in Forecast Performance," CESifo Working Paper Series 6242, CESifo.
    54. Andreas Karathanasopoulos, 2017. "Modelling and trading commodities with a new deep belief network," Economics and Business Letters, Oviedo University Press, vol. 6(2), pages 28-34.
    55. 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.
    56. Ludovic Gauvin & Cyril Rebillard, 2015. "Towards Recoupling? Assessing the Global Impact of a Chinese Hard Landing through Trade and Commodity Price Channels," EconomiX Working Papers 2015-21, University of Paris Nanterre, EconomiX.
    57. Nonejad, Nima, 2019. "Forecasting aggregate equity return volatility using crude oil price volatility: The role of nonlinearities and asymmetries," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    58. Ronald A. Ratti & Joaquin L. Vespignani, 2015. "What drives the global interest rate," Globalization Institute Working Papers 241, Federal Reserve Bank of Dallas.
    59. Verde, Stefano F. & Di Cosmo, Valeria, 2024. "A dynamic carbon tax on gasoline," MPRA Paper 120485, University Library of Munich, Germany.
    60. Miao, Hong & Ramchander, Sanjay & Wang, Tianyang & Yang, Dongxiao, 2017. "Influential factors in crude oil price forecasting," Energy Economics, Elsevier, vol. 68(C), pages 77-88.
    61. Baumeister, Christiane & Kilian, Lutz, 2013. "Are product spreads useful for forecasting? An empirical evaluation of the Verleger hypothesis," CFS Working Paper Series 2013/09, Center for Financial Studies (CFS).
    62. Lorusso, Marco & Pieroni, Luca, 2018. "Causes and consequences of oil price shocks on the UK economy," Economic Modelling, Elsevier, vol. 72(C), pages 223-236.
    63. Nima Nonejad, 2020. "Does the price of crude oil help predict the conditional distribution of aggregate equity return?," Empirical Economics, Springer, vol. 58(1), pages 313-349, January.
    64. Ratti, Ronald A. & Vespignani, Joaquin L., 2015. "Commodity prices and BRIC and G3 liquidity: A SFAVEC approach," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 18-33.
    65. Sussman, Nathan & Zohar, Osnat, 2016. "Has Inflation Targeting Become Less Credible? Oil Prices, Global Aggregate Demand and Inflation Expectations during the Globa," CEPR Discussion Papers 11535, C.E.P.R. Discussion Papers.
    66. Xuluo Yin & Jiangang Peng & Tian Tang, 2018. "Improving the Forecasting Accuracy of Crude Oil Prices," Sustainability, MDPI, vol. 10(2), pages 1-9, February.
    67. Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
    68. Duc Huynh, Toan Luu & Burggraf, Tobias & Nasir, Muhammad Ali, 2020. "Financialisation of natural resources & instability caused by risk transfer in commodity markets," Resources Policy, Elsevier, vol. 66(C).
    69. Kilian, Lutz & Zhou, Xiaoqing, 2018. "Structural Interpretation of Vector Autoregressions with Incomplete Information: Revisiting the Role of Oil Supply and Demand S," CEPR Discussion Papers 13068, C.E.P.R. Discussion Papers.
    70. KUROZUMI, Eiji & 黒住, 英司 & SKROBOTOV, Anton, 2016. "Confidence Sets for the Break Date in Cointegrating Regressions," Discussion Papers 2016-07, Graduate School of Economics, Hitotsubashi University.
    71. Laurent Ferrara & Pierre Guérin, 2015. "What Are The Macroeconomic Effects of High-Frequency Uncertainty Shocks?," EconomiX Working Papers 2015-12, University of Paris Nanterre, EconomiX.
    72. Stuermer, Martin, 2013. "150 Years of Boom and Bust: What Drives Mineral Commodity Prices?," MPRA Paper 51859, University Library of Munich, Germany.
    73. 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).
    74. Alessandro Cologni & Elisa Scarpa & Francesco Giuseppe Sitzia, 2015. "Big Fish: Oil Markets and Speculation," Working Papers 2015.52, Fondazione Eni Enrico Mattei.
    75. Francesco Ravazzolo & Tommy Sveen & Sepideh K. Zahiri, 2016. "Commodity Futures and Forecasting Commodity Currencies," Working Papers No 7/2016, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    76. Marc Joëts & Valérie Mignon & Tovonony Razafindrabe, 2015. "Does the volatility of commodity prices reflect macroeconomic uncertainty?," Working Papers 2015-02, CEPII research center.
    77. Kilian, Lutz & Baumeister, Christiane & Lee, Thomas K, 2014. "Are there Gains from Pooling Real-Time Oil Price Forecasts?," CEPR Discussion Papers 10075, C.E.P.R. Discussion Papers.
    78. C. Baumeister & G. Peersman, 2008. "Time-Varying Effects of Oil Supply Shocks on the US Economy," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 08/515, Ghent University, Faculty of Economics and Business Administration.
    79. Matsumoto, Akito & Pescatori, Andrea & Wang, Xueliang, 2023. "Commodity prices and global economic activity," Japan and the World Economy, Elsevier, vol. 66(C).
    80. Frédérique Bec & Annabelle de Gaye, 2016. "How do oil price forecast errors impact inflation forecast errors? An empirical analysis from US, French and UK inflation forecasts," Post-Print hal-02980184, HAL.
    81. Francesco Ravazzolo & Philip Rothman, 2011. "Oil and US GDP: A Real-Time out-of Sample Examination," Working Papers No 2/2011, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    82. Raghavan, Mala, 2019. "An analysis of the global oil market using SVARMA models," Working Papers 2019-01, University of Tasmania, Tasmanian School of Business and Economics.
    83. Hardy, Nicolás & Ferreira, Tiago & Quinteros, Maria J. & Magner, Nicolás S., 2023. "“Watch your tone!”: Forecasting mining industry commodity prices with financial report tone," Resources Policy, Elsevier, vol. 86(PA).
    84. Morana, Claudio, 2012. "Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation," Energy: Resources and Markets 121723, Fondazione Eni Enrico Mattei (FEEM).
    85. Benes, Jaromir & Chauvet, Marcelle & Kamenik, Ondra & Kumhof, Michael & Laxton, Douglas & Mursula, Susanna & Selody, Jack, 2015. "The future of oil: Geology versus technology," International Journal of Forecasting, Elsevier, vol. 31(1), pages 207-221.
    86. Toni Beutler, 2012. "Forecasting Exchange Rates with Commodity Convenience Yields," Working Papers 12.03, Swiss National Bank, Study Center Gerzensee.
    87. C. A. Tapia Cortez & J. Coulton & C. Sammut & S. Saydam, 2018. "Determining the chaotic behaviour of copper prices in the long-term using annual price data," Palgrave Communications, Palgrave Macmillan, vol. 4(1), pages 1-13, December.
    88. Sylvain Leduc & Kevin Moran & Robert J. Vigfusson, 2016. "Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications," CIRANO Working Papers 2016s-53, CIRANO.
    89. Szilard Benk & Max Gillman, 2019. "Granger Predictability of Oil Prices After the Great Recession," IMF Working Papers 2019/237, International Monetary Fund.
    90. Blazsek, Szabolcs & Licht, Adrian, 2019. "Markov-switching score-driven multivariate models: outlier-robust measurement of the relationships between world crude oil production and US industrial production," UC3M Working papers. Economics 29030, Universidad Carlos III de Madrid. Departamento de Economía.
    91. Thomas Conlon & John Cotter & Emmanuel Eyiah-Donkor, 2022. "The illusion of oil return predictability: The choice of data matters!," Post-Print hal-03519860, HAL.
    92. Ravazzolo, Francesco & Vespignani, Joaquin, 2015. "A new monthly indicator of global real economic activity," Working Papers 2015-07, University of Tasmania, Tasmanian School of Business and Economics.
    93. West, Kenneth D. & Wong, Ka-Fu, 2014. "A factor model for co-movements of commodity prices," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 289-309.
    94. 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.
    95. Arezki,Rabah & van der Ploeg,Frederick & Toscani,Frederik, 2018. "The shifting natural wealth of nations : the role of market orientation," Policy Research Working Paper Series 8520, The World Bank.
    96. Ekaterini Panopoulou & Theologos Pantelidis, 2014. "Speculative behaviour and oil price predictability," Discussion Paper Series 2014_09, Department of Economics, University of Macedonia, revised Dec 2014.
    97. Hwang, Inwook & Zhu, Xiaoyang, 2024. "State-dependent oil price shocks on inflation and the efficacy of inflation targeting regime," Journal of International Money and Finance, Elsevier, vol. 144(C).
    98. Arunanondchai, Panit & Senia, Mark C. & Capps, Oral Jr, 2017. "Can U.S. EIA Retail Gasoline Price Forecasts Be Improved Upon?," 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama 252717, Southern Agricultural Economics Association.
    99. Nonejad, Nima, 2022. "Forecasting crude oil price volatility out-of-sample using news-based geopolitical risk index: What forms of nonlinearity help improve forecast accuracy the most?," Finance Research Letters, Elsevier, vol. 46(PA).
    100. David S. Jacks & Martin Stuermer, 2016. "What drives commodity price booms and busts?," Working Papers 1614, Federal Reserve Bank of Dallas.
    101. Verboven, Frank & Grigolon, Laura & Reynaert, Mathias, 2014. "Consumer valuation of fuel costs and the effectiveness of tax policy: Evidence from the European car market," CEPR Discussion Papers 10301, C.E.P.R. Discussion Papers.
    102. Nikita Fokin & Andrey Polbin, 2019. "Forecasting Russia's Key Macroeconomic Indicators with the VAR-LASSO Model," Russian Journal of Money and Finance, Bank of Russia, vol. 78(2), pages 67-93, June.
    103. Hunt Allcott & Nathan Wozny, 2014. "Gasoline Prices, Fuel Economy, and the Energy Paradox," The Review of Economics and Statistics, MIT Press, vol. 96(5), pages 779-795, December.
    104. Kilian, Lutz & Zhou, Xiaoqing, 2018. "The propagation of regional shocks in housing markets: Evidence from oil price shocks in Canada," CFS Working Paper Series 606, Center for Financial Studies (CFS).
    105. Nathan Sussman & Osnat Zohar, 2016. "Has Inflation Targeting Become Less Credible? Oil Prices, Global Aggregate Demand and Inflation Expectations during the Global Financial Crisis," Bank of Israel Working Papers 2016.13, Bank of Israel.
    106. Nima Nonejad, 2021. "Crude oil price point forecasts of the Norwegian GDP growth rate," Empirical Economics, Springer, vol. 61(5), pages 2913-2930, November.
    107. Baumeister, Christiane & Guérin, Pierre & Kilian, Lutz, 2015. "Do high-frequency financial data help forecast oil prices? The MIDAS touch at work," International Journal of Forecasting, Elsevier, vol. 31(2), pages 238-252.
    108. Conlon, Thomas & Cotter, John & Eyiah-Donkor, Emmanuel, 2024. "Forecasting the price of oil: A cautionary note," Journal of Commodity Markets, Elsevier, vol. 33(C).
    109. Fokin, Nikita & Polbin, Andrey, 2019. "A Bivariate Forecasting Model For Russian GDP Under Structural Changes In Monetary Policy and Long-Term Growth," MPRA Paper 95306, University Library of Munich, Germany, revised Apr 2019.
    110. Hammami Algia & Bouri Abdelfatteh, 2016. "The Volatility of Oil Prices: What Factors?," Bulletin of Energy Economics (BEE), The Economics and Social Development Organization (TESDO), vol. 4(1), pages 98-110, March.
    111. Abid, Ilyes & Goutte, Stéphane & Guesmi, Khaled & Jamali, Ibrahim, 2019. "Transmission of shocks and contagion from U.S. to MENA equity markets: The role of oil and gas markets," Energy Policy, Elsevier, vol. 134(C).
    112. Mihaela NICOLAU & Giulio PALOMBA & Ilaria TRAINI, 2013. "Are Futures Prices Influenced by Spot;Prices or Vice-versa? An Analysis of Crude;Oil, Natural Gas and Gold Markets," Working Papers 394, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    113. Wang, Yudong & Liu, Li & Wu, Chongfeng, 2017. "Forecasting the real prices of crude oil using forecast combinations over time-varying parameter models," Energy Economics, Elsevier, vol. 66(C), pages 337-348.
    114. Hosseini, Seyed Hossein & Shakouri G., Hamed & Kazemi, Aliyeh, 2021. "Oil price future regarding unconventional oil production and its near-term deployment: A system dynamics approach," Energy, Elsevier, vol. 222(C).
    115. Zhang, Yaojie & Ma, Feng & Wang, Yudong, 2019. "Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors?," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 97-117.
    116. Zhao, Yang & Li, Jianping & Yu, Lean, 2017. "A deep learning ensemble approach for crude oil price forecasting," Energy Economics, Elsevier, vol. 66(C), pages 9-16.
    117. Christiane Baumeister & Lutz Kilian, 2012. "Real-Time Analysis of Oil Price Risks Using Forecast Scenarios," Staff Working Papers 12-1, Bank of Canada.
    118. Christiane Baumeister & Lutz Kilian, 2013. "Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach," Staff Working Papers 13-28, Bank of Canada.
    119. An, Zidong & Sheng, Xuguang Simon & Zheng, Xinye, 2023. "What is the role of perceived oil price shocks in inflation expectations?," Energy Economics, Elsevier, vol. 126(C).
    120. Xiong, Tao & Bao, Yukun & Hu, Zhongyi, 2013. "Beyond one-step-ahead forecasting: Evaluation of alternative multi-step-ahead forecasting models for crude oil prices," Energy Economics, Elsevier, vol. 40(C), pages 405-415.
    121. Andrey Polbin, 2021. "Multivariate unobserved component model for an oil-exporting economy: the case of Russia," Applied Economics Letters, Taylor & Francis Journals, vol. 28(8), pages 681-685, May.
    122. Charfeddine, Lanouar & Klein, Tony & Walther, Thomas, 2018. "Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?," QBS Working Paper Series 2018/03, Queen's University Belfast, Queen's Business School.
    123. Qianjie Geng & Yudong Wang, 2021. "Futures Hedging in CSI 300 Markets: A Comparison Between Minimum-Variance and Maximum-Utility Frameworks," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 719-742, February.
    124. Butler, Sunil & Kokoszka, Piotr & Miao, Hong & Shang, Han Lin, 2021. "Neural network prediction of crude oil futures using B-splines," Energy Economics, Elsevier, vol. 94(C).
    125. Athanasia Dimitriadou & Periklis Gogas & Theophilos Papadimitriou & Vasilios Plakandaras, 2018. "Oil Market Efficiency under a Machine Learning Perspective," Forecasting, MDPI, vol. 1(1), pages 1-12, October.
    126. Huse, Cristian & Lucinda, Claudio & Ribeiro, Andre, 2021. "Assessing the effects of a large temporary energy savings program: Evidence from a developing country," Journal of Environmental Economics and Management, Elsevier, vol. 110(C).
    127. Kilian, Lutz & Baumeister, Christiane, 2013. "Do Oil Price Increases Cause Higher Food Prices?," CEPR Discussion Papers 9689, C.E.P.R. Discussion Papers.
    128. Cortazar, Gonzalo & Ortega, Hector & Valencia, Consuelo, 2021. "How good are analyst forecasts of oil prices?," Energy Economics, Elsevier, vol. 102(C).
    129. Kilian, Lutz & Zhou, Xiaoqing, 2018. "Modeling fluctuations in the global demand for commodities," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 54-78.
    130. Drachal, Krzysztof, 2016. "Forecasting spot oil price in a dynamic model averaging framework — Have the determinants changed over time?," Energy Economics, Elsevier, vol. 60(C), pages 35-46.
    131. He, Mengxi & Zhang, Yaojie & Wen, Danyan & Wang, Yudong, 2021. "Forecasting crude oil prices: A scaled PCA approach," Energy Economics, Elsevier, vol. 97(C).
    132. Shi, Chunpei & Wei, Yu & Li, Xiafei & Liu, Yuntong, 2023. "Combination forecasts of China's oil futures returns based on multiple uncertainties and their connectedness with oil," Energy Economics, Elsevier, vol. 126(C).
    133. Yao Axel Ehouman, 2020. "Do oil-market shocks drive global liquidity?," EconomiX Working Papers 2020-33, University of Paris Nanterre, EconomiX.
    134. Kilian, Lutz, 2020. "Understanding the Estimation of Oil Demand and Oil Supply Elasticities," CEPR Discussion Papers 15244, C.E.P.R. Discussion Papers.
    135. Christiane Baumeister & Lutz Kilian, 2016. "Understanding the Decline in the Price of Oil since June 2014," CESifo Working Paper Series 5755, CESifo.
    136. Takuji Fueki & Jouchi Nakajima & Shinsuke Ohyama & Yoichiro Tamanyu, 2021. "Identifying oil price shocks and their consequences: The role of expectations in the crude oil market," International Finance, Wiley Blackwell, vol. 24(1), pages 53-76, April.
    137. Saleh Mothana Obadi & Kristina Gardonova, 2019. "How does the Production of Unconventional Resources of Energy Influence Energy Security: Empirical Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 9(5), pages 46-54.
    138. Degiannakis, Stavros & Filis, George, 2017. "Forecasting oil prices," MPRA Paper 77531, University Library of Munich, Germany.
    139. Gopinath, Gita, 2015. "The International Price System," Scholarly Articles 30780147, Harvard University Department of Economics.
    140. Fernando Antonio Lucena Aiube & Ariel Levy, 2019. "Recent movement of oil prices and future scenarios [Movimentos recentes dos preços do petróleo e os cenários futuros]," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), vol. 29(1), pages 223-248, January-A.
    141. Donna, Javier D., 2018. "Measuring Long-Run Price Elasticities in Urban Travel Demand," MPRA Paper 90059, University Library of Munich, Germany.
    142. ,, 2019. "Measuring Global Real Economic Activity: Do Recent Critiques Hold Up to Scrutiny?," CEPR Discussion Papers 13455, C.E.P.R. Discussion Papers.
    143. Julien Chevallier & Benoît Sévi, 2014. "A fear index to predict oil futures returns," Post-Print hal-01463111, HAL.
    144. Hao, Xianfeng & Zhao, Yuyang & Wang, Yudong, 2020. "Forecasting the real prices of crude oil using robust regression models with regularization constraints," Energy Economics, Elsevier, vol. 86(C).
    145. Christiane Baumeister & Lutz Kilian & Thomas K. Lee, 2016. "Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump," CESifo Working Paper Series 5759, CESifo.
    146. Jeffrey A. Frankel, 2013. "Effects of Speculation and Interest Rates in a "Carry Trade" Model of Commodity Prices," NBER Working Papers 19463, National Bureau of Economic Research, Inc.
    147. Celso Brunetti & Bahattin Bykahin & Jeffrey H. Harris, 2013. "Herding and Speculation in the Crude Oil Market," The Energy Journal, , vol. 34(3), pages 83-104, July.
    148. Hui Jun ZHANG & Jean-Marie DUFOUR & John W. GALBRAITH, 2013. "Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons," Cahiers de recherche 14-2013, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    149. Davide Ferrari & Francesco Ravazzolo & Joaquin Vespignani, 2021. "Forecasting Energy Commodity Prices: A Large Global Dataset Sparse Approach," BEMPS - Bozen Economics & Management Paper Series BEMPS83, Faculty of Economics and Management at the Free University of Bozen.
    150. Krüger, Jens & Ruths Sion, Sebastian, 2019. "Improving oil price forecasts by sparse VAR methods," Darmstadt Discussion Papers in Economics 237, Darmstadt University of Technology, Department of Law and Economics.
    151. Reboredo, Juan C. & Rivera-Castro, Miguel A., 2013. "A wavelet decomposition approach to crude oil price and exchange rate dependence," Economic Modelling, Elsevier, vol. 32(C), pages 42-57.
    152. Zuzanna Karolak, 2021. "Energy prices forecasting using nonlinear univariate models," Bank i Kredyt, Narodowy Bank Polski, vol. 52(6), pages 577-598.
    153. Ellison, Martin & Scott, Andrew, 2013. "Learning and price volatility in duopoly models of resource depletion," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 806-820.
    154. Martínez-Cañete, Ana R. & Márquez-de-la-Cruz, Elena & Pérez-Soba, Inés, 2022. "Non-linear cointegration between oil and stock prices: The role of interest rates," Research in International Business and Finance, Elsevier, vol. 59(C).
    155. Lycheva, Maria & Mironenkov, Alexey & Kurbatskii, Alexey & Fantazzini, Dean, 2022. "Forecasting oil prices with penalized regressions, variance risk premia and Google data," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 68, pages 28-49.
    156. Ratti, Ronald A. & Vespignani, Joaquin L., 2013. "Liquidity and crude oil prices: China's influence over 1996–2011," Economic Modelling, Elsevier, vol. 33(C), pages 517-525.
    157. Pincheira-Brown, Pablo & Bentancor, Andrea & Hardy, Nicolás & Jarsun, Nabil, 2022. "Forecasting fuel prices with the Chilean exchange rate: Going beyond the commodity currency hypothesis," Energy Economics, Elsevier, vol. 106(C).
    158. Christopher F Baum & Paola Zerilli, 2014. "Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility," Boston College Working Papers in Economics 860, Boston College Department of Economics.
    159. Wang, Yudong & Hao, Xianfeng, 2022. "Forecasting the real prices of crude oil: A robust weighted least squares approach," Energy Economics, Elsevier, vol. 116(C).
    160. Salisu, Afees A. & Gupta, Rangan & Ji, Qiang, 2022. "Forecasting oil prices over 150 years: The role of tail risks," Resources Policy, Elsevier, vol. 75(C).
    161. Nonejad, Nima, 2021. "The price of crude oil and (conditional) out-of-sample predictability of world industrial production," Journal of Commodity Markets, Elsevier, vol. 23(C).
    162. Nicholas Apergis, 2023. "Forecasting energy prices: Quantile‐based risk models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(1), pages 17-33, January.
    163. Krzysztof Drachal, 2018. "Determining Time-Varying Drivers of Spot Oil Price in a Dynamic Model Averaging Framework," Energies, MDPI, vol. 11(5), pages 1-24, May.
    164. Czudaj, Robert L., 2022. "Heterogeneity of beliefs and information rigidity in the crude oil market: Evidence from survey data," European Economic Review, Elsevier, vol. 143(C).
    165. Jihad El Hokayem & Ibrahim Jamali & Ale Hejase, 2024. "A forecasting model for oil prices using a large set of economic indicators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1615-1624, August.
    166. A. Nam Tran & David Lobell & Michael J. Roberts & Wolfram Schlenker & Jarrod R. Welch, 2015. "Commodity Prices and Volatility in Response to Anticipated Climate Change," Working Papers 201512, University of Hawaii at Manoa, Department of Economics.
    167. Virbickaitė, Audronė & Nguyen, Hoang & Tran, Minh-Ngoc, 2023. "Bayesian predictive distributions of oil returns using mixed data sampling volatility models," Resources Policy, Elsevier, vol. 86(PA).
    168. Nonejad, Nima, 2020. "Crude oil price volatility and short-term predictability of the real U.S. GDP growth rate," Economics Letters, Elsevier, vol. 186(C).
    169. Zhang, Yaojie & Wang, Yudong, 2023. "Forecasting crude oil futures market returns: A principal component analysis combination approach," International Journal of Forecasting, Elsevier, vol. 39(2), pages 659-673.
    170. Filippo Natoli, 2021. "Financialization Of Commodities Before And After The Great Financial Crisis," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 488-511, April.
    171. Knut Are Aastveit & Jamie Cross & Herman K. van Dijk, 2021. "Quantifying time-varying forecast uncertainty and risk for the real price of oil," Tinbergen Institute Discussion Papers 21-053/III, Tinbergen Institute.
    172. Francesco Ravazzolo & Joaquin Vespignani, 2017. "World steel production: A new monthly indicator of global real economic activity," CAMA Working Papers 2017-42, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    173. Ahmed Ibrahim & Rasha Kashef & Menglu Li & Esteban Valencia & Eric Huang, 2020. "Bitcoin Network Mechanics: Forecasting the BTC Closing Price Using Vector Auto-Regression Models Based on Endogenous and Exogenous Feature Variables," JRFM, MDPI, vol. 13(9), pages 1-21, August.
    174. Filippo Natoli, 2018. "Analyzing the structural transformation of commodity markets: financialization revisited," Questioni di Economia e Finanza (Occasional Papers) 419, Bank of Italy, Economic Research and International Relations Area.
    175. Fokin, Nikita & Haritonova, Marina, 2020. "Сравнительный Анализ Прогнозных Моделей Российского Ввп В Условиях Наличия Структурных Сдвигов [Comparative analysis of the forecasting models for Russia’s GDP under the structural breaks]," MPRA Paper 103412, University Library of Munich, Germany.
    176. Kai Carstensen & Leonard Salzmann, 2016. "The G7 Business Cycle in a Globalized World," CESifo Working Paper Series 5980, CESifo.
    177. Nonejad, Nima, 2021. "Predicting equity premium by conditioning on macroeconomic variables: A prediction selection strategy using the price of crude oil," Finance Research Letters, Elsevier, vol. 41(C).
    178. Jason Brown & Nida Çakır Melek & Johannes Matschke & Sai Sattiraju, 2023. "The Missing Tail Risk in Option Prices," Research Working Paper RWP 23-02, Federal Reserve Bank of Kansas City.
    179. Baghestani, Hamid, 2015. "Predicting gasoline prices using Michigan survey data," Energy Economics, Elsevier, vol. 50(C), pages 27-32.
    180. Wensheng Kang & Ronald A. Ratti, 2015. "Oil shocks, policy uncertainty and stock returns in China," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 23(4), pages 657-676, October.
    181. Ratti, Ronald A. & Vespignani, Joaquin L., 2016. "Oil prices and global factor macroeconomic variables," Energy Economics, Elsevier, vol. 59(C), pages 198-212.
    182. Yang Liu & Liyan Han & Libo Yin, 2018. "Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(10), pages 1246-1261, October.
    183. Ratti, Ronald A & Vespignani, Joaquin L., 2012. "Crude Oil Prices: China’s Influence Over 1996-2011," Working Papers 15728, University of Tasmania, Tasmanian School of Business and Economics, revised 17 Dec 2012.
    184. John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2023. "Commodity futures return predictability and intertemporal asset pricing," Post-Print hal-04192933, HAL.
    185. Liu, Li & Ma, Feng & Wang, Yudong, 2015. "Forecasting excess stock returns with crude oil market data," Energy Economics, Elsevier, vol. 48(C), pages 316-324.
    186. Mann, Janelle & Sephton, Peter, 2016. "Global relationships across crude oil benchmarks," Journal of Commodity Markets, Elsevier, vol. 2(1), pages 1-5.
    187. Kam Fong Chan & Philip Gray, 2017. "Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(1), pages 71-89, January.
    188. Beckmann, Joscha & Czudaj, Robert L. & Arora, Vipin, 2020. "The relationship between oil prices and exchange rates: Revisiting theory and evidence," Energy Economics, Elsevier, vol. 88(C).
    189. Śmiech, Sławomir & Papież, Monika & Dąbrowski, Marek A., 2015. "Does the euro area macroeconomy affect global commodity prices? Evidence from a SVAR approach," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 485-503.
    190. Ronald A. Ratti & Joaquin L. Vespignani, 2014. "Not all international monetary shocks are alike for the Japanese economy," CAMA Working Papers 2014-14, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    191. Jamie L. Cross & Bao H. Nguyen & Trung Duc Tran, 2021. "The Role of Precautionary and Speculative Demand in the Global Market for Crude Oil," Working Papers No 06/2021, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    192. Hualing Lin & Qiubi Sun, 2020. "Crude Oil Prices Forecasting: An Approach of Using CEEMDAN-Based Multi-Layer Gated Recurrent Unit Networks," Energies, MDPI, vol. 13(7), pages 1-21, March.
    193. Balcilar, Mehmet & Ozdemir, Zeynel Abidin, 2019. "The nexus between the oil price and its volatility risk in a stochastic volatility in the mean model with time-varying parameters," Resources Policy, Elsevier, vol. 61(C), pages 572-584.
    194. Ioannis Arampatzidis & Theodore Panagiotidis, 2022. "On the identification of the oil-stock market relationship," Working Paper series 22-15, Rimini Centre for Economic Analysis.
    195. Herrera, Gabriel Paes & Constantino, Michel & Tabak, Benjamin Miranda & Pistori, Hemerson & Su, Jen-Je & Naranpanawa, Athula, 2019. "Long-term forecast of energy commodities price using machine learning," Energy, Elsevier, vol. 179(C), pages 214-221.
    196. Khalid Rashid Alkhater & Syed Abul Basher, 2016. "The oil cycle, the Federal Reserve, and the monetary and exchange rate policies of Qatar," Middle East Development Journal, Taylor & Francis Journals, vol. 8(1), pages 127-155, January.
    197. 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.
    198. Ratti, Ronald A. & Vespignani, Joaquin L., 2014. "OPEC and non-OPEC oil production and the global economy," MPRA Paper 59527, University Library of Munich, Germany.
    199. Degiannakis, Stavros & Filis, George, 2023. "Oil price assumptions for macroeconomic policy," Energy Economics, Elsevier, vol. 117(C).
    200. Bekiroglu, Korkut & Duru, Okan & Gulay, Emrah & Su, Rong & Lagoa, Constantino, 2018. "Predictive analytics of crude oil prices by utilizing the intelligent model search engine," Applied Energy, Elsevier, vol. 228(C), pages 2387-2397.
    201. Michael Ehrmann, 2015. "Targeting Inflation from Below: How Do Inflation Expectations Behave?," International Journal of Central Banking, International Journal of Central Banking, vol. 11(4), pages 213-249, September.
    202. van der Ploeg, Frederick & Arezki, Rabah & Toscani, Frederik, 2016. "Shifting Frontiers in Global Resource Wealth: The Role of Policies and Institutions," CEPR Discussion Papers 11553, C.E.P.R. Discussion Papers.
    203. Mohammad sadegh Karimi & Abbas Maleki, 2018. "The Study of Different Factors Effects on the Oil Futures Price by Applying Agent-based Model," International Journal of Energy Economics and Policy, Econjournals, vol. 8(3), pages 76-81.
    204. Krzysztof Drachal, 2022. "Forecasting the Crude Oil Spot Price with Bayesian Symbolic Regression," Energies, MDPI, vol. 16(1), pages 1-29, December.
    205. Charfeddine, Lanouar & Khediri, Karim Ben & Mrabet, Zouhair, 2019. "The forward premium anomaly in the energy futures markets: A time-varying approach," Research in International Business and Finance, Elsevier, vol. 47(C), pages 600-615.
    206. Ansari, Dawud, 2017. "OPEC, Saudi Arabia, and the shale revolution: Insights from equilibrium modelling and oil politics," Energy Policy, Elsevier, vol. 111(C), pages 166-178.
    207. H. Kent Baker & Satish Kumar & Debidutta Pattnaik, 2021. "Research constituents, intellectual structure, and collaboration pattern in the Journal of Forecasting: A bibliometric analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 577-602, July.
    208. Ronald A. Ratti & Joaquin L. Vespignani, 2014. "Oil prices and the economy: A global perspective," CAMA Working Papers 2014-41, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    209. Polbin, Andrey, 2017. "Моделирование Реального Курса Рубля В Условиях Изменения Режима Денежно-Кредитной Политики [Modeling the real ruble exchange rate under monetary policy regime change]," MPRA Paper 78139, University Library of Munich, Germany.
    210. Ben Jacobsen & Ben R. Marshall & Nuttawat Visaltanachoti, 2019. "Stock Market Predictability and Industrial Metal Returns," Management Science, INFORMS, vol. 65(7), pages 3026-3042, July.
    211. Ellwanger, Reinhard & Snudden, Stephen, 2023. "Forecasts of the real price of oil revisited: Do they beat the random walk?," Journal of Banking & Finance, Elsevier, vol. 154(C).
    212. Myers, Erica, 2020. "Asymmetric information in residential rental markets: Implications for the energy efficiency gap," Journal of Public Economics, Elsevier, vol. 190(C).
    213. Jair N. Ojeda-Joya & Oscar Jaulin-Mendez & Juan C. Bustos-Peláez, 2019. "The Interdependence Between Commodity-Price and GDP Cycles: A Frequency-Domain Approach," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 47(3), pages 275-292, September.
    214. Andrea Bastianin & Matteo Manera, 2020. "A test of time reversibility based on Lmoments with an application to the business cycles of the G7 economies," Working Papers 445, University of Milano-Bicocca, Department of Economics, revised Jun 2020.
    215. Díaz Antonia & Puch Luis A., 2019. "Investment, technological progress and energy efficiency," The B.E. Journal of Macroeconomics, De Gruyter, vol. 19(2), pages 1-28, June.
    216. Fokin, Nikita, 2021. "The importance of modeling structural breaks in forecasting Russian GDP," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 63, pages 5-29.
    217. Castro, César & Jerez, Miguel & Barge-Gil, Andrés, 2016. "The deflationary effect of oil prices in the euro area," Energy Economics, Elsevier, vol. 56(C), pages 389-397.
    218. Jorge Toro & Aarón Garavito & David Camilo López & Enrique Montes, 2015. "El choque petrolero y sus implicaciones en la economía colombiana," Borradores de Economia 906, Banco de la Republica de Colombia.
    219. Mayer, Herbert & Rathgeber, Andreas & Wanner, Markus, 2017. "Financialization of metal markets: Does futures trading influence spot prices and volatility?," Resources Policy, Elsevier, vol. 53(C), pages 300-316.
    220. Thomas R. Covert & Ryan Kellogg, 2017. "Environmental Consequences of Hydrocarbon Infrastructure Policy," NBER Working Papers 23855, National Bureau of Economic Research, Inc.
    221. Christopher L. Foote & Jane Sneddon Little, 2011. "Oil and the macroeconomy in a changing world: a conference summary," Public Policy Discussion Paper 11-3, Federal Reserve Bank of Boston.
    222. Pan, Zhiyuan & Wang, Qing & Wang, Yudong & Yang, Li, 2018. "Forecasting U.S. real GDP using oil prices: A time-varying parameter MIDAS model," Energy Economics, Elsevier, vol. 72(C), pages 177-187.
    223. Akdoğan, Kurmaş, 2020. "Fundamentals versus speculation in oil market: The role of asymmetries in price adjustment?," Resources Policy, Elsevier, vol. 67(C).
    224. Dagher, Leila & Jamali, Ibrahim & badra, nasser, 2018. "The Predictive Power of Oil and Commodity Prices for Equity Markets," MPRA Paper 116055, University Library of Munich, Germany.
    225. Lubnau, Thorben, 2014. "Spread trading strategies in the crude oil futures market," Discussion Papers 353, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
    226. Christiane Baumeister & Lutz Kilian, 2016. "Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us," CESifo Working Paper Series 5709, CESifo.
    227. Anastasios G. Malliaris & Mary Malliaris, 2021. "What Microeconomic Fundamentals Drove Global Oil Prices during 1986–2020?," JRFM, MDPI, vol. 14(8), pages 1-13, August.
    228. Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    229. Kuhanathan Ano Sujithan & Sanvi Avouyi-Dovi & Lyes Koliai, 2013. "Does Monetary Policy Respond to Commodity Price Shocks?," Post-Print hal-01511915, HAL.
    230. Andrey Polbin & Sergey Sinelnikov-Murylev, 2023. "Developing and impulse response matching estimation of the DSGE model for the Russian economy," Research Paper Series, Gaidar Institute for Economic Policy, issue 182P, pages 1-53.
    231. Lutz Kilian & Xiaoqing Zhou, 2020. "The Econometrics of Oil Market VAR Models," Working Papers 2006, Federal Reserve Bank of Dallas.
    232. Aktham I. Maghyereh & Basil Awartani & Osama D. Sweidan, 2019. "Oil price uncertainty and real output growth: new evidence from selected oil-importing countries in the Middle East," Empirical Economics, Springer, vol. 56(5), pages 1601-1621, May.
    233. Marek Kwas & Michał Rubaszek, 2021. "Forecasting Commodity Prices: Looking for a Benchmark," Forecasting, MDPI, vol. 3(2), pages 1-13, June.
    234. Benk, Szilard & Gillman, Max, 2023. "Identifying money and inflation expectation shocks to real oil prices," Energy Economics, Elsevier, vol. 126(C).
    235. Nonejad, Nima, 2023. "Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 91-122.
    236. Liu, Longlong & Zhou, Suyu & Jie, Qian & Du, Pei & Xu, Yan & Wang, Jianzhou, 2024. "A robust time-varying weight combined model for crude oil price forecasting," Energy, Elsevier, vol. 299(C).
    237. Mensi, Walid & Rehman, Mobeen Ur & Al-Yahyaee, Khamis Hamed, 2020. "Time-frequency co-movements between oil prices and interest rates: Evidence from a wavelet-based approach," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    238. Nonejad, Nima, 2020. "Crude oil price changes and the United Kingdom real gross domestic product growth rate: An out-of-sample investigation," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    239. Witold Orzeszko, 2021. "Nonlinear Causality between Crude Oil Prices and Exchange Rates: Evidence and Forecasting," Energies, MDPI, vol. 14(19), pages 1-16, September.
    240. Papież, Monika & Śmiech, Sławomir & Dąbrowski, Marek A., 2014. "The impact of the Euro area macroeconomy on energy and non-energy global commodity prices," MPRA Paper 56663, University Library of Munich, Germany.
    241. Zied Ftiti & Kais Tissaoui & Sahbi Boubaker, 2022. "On the relationship between oil and gas markets: a new forecasting framework based on a machine learning approach," Annals of Operations Research, Springer, vol. 313(2), pages 915-943, June.
    242. Barbara Rossi, 2012. "The changing relationship between commodity prices and equity prices in commodity exporting," Economics Working Papers 1405, Department of Economics and Business, Universitat Pompeu Fabra.
    243. Qingqing Hu & Tinghui Li & Xue Li & Hao Dong, 2021. "Dynamic Characteristics of Oil Attributes and Their Market Effects," Energies, MDPI, vol. 14(13), pages 1-22, June.
    244. Waldemar Marz, 2019. "Complex dimensions of climate policy: the role of political economy, capital markets, and urban form," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 85.
    245. Ekaterina Y. ARAPOVA, 2017. "Ex-Post Analysis Of The Influence Of Tariff Liberalisation On Asean Exports," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 17(2), pages 135-154.
    246. Nima Nonejad, 2021. "Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables," Quantitative Finance, Taylor & Francis Journals, vol. 21(8), pages 1387-1411, August.
    247. Costa, Alexandre Bonnet R. & Ferreira, Pedro Cavalcanti G. & Gaglianone, Wagner P. & Guillén, Osmani Teixeira C. & Issler, João Victor & Lin, Yihao, 2021. "Machine learning and oil price point and density forecasting," Energy Economics, Elsevier, vol. 102(C).
    248. Yilmazkuday, Hakan, 2014. "Gasoline prices, transport costs, and the U.S. business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 165-179.
    249. Wolfgang Pollan, 2013. "US Inflation and Crude Oil Prices. An International Perspective," WIFO Working Papers 451, WIFO.
    250. Nonejad, Nima, 2023. "Modeling the out-of-sample predictive relationship between equity premium, returns on the price of crude oil and economic policy uncertainty using multivariate time-varying dimension models," Energy Economics, Elsevier, vol. 126(C).
    251. De Lipsis, Vincenzo & Agnolucci, Paolo, 2024. "Climate change and the US wheat commodity market," Journal of Economic Dynamics and Control, Elsevier, vol. 161(C).
    252. Donia Aloui & Stéphane Goutte & Khaled Guesmi & Rafla Hchaichi, 2020. "COVID 19's impact on crude oil and natural gas S&P GS Indexes," Working Papers halshs-02613280, HAL.
    253. Jacopo Piana & Daniele Bianchi, 2017. "Expected Spot Prices and the Dynamics of Commodity Risk Premia," 2017 Meeting Papers 1149, Society for Economic Dynamics.
    254. Kellogg, Ryan, 2018. "Gasoline price uncertainty and the design of fuel economy standards," Journal of Public Economics, Elsevier, vol. 160(C), pages 14-32.
    255. Li, Yingzi & Fortenbery, T. Randall, 2013. "Do Speculators in Futures Markets Make Cash Markets More Volatile?," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 151296, Agricultural and Applied Economics Association.
    256. Nonejad, Nima, 2020. "An observation regarding Hamilton’s recent criticisms of Kilian’s global real economic activity index," Economics Letters, Elsevier, vol. 196(C).
    257. Garratt, Anthony & Petrella, Ivan & Zhang, Yunyi, 2022. "Asymmetry and Interdependence when Evaluating U.S. Energy Information Administration Forecasts," MPRA Paper 115559, University Library of Munich, Germany.
    258. Ron Alquist & Saroj Bhattarai & Olivier Coibion, 2014. "Commodity-Price Comovement and Global Economic Activity," NBER Working Papers 20003, National Bureau of Economic Research, Inc.
    259. Li, Jianglong & Sun, Chuanwang, 2018. "Towards a low carbon economy by removing fossil fuel subsidies?," China Economic Review, Elsevier, vol. 50(C), pages 17-33.
    260. Yoshino, Naoyuki & Alekhina, Victoriia, 2019. "Empirical Analysis of Global Oil Price Determinants at the Disaggregated Level Over the Last Two Decades," ADBI Working Papers 982, Asian Development Bank Institute.
    261. Carlos Caceres & Leandro Medina, 2012. "Measures of Fiscal Risk in Hydrocarbon-Exporting Countries," IMF Working Papers 2012/260, International Monetary Fund.
    262. Haas, Christian & Budin, Constantin & d’Arcy, Anne, 2024. "How to select oil price prediction models — The effect of statistical and financial performance metrics and sentiment scores," Energy Economics, Elsevier, vol. 133(C).
    263. Lutz Kilian, 2014. "Oil Price Shocks: Causes and Consequences," Annual Review of Resource Economics, Annual Reviews, vol. 6(1), pages 133-154, October.
    264. Sallee, James M. & West, Sarah E. & Fan, Wei, 2016. "Do consumers recognize the value of fuel economy? Evidence from used car prices and gasoline price fluctuations," Journal of Public Economics, Elsevier, vol. 135(C), pages 61-73.
    265. Pincheira, Pablo & Jarsun, Nabil, 2020. "Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate," MPRA Paper 105056, University Library of Munich, Germany.
    266. 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.
    267. Han, Liyan & Lv, Qiuna & Yin, Libo, 2017. "Can investor attention predict oil prices?," Energy Economics, Elsevier, vol. 66(C), pages 547-558.
    268. Arora, Vipin & Tanner, Matthew, 2013. "Do oil prices respond to real interest rates?," Energy Economics, Elsevier, vol. 36(C), pages 546-555.
    269. Lutz Kilian & Xiaoqing Zhou, 2018. "Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks: Comment," CESifo Working Paper Series 7166, CESifo.
    270. Kim, Jong-Min & Tabacu, Lucia & Jung, Hojin, 2020. "A quantile-copula approach to dependence between financial assets," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    271. Nadav Ben-Zeev & Evi Pappa & Alejandro Vicondoa, 2016. "Emerging Economies Business Cycles: The Role Of The Terms Of Trade Revisited," Working Papers 1610, Ben-Gurion University of the Negev, Department of Economics.
    272. Thomas Theobald & Peter Hohlfeld, 2017. "Why have the recent oil price declines not stimulated global economic growth?," IMK Working Paper 185-2017, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    273. Yijo Syaharuddin & Purwadi Purwadi & Alexander Sampeliling, 2021. "Attention of Economic Growth and Oil Prices: Evidence from Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 11(5), pages 425-433.
    274. Matthew Klepacz, 2018. "Price Setting and Volatility: Evidence from Oil Price Volatility Shocks," 2018 Meeting Papers 145, Society for Economic Dynamics.
    275. Nima Nonejad, 2020. "A detailed look at crude oil price volatility prediction using macroeconomic variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1119-1141, November.
    276. Drachal, Krzysztof, 2018. "Comparison between Bayesian and information-theoretic model averaging: Fossil fuels prices example," Energy Economics, Elsevier, vol. 74(C), pages 208-251.
    277. Amor Aniss Benmoussa & Reinhard Ellwanger & Stephen Snudden, 2020. "The New Benchmark for Forecasts of the Real Price of Crude Oil," Staff Working Papers 20-39, Bank of Canada.
    278. Issler, João Victor & Rodrigues, Claudia Ferreira & Burjack, Rafael, 2013. "Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 735, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    279. Nixon, Dan & Smith, Tom, 2012. "What can the oil futures curve tell us about the outlook for oil prices?," Bank of England Quarterly Bulletin, Bank of England, vol. 52(1), pages 39-47.
    280. Trevor A. Reeve & Robert J. Vigfusson, 2011. "Evaluating the forecasting performance of commodity futures prices," International Finance Discussion Papers 1025, Board of Governors of the Federal Reserve System (U.S.).
    281. D'Ecclesia, Rita L. & Magrini, Emiliano & Montalbano, Pierluigi & Triulzi, Umberto, 2014. "Understanding recent oil price dynamics: A novel empirical approach," Energy Economics, Elsevier, vol. 46(S1), pages 11-17.
    282. Nonejad, Nima, 2020. "A comprehensive empirical analysis of the predictive impact of the price of crude oil on aggregate equity return volatility," Journal of Commodity Markets, Elsevier, vol. 20(C).
    283. Riza Demirer & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2022. "Risk aversion and the predictability of crude oil market volatility: A forecasting experiment with random forests," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 73(8), pages 1755-1767, August.
    284. Degiannakis, Stavros & Filis, George, 2018. "Forecasting oil prices: High-frequency financial data are indeed useful," Energy Economics, Elsevier, vol. 76(C), pages 388-402.
    285. Mont'Alverne Duarte, Angelo & Gaglianone, Wagner Piazza & de Carvalho Guillén, Osmani Teixeira & Issler, João Victor, 2021. "Commodity prices and global economic activity: A derived-demand approach," Energy Economics, Elsevier, vol. 96(C).
    286. Francesca Rondina, 2017. "The Impact of Oil Price Changes in a New Keynesian Model of the U.S. Economy," Working Papers 1709E, University of Ottawa, Department of Economics.
    287. Raghavan, Mala, 2015. "The macroeconomic effects of oil price shocks on ASEAN-5 economies," Working Papers 2015-10, University of Tasmania, Tasmanian School of Business and Economics.
    288. Marcos Álvarez-Díaz, 2020. "Is it possible to accurately forecast the evolution of Brent crude oil prices? An answer based on parametric and nonparametric forecasting methods," Empirical Economics, Springer, vol. 59(3), pages 1285-1305, September.
    289. Ahmed, M. Iqbal & Farah, Quazi Fidia & Kishan, Ruby P., 2023. "Oil price uncertainty and unemployment dynamics: Nonlinearities matter," Energy Economics, Elsevier, vol. 125(C).
    290. Florackis, Chris & Giorgioni, Gianluigi & Kostakis, Alexandros & Milas, Costas, 2014. "On stock market illiquidity and real-time GDP growth," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 210-229.
    291. Arakawa, Kiyoshi, 2022. "Assessing consumer valuations of future costs versus purchase prices in Japan's auto market," Economics of Transportation, Elsevier, vol. 30(C).
    292. Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    293. Nicolau, Mihaela & Palomba, Giulio, 2015. "Dynamic relationships between spot and futures prices. The case of energy and gold commodities," Resources Policy, Elsevier, vol. 45(C), pages 130-143.
    294. George Filis & Stavros Degiannakis & Zacharias Bragoudakis, 2022. "Forecasting macroeconomic indicators for Eurozone and Greece: How useful are the oil price assumptions?," Working Papers 296, Bank of Greece.
    295. Reinhard Ellwanger, Stephen Snudden, 2021. "Predictability of Aggregated Time Series," LCERPA Working Papers bm0127, Laurier Centre for Economic Research and Policy Analysis.
    296. Nonejad, Nima, 2022. "Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    297. Samuel Wills, 2015. "Leave the Volatility Fund Alone: Principles for Managing Oil Wealth," OxCarre Working Papers 154, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    298. Ederington, Louis H. & Fernando, Chitru S. & Lee, Thomas K. & Linn, Scott C. & Zhang, Huiming, 2021. "The relation between petroleum product prices and crude oil prices," Energy Economics, Elsevier, vol. 94(C).
    299. Bastianin, Andrea & Manera, Matteo, 2015. "How Does Stock Market Volatility React to Oil Shocks?," Energy: Resources and Markets 196919, Fondazione Eni Enrico Mattei (FEEM).
    300. Martin Bodenstein & Luca Guerrieri & Lutz Kilian, 2012. "Monetary Policy Responses to Oil Price Fluctuations," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 60(4), pages 470-504, December.
    301. Dai, Zhifeng & Kang, Jie, 2021. "Bond yield and crude oil prices predictability," Energy Economics, Elsevier, vol. 97(C).
    302. Ruixin Su & Jianguo Du & Fakhar Shahzad & Xingle Long, 2020. "Unveiling the Effect of Mean and Volatility Spillover between the United States Economic Policy Uncertainty and WTI Crude Oil Price," Sustainability, MDPI, vol. 12(16), pages 1-12, August.
    303. Funk, Christoph, 2018. "Forecasting the real price of oil - Time-variation and forecast combination," Energy Economics, Elsevier, vol. 76(C), pages 288-302.
    304. Francesco Ravazzolo & Philip Rothman, 2015. "Oil-Price Density Forecasts of U.S. GDP," Working Papers No 10/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    305. Ravaghi-Ardebili, Zohreh & Manenti, Flavio, 2015. "Unified modeling and feasibility study of novel green pathway of biomass to methanol/dimethylether," Applied Energy, Elsevier, vol. 145(C), pages 278-294.
    306. Apurva Sanghi & Andrew Burns & Calvin Djiofack & Dinar Prihardini & Jagath Dissanayake & Claire Hollweg, 2017. "A Rebalancing China and Resurging India," World Bank Publications - Books, The World Bank Group, number 28422.
    307. Yulian Zhang & Shigeyuki Hamori, 2020. "Forecasting Crude Oil Market Crashes Using Machine Learning Technologies," Energies, MDPI, vol. 13(10), pages 1-14, May.
    308. Rebelo, Sérgio & Krusell, Per & Bornstein, Gideon, 2017. "Lags, Costs and Shocks: An Equilibrium Model of the Oil Industry," CEPR Discussion Papers 12047, C.E.P.R. Discussion Papers.
    309. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2022. "Geopolitical risk trends and crude oil price predictability," Energy, Elsevier, vol. 258(C).
    310. Loughran, Tim & McDonald, Bill & Pragidis, Ioannis, 2019. "Assimilation of oil news into prices," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 105-118.
    311. Yin, Libo & Yang, Qingyuan, 2016. "Predicting the oil prices: Do technical indicators help?," Energy Economics, Elsevier, vol. 56(C), pages 338-350.
    312. Nima Ebrahimi & Craig Pirrong, 2020. "Oil jump risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(8), pages 1282-1311, August.
    313. Berthold, Norbert & Gründler, Klaus, 2013. "The determinants of stagflation in a panel of countries," Discussion Paper Series 117 [rev.], Julius Maximilian University of Würzburg, Chair of Economic Order and Social Policy.
    314. Tapia, Carlos & Coulton, Jeff & Saydam, Serkan, 2020. "Using entropy to assess dynamic behaviour of long-term copper price," Resources Policy, Elsevier, vol. 66(C).
    315. Nonejad, Nima, 2022. "Equity premium prediction using the price of crude oil: Uncovering the nonlinear predictive impact," Energy Economics, Elsevier, vol. 115(C).
    316. Nida Çakır Melek & Charles W. Calomiris & Harry Mamaysky, 2020. "Mining for Oil Forecasts," Research Working Paper RWP 20-20, Federal Reserve Bank of Kansas City.
    317. Ifeacho Christopher I & Choga Ireen, 2023. "Analysis of the Nature and Determinants of Energy Price Dynamics in Sub-Saharan Africa (SSA)," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 33(2), pages 27-48, June.
    318. Ratti, Ronald A. & Vespignani, Joaquin L., 2013. "Why are crude oil prices high when global activity is weak?," Economics Letters, Elsevier, vol. 121(1), pages 133-136.
    319. Snudden, Stephen, 2018. "Targeted growth rates for long-horizon crude oil price forecasts," International Journal of Forecasting, Elsevier, vol. 34(1), pages 1-16.
    320. Hui, Cho-Hoi & Lo, Chi-Fai & Cheung, Chi-Hin & Wong, Andrew, 2020. "Crude oil price dynamics with crash risk under fundamental shocks," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    321. Efthymios G. Pavlidis & Ivan Paya & David A. Peel, 2018. "Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(5), pages 833-856, August.
    322. Naser, Hanan, 2016. "Estimating and forecasting the real prices of crude oil: A data rich model using a dynamic model averaging (DMA) approach," Energy Economics, Elsevier, vol. 56(C), pages 75-87.
    323. Doga Bilgin & Reinhard Ellwanger, 2019. "The Simple Economics of Global Fuel Consumption," Staff Working Papers 19-35, Bank of Canada.
    324. Yin, Libo & Feng, Jiabao & Han, Liyan, 2021. "Systemic risk in international stock markets: Role of the oil market," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 592-619.
    325. Bing Xu, 2015. "Oil prices and UK industry-level stock returns," Applied Economics, Taylor & Francis Journals, vol. 47(25), pages 2608-2627, May.
    326. Garratt, Anthony & Petrella, Ivan & Zhang, Yunyi, 2022. "Asymmetry and Interdependence when Evaluating U.S. Energy Information Agency Forecasts," MPRA Paper 114325, University Library of Munich, Germany.
    327. Gideon Bornstein & Per Krusell & Sergio Rebelo, 2017. "A World Equilibrium Model of the Oil Market," NBER Working Papers 23423, National Bureau of Economic Research, Inc.
    328. Dbouk, Wassim & Jamali, Ibrahim, 2018. "Predicting daily oil prices: Linear and non-linear models," Research in International Business and Finance, Elsevier, vol. 46(C), pages 149-165.
    329. Ribeiro Scarcioffolo, Alexandre & Etienne, Xiaoli L., 2018. "Does Economic Policy Uncertainty Affect Energy Market Volatility and Vice-Versa?," 2018 Annual Meeting, August 5-7, Washington, D.C. 273976, Agricultural and Applied Economics Association.
    330. Cologni, Alessandro & Scarpa, Elisa & Sitzia, Francesco Giuseppe, 2015. "Big Fish: Oil Markets and Speculation," Energy: Resources and Markets 206220, Fondazione Eni Enrico Mattei (FEEM).
    331. Nonejad, Nima, 2021. "Predicting the return on the spot price of crude oil out-of-sample by conditioning on news-based uncertainty measures: Some new empirical results," Energy Economics, Elsevier, vol. 104(C).
    332. Lin, Jilei & Eck, Daniel J., 2021. "Minimizing post-shock forecasting error through aggregation of outside information," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1710-1727.
    333. Benjamin Beckers & Samya Beidas-Strom, 2015. "Forecasting the Nominal Brent Oil Price with VARs—One Model Fits All?," IMF Working Papers 2015/251, International Monetary Fund.
    334. Abate, Megersa, 2014. "Does fuel price affect trucking industry’s network characteristics?: evidence from Denmark," Working papers in Transport Economics 2014:26, CTS - Centre for Transport Studies Stockholm (KTH and VTI).
    335. Dai, Zhifeng & Zhang, Xiaotong & Liang, Chao, 2024. "Efficient predictability of oil price: The role of VIX-based panic index shadow line difference," Energy Economics, Elsevier, vol. 129(C).
    336. Aastveit, Knut Are, 2014. "Oil price shocks in a data-rich environment," Energy Economics, Elsevier, vol. 45(C), pages 268-279.
    337. Nonejad, Nima, 2020. "Crude oil price volatility and equity return predictability: A comparative out-of-sample study," International Review of Financial Analysis, Elsevier, vol. 71(C).
    338. Matthew Klepacz, 2021. "Price Setting and Volatility: Evidence from Oil Price Volatility Shocks," International Finance Discussion Papers 1316, Board of Governors of the Federal Reserve System (U.S.).
    339. Yuntong Liu & Yu Wei & Yi Liu & Wenjuan Li, 2020. "Forecasting Oil Price by Hierarchical Shrinkage in Dynamic Parameter Models," Discrete Dynamics in Nature and Society, Hindawi, vol. 2020, pages 1-12, December.
    340. Polbin, Andrey & Skrobotov, Anton, 2017. "Спектральная Оценка Компоненты Бизнес Цикла Ввп России С Учетом Высокой Зависимости От Условий Торговли [Spectral estimation of the business cycle component of the Russian GDP under high dependence," MPRA Paper 78667, University Library of Munich, Germany.
    341. Elena CARA & Olga GANCEARUC, 2015. "Forecast Of Brent Oil Price - A Deliberation On Use Of Futures Contracts Or/And Of The Econometric Models Forecasts," Journal of Social and Economic Statistics, Bucharest University of Economic Studies, vol. 4(1), pages 18-28, JULY.

  14. Kilian, Lutz & Vigfusson, Robert J., 2011. "Nonlinearities in the Oil Price-Output Relationship," CEPR Discussion Papers 8174, C.E.P.R. Discussion Papers.

    Cited by:

    1. Chen, Shiu-Sheng, 2013. "Forecasting Crude Oil Price Movements with Oil-Sensitive Stocks," MPRA Paper 49240, University Library of Munich, Germany.
    2. Daniele Valenti & Matteo Manera & Alessandro Sbuelz, 2018. "Interpreting the Oil Risk Premium: do Oil Price Shocks Matter?," Working Papers 2018.03, Fondazione Eni Enrico Mattei.
    3. Thomas S. Gundersen, 2020. "The Impact of U.S. Supply Shocks on the Global Oil Price," The Energy Journal, , vol. 41(1), pages 151-174, January.
    4. Rafiq, Shudhasattwa & Sgro, Pasquale & Apergis, Nicholas, 2016. "Asymmetric oil shocks and external balances of major oil exporting and importing countries," Energy Economics, Elsevier, vol. 56(C), pages 42-50.
    5. Moses Tule & Afees A. Salisu & Charles Chimeke, 2018. "You are what you eat: The role of oil price in Nigeria inflation forecast," Working Papers 040, Centre for Econometric and Allied Research, University of Ibadan.
    6. Syed Abul, Basher & Alfred A, Haug & Perry, Sadorsky, 2015. "The impact of oil shocks on exchange rates: A Markov-switching approach," MPRA Paper 68232, University Library of Munich, Germany.
    7. 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.
    8. Maghyereh, Aktham I. & Sweidan, Osama D., 2020. "Do structural shocks in the crude oil market affect biofuel prices?," International Economics, Elsevier, vol. 164(C), pages 183-193.
    9. Jihoon Lee & Hong Chong Cho, 2021. "Impact of Structural Oil Price Shock Factors on the Gasoline Market and Macroeconomy in South Korea," Sustainability, MDPI, vol. 13(4), pages 1-23, February.
    10. Lian An & Xiaomei Ren & Huimin Li & Jing Xu, 2017. "Exchange Rate And Us Macroeconomy: Evidence From The Factor-Augmented Vector Autoregressive Model," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 62(02), pages 483-508, June.
    11. Maheu, John M & Yang, Qiao & Song, Yong, 2018. "Oil Price Shocks and Economic Growth: The Volatility Link," MPRA Paper 83779, University Library of Munich, Germany.
    12. Narayan, Paresh Kumar & Sharma, Susan Sunila & Poon, Wai Ching & Westerlund, Joakim, 2014. "Do oil prices predict economic growth? New global evidence," Working Papers fe_2014_09, Deakin University, Department of Economics.
    13. Liu, Li & Wang, Yudong & Wu, Chongfeng & Wu, Wenfeng, 2016. "Disentangling the determinants of real oil prices," Energy Economics, Elsevier, vol. 56(C), pages 363-373.
    14. 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.
    15. Nonejad, Nima, 2019. "Forecasting aggregate equity return volatility using crude oil price volatility: The role of nonlinearities and asymmetries," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    16. Claudio Morana, 2012. "The Oil price-Macroeconomy Relationship since the Mid- 1980s: A global perspective," Working Papers 2012.28, Fondazione Eni Enrico Mattei.
    17. Balcilar, Mehmet & Gupta, Rangan & Wohar, Mark E., 2017. "Common cycles and common trends in the stock and oil markets: Evidence from more than 150years of data," Energy Economics, Elsevier, vol. 61(C), pages 72-86.
    18. Afees A. Salisu & Umar B. Ndako & Idris Adediran, 2018. "Forecasting GDP of OPEC: The role of oil price," Working Papers 044, Centre for Econometric and Allied Research, University of Ibadan.
    19. Moses Tule & Afees Salisu & Charles Chiemeke, 2020. "Improving Nigeria’s Inflation Forecast with Oil Price: The Role of Estimators," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(1), pages 191-229, March.
    20. Soojin Jo, 2012. "The Effects of Oil Price Uncertainty on the Macroeconomy," Staff Working Papers 12-40, Bank of Canada.
    21. Charfeddine, Lanouar & Klein, Tony & Walther, Thomas, 2020. "Reviewing the oil price–GDP growth relationship: A replication study," Energy Economics, Elsevier, vol. 88(C).
    22. Salisu, Afees A. & Isah, Kazeem O., 2018. "Predicting US inflation: Evidence from a new approach," Economic Modelling, Elsevier, vol. 71(C), pages 134-158.
    23. Kilian, Lutz & Alquist, Ron & Vigfusson, Robert J., 2011. "Forecasting the Price of Oil," CEPR Discussion Papers 8388, C.E.P.R. Discussion Papers.
    24. Stuermer, Martin, 2013. "150 Years of Boom and Bust: What Drives Mineral Commodity Prices?," MPRA Paper 51859, University Library of Munich, Germany.
    25. Kasey Buckles & Daniel Hungerman & Steven Lugauer, 2021. "Is Fertility a Leading Economic Indicator?," The Economic Journal, Royal Economic Society, vol. 131(634), pages 541-565.
    26. Marc Joëts & Valérie Mignon & Tovonony Razafindrabe, 2015. "Does the volatility of commodity prices reflect macroeconomic uncertainty?," Working Papers 2015-02, CEPII research center.
    27. Basel Awartani & Aktham Maghyereh & Julie Ayton, 2019. "Oil Price Changes And Industrial Output In The Mena Region: Nonlinearities And Asymmetries," Working Papers 1342, Economic Research Forum, revised 20 Sep 2019.
    28. Hayo, Bernd & Mierzwa, Sascha, 2023. "The effect of legislated tax changes on the trade balance: Empirical evidence for the United States, Germany, and the United Kingdom," Journal of Macroeconomics, Elsevier, vol. 78(C).
    29. Cavalcanti, Tiago & Jalles, João Tovar, 2013. "Macroeconomic effects of oil price shocks in Brazil and in the United States," Applied Energy, Elsevier, vol. 104(C), pages 475-486.
    30. Francesco Ravazzolo & Philip Rothman, 2011. "Oil and US GDP: A Real-Time out-of Sample Examination," Working Papers No 2/2011, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    31. Swati Singh & Naveen Srinivasan, 2020. "The Oil Story: Is it Still the Same?," Working Papers 2020-197, Madras School of Economics,Chennai,India.
    32. Sek, Siok Kun, 2019. "Unveiling the factors of oil versus non-oil sources in affecting the global commodity prices: A combination of threshold and asymmetric modeling approach," Energy, Elsevier, vol. 176(C), pages 272-280.
    33. Salisu, Afees A. & Ademuyiwa, Idris & Isah, Kazeem O., 2018. "Revisiting the forecasting accuracy of Phillips curve: The role of oil price," Energy Economics, Elsevier, vol. 70(C), pages 334-356.
    34. Syed Abul Basher & Alfred Haug & Perry Sadorsky, 2017. "The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach," Working Papers 1710, University of Otago, Department of Economics, revised Oct 2017.
    35. Olanipekun, Ifedolapo O. & Usman, Ojonugwa, 2019. "Modelling Food and Nonfood Production in India: The Effects of Oil Price using Bayer-Hanck Combined Cointegration Approach," MPRA Paper 96336, University Library of Munich, Germany, revised 2019.
    36. Malikov, Emir, 2015. "Dynamic Responses to Oil Price Shocks: Conditional vs Unconditional (A)symmetry," MPRA Paper 68453, University Library of Munich, Germany.
    37. Wang, Yudong & Pan, Zhiyuan & Liu, Li & Wu, Chongfeng, 2019. "Oil price increases and the predictability of equity premium," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 43-58.
    38. Eleni Zafeiriou & Constantinos Katrakilidis & Chrysanthi Pegiou, 2019. "Consumer Confidence on Heating Oil Prices: An Empirical Study of their Relationship for European Union in a Nonlinear Framework," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 63-90.
    39. Gonçalves, Sílvia & Herrera, Ana María & Kilian, Lutz & Pesavento, Elena, 2021. "Impulse response analysis for structural dynamic models with nonlinear regressors," Journal of Econometrics, Elsevier, vol. 225(1), pages 107-130.
    40. 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.
    41. Liu, Donghui & Meng, Lingjie & Wang, Yudong, 2020. "Oil price shocks and Chinese economy revisited: New evidence from SVAR model with sign restrictions," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 20-32.
    42. Rangan Gupta & Christian Pierdzioch & Afees A. Salisu, 2020. "Oil-Price Uncertainty and the U.K. Unemployment Rate: A Forecasting Experiment with Random Forests Using 150 Years of Data," Working Papers 202095, University of Pretoria, Department of Economics.
    43. Kang, Wensheng & Perez de Gracia, Fernando & Ratti, Ronald A., 2017. "Oil price shocks, policy uncertainty, and stock returns of oil and gas corporations," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 344-359.
    44. Afees A. Salisu & Umar B. Ndako, 2017. "Modelling stock price-exchange rate nexus in OECD countries - A new perspective," Working Papers 038, Centre for Econometric and Allied Research, University of Ibadan.
    45. Jannsen, Nils, 2011. "Zu den Auswirkungen eines Ölpreisanstiegs auf die Konjunktur in den Vereinigten Staaten," Kiel Insight 2011.14, Kiel Institute for the World Economy (IfW Kiel).
    46. Carlo Favero & Francesco Giavazzi & Jacopo Perego, 2011. "Country Heterogeneity and the International Evidence on the Effects of Fiscal Policy," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 59(4), pages 652-682, November.
    47. An, Lian & Jin, Xiaoze & Ren, Xiaomei, 2014. "Are the macroeconomic effects of oil price shock symmetric?: A Factor-Augmented Vector Autoregressive approach," Energy Economics, Elsevier, vol. 45(C), pages 217-228.
    48. Charfeddine, Lanouar & Klein, Tony & Walther, Thomas, 2018. "Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?," QBS Working Paper Series 2018/03, Queen's University Belfast, Queen's Business School.
    49. 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, vol. 50(C), pages 108-133.
    50. Knotek, Edward S. & Zaman, Saeed, 2021. "Asymmetric responses of consumer spending to energy prices: A threshold VAR approach," Energy Economics, Elsevier, vol. 95(C).
    51. Brown, Stephen P.A. & Huntington, Hillard G., 2015. "Evaluating U.S. oil security and import reliance," Energy Policy, Elsevier, vol. 79(C), pages 9-22.
    52. 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, vol. 41(4), pages 1220-1239.
    53. Nusair, Salah A. & Olson, Dennis, 2021. "Asymmetric oil price and Asian economies: A nonlinear ARDL approach," Energy, Elsevier, vol. 219(C).
    54. Chen, Hongtao & Liu, Li & Wang, Yudong & Zhu, Yingming, 2016. "Oil price shocks and U.S. dollar exchange rates," Energy, Elsevier, vol. 112(C), pages 1036-1048.
    55. Nonejad, Nima, 2021. "The price of crude oil and (conditional) out-of-sample predictability of world industrial production," Journal of Commodity Markets, Elsevier, vol. 23(C).
    56. Karaki, Mohamad B., 2017. "Nonlinearities in the response of real GDP to oil price shocks," Economics Letters, Elsevier, vol. 161(C), pages 146-148.
    57. Nonejad, Nima, 2020. "Crude oil price volatility and short-term predictability of the real U.S. GDP growth rate," Economics Letters, Elsevier, vol. 186(C).
    58. Valadkhani, Abbas & Smyth, Russell, 2017. "How do daily changes in oil prices affect US monthly industrial output?," Energy Economics, Elsevier, vol. 67(C), pages 83-90.
    59. Zhang, Yue-Jun & Yao, Ting & He, Ling-Yun & Ripple, Ronald, 2019. "Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 302-317.
    60. Daniele Valenti, 2018. "Modelling the Global Price of Oil: Is there any Role for the Oil Futures-spot Spread?," Working Papers 2018.06, Fondazione Eni Enrico Mattei.
    61. Phillip A. Cartwright & Natalija Riabko, 2019. "Do spot food commodity and oil prices predict futures prices?," Review of Quantitative Finance and Accounting, Springer, vol. 53(1), pages 153-194, July.
    62. Brown, Stephen P.A., 2018. "New estimates of the security costs of U.S. oil consumption," Energy Policy, Elsevier, vol. 113(C), pages 171-192.
    63. John Baffes & M. Ayhan Kose & Franziska Ohnsorge & Marc Stocker, 2015. "The Great Plunge in Oil Prices: Causes, Consequences, and Policy Responses," Policy Research Notes (PRNs) 94725, The World Bank.
    64. Ching Wai Chiu & Bjorn Eraker & Andrew T. Foerster & Tae Bong Kim & Hernan D. Seoane, 2011. "Estimating VAR's sampled at mixed or irregular spaced frequencies : a Bayesian approach," Research Working Paper RWP 11-11, Federal Reserve Bank of Kansas City.
    65. Liu, Li & Ma, Feng & Wang, Yudong, 2015. "Forecasting excess stock returns with crude oil market data," Energy Economics, Elsevier, vol. 48(C), pages 316-324.
    66. Syed Ali Raza & Muhammad Shahbaz & Rafi Amir-Ud-Din & Rashid Sbia & Nida Shah, 2018. "Testing for wavelet based time-frequency relationship between oil prices and US economic activity," Post-Print hal-01982294, HAL.
    67. Deheri, Abdhut & Ramachandran, M., 2023. "Does Indian economy asymmetrically respond to oil price shocks?," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    68. Njindan Iyke, Bernard, 2016. "Real Output and Oil Price Uncertainty: Evidence from an Oil Producing Country," MPRA Paper 71307, University Library of Munich, Germany, revised 01 Apr 2016.
    69. Serletis, Apostolos & Istiak, Khandokar, 2013. "Is the oil price–output relation asymmetric?," The Journal of Economic Asymmetries, Elsevier, vol. 10(1), pages 10-20.
    70. Christiane J.S. Baumeister & James D. Hamilton, 2017. "Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks," NBER Working Papers 24167, National Bureau of Economic Research, Inc.
    71. Rahman, Sajjadur, 2016. "Another perspective on gasoline price responses to crude oil price changes," Energy Economics, Elsevier, vol. 55(C), pages 10-18.
    72. Knetsch, Thomas A. & Molzahn, Alexander, 2009. "Supply-side effects of strong energy price hikes in German industry and transportation," Discussion Paper Series 1: Economic Studies 2009,26, Deutsche Bundesbank.
    73. Maghyereh Aktham & Sweidan Osama & Awartani Basel, 2020. "Asymmetric Responses of Economic Growth to Daily Oil Price Changes: New Global Evidence from Mixed-data Sampling Approach," Review of Economics, De Gruyter, vol. 71(2), pages 81-99, August.
    74. Iwaisako, Tokuo & Nakata, Hayato, 2017. "Impact of exchange rate shocks on Japanese exports: Quantitative assessment using a structural VAR model," Journal of the Japanese and International Economies, Elsevier, vol. 46(C), pages 1-16.
    75. Helmut Lütkepohl & Aleksei Netsunajev, 2012. "Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs," Discussion Papers of DIW Berlin 1195, DIW Berlin, German Institute for Economic Research.
    76. Rangan Gupta & Mark E. Wohar, 2015. "Forecasting Oil and Stock Returns with a Qual VAR using over 150 Years of Data," Working Papers 201589, University of Pretoria, Department of Economics.
    77. Salisu, Afees A. & Raheem, Ibrahim D. & Ndako, Umar B., 2020. "The inflation hedging properties of gold, stocks and real estate: A comparative analysis," Resources Policy, Elsevier, vol. 66(C).
    78. Cozad, Melanie & LaRiviere, Jacob, 2013. "Fuel price increases and the timing of changes in household driving decisions," Journal of Environmental Economics and Management, Elsevier, vol. 65(2), pages 194-207.
    79. Pan, Zhiyuan & Wang, Qing & Wang, Yudong & Yang, Li, 2018. "Forecasting U.S. real GDP using oil prices: A time-varying parameter MIDAS model," Energy Economics, Elsevier, vol. 72(C), pages 177-187.
    80. Elstner, Steffen, 2012. "Uncertainty, heterogeneous expectation errors and economic activity: evidence from business survey data," Munich Dissertations in Economics 14037, University of Munich, Department of Economics.
    81. Vatsa, Puneet & Baek, Jungho, 2023. "Asymmetric influence of oil demand and supply shocks on meat commodities," Energy Economics, Elsevier, vol. 128(C).
    82. Baek, Jungho, 2023. "Dynamic linkage between oil shocks and economic growth: New evidence from Alaska," Resources Policy, Elsevier, vol. 85(PB).
    83. Nasir, Muhammad Ali & Naidoo, Lutchmee & Shahbaz, Muhammad & Amoo, Nii, 2018. "Implications of oil prices shocks for the major emerging economies: A comparative analysis of BRICS," Energy Economics, Elsevier, vol. 76(C), pages 76-88.
    84. Li, Lei & Yin, Libo & Zhou, Yimin, 2016. "Exogenous shocks and the spillover effects between uncertainty and oil price," Energy Economics, Elsevier, vol. 54(C), pages 224-234.
    85. Akif Musayev & Khatai Aliyev, 2017. "Modelling Oil-Sector Dependency of Tax Revenues in a Resource Rich Country: Evidence from Azerbaijan," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 65(3), pages 1023-1029.
    86. Venditti, Fabrizio, 2013. "From oil to consumer energy prices: How much asymmetry along the way?," Energy Economics, Elsevier, vol. 40(C), pages 468-473.
    87. Chou, Kuo-Wei & Tseng, Yi-Heng, 2016. "Oil prices, exchange rate, and the price asymmetry in the Taiwanese retail gasoline market," Economic Modelling, Elsevier, vol. 52(PB), pages 733-741.
    88. Ederington, Louis H. & Fernando, Chitru S. & Hoelscher, Seth A. & Lee, Thomas K. & Linn, Scott C., 2019. "A review of the evidence on the relation between crude oil prices and petroleum product prices," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 1-15.
    89. Nonejad, Nima, 2020. "Crude oil price changes and the United Kingdom real gross domestic product growth rate: An out-of-sample investigation," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    90. Abdulmohsen Alfalih, Abdullah & Bel Hadj, Tarek, 2021. "Asymmetric effects of foreign direct investment on employment in an oil producing country: Do human capital, institutions and oil rents matter?," Resources Policy, Elsevier, vol. 70(C).
    91. Mirko Abbritti & Juan Equiza-Goñi & Fernando Perez Gracia & Tommaso Trani, 2020. "The effect of oil price shocks on economic activity: a local projections approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(4), pages 708-723, October.
    92. Christof Rühl, 2022. "Energy sanctions and the global economy: mandated vs unilateral sanctions," International Economics and Economic Policy, Springer, vol. 19(2), pages 383-399, May.
    93. Musa Foudeh, 2017. "The Long Run Effects of Oil Prices on Economic Growth: The Case of Saudi Arabia," International Journal of Energy Economics and Policy, Econjournals, vol. 7(6), pages 171-192.
    94. Chuxiong Deng & Zhujun Jiang & Chuanwang Sun, 2018. "Estimating the Efficiency and Impacts of Petroleum Product Pricing Reforms in China," Sustainability, MDPI, vol. 10(4), pages 1-17, April.
    95. Kilian, Lutz & Vigfusson, Robert J., 2012. "Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries," CEPR Discussion Papers 8980, C.E.P.R. Discussion Papers.
    96. Nima Nonejad, 2022. "New Findings Regarding the Out-of-Sample Predictive Impact of the Price of Crude Oil on the United States Industrial Production," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 18(1), pages 1-35, March.
    97. Tim Lloyd, 2017. "Forty Years of Price Transmission Research in the Food Industry: Insights, Challenges and Prospects," Journal of Agricultural Economics, Wiley Blackwell, vol. 68(1), pages 3-21, February.
    98. Guo, Jin & Zheng, Xinye & Chen, Zhan-Ming, 2016. "How does coal price drive up inflation? Reexamining the relationship between coal price and general price level in China," Energy Economics, Elsevier, vol. 57(C), pages 265-276.
    99. Thomas Theobald & Peter Hohlfeld, 2017. "Why have the recent oil price declines not stimulated global economic growth?," IMK Working Paper 185-2017, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    100. Jones, Paul M. & Olson, Eric & Wohar, Mark E., 2015. "Asymmetric tax multipliers," Journal of Macroeconomics, Elsevier, vol. 43(C), pages 38-48.
    101. Herrera, Ana María & Karaki, Mohamad B., 2015. "The effects of oil price shocks on job reallocation," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 95-113.
    102. Nonejad, Nima, 2020. "A comprehensive empirical analysis of the predictive impact of the price of crude oil on aggregate equity return volatility," Journal of Commodity Markets, Elsevier, vol. 20(C).
    103. Baumeister, Christiane & Hamilton, James, 2017. "Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Deman," CEPR Discussion Papers 12532, C.E.P.R. Discussion Papers.
    104. Francesca Rondina, 2017. "The Impact of Oil Price Changes in a New Keynesian Model of the U.S. Economy," Working Papers 1709E, University of Ottawa, Department of Economics.
    105. Ahmed, M. Iqbal & Farah, Quazi Fidia & Kishan, Ruby P., 2023. "Oil price uncertainty and unemployment dynamics: Nonlinearities matter," Energy Economics, Elsevier, vol. 125(C).
    106. Julien Chevallier, 2013. "Price relationships in crude oil futures: new evidence from CFTC disaggregated data," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 15(2), pages 133-170, April.
    107. Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    108. Millard, Stephen & Shakir, Tamarah, 2013. "Oil shocks and the UK economy: the changing nature of shocks and impact over time," Bank of England working papers 476, Bank of England.
    109. Xue, Wenjun & Zhang, Liwen, 2019. "Revisiting the asymmetric effects of bank credit on the business cycle: A panel quantile regression approach," The Journal of Economic Asymmetries, Elsevier, vol. 20(C).
    110. Nonejad, Nima, 2022. "Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    111. Roach, Travis, 2015. "Hidden regimes and the demand for carbon dioxide from motor-gasoline," Energy Economics, Elsevier, vol. 52(PB), pages 306-315.
    112. Jung, Young Cheol & Das, Anupam & McFarlane, Adian, 2020. "The asymmetric relationship between the oil price and the US-Canada exchange rate," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 198-206.
    113. Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2018. "The impact of oil-market shocks on stock returns in major oil-exporting countries," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 264-280.
    114. Gong, Xu & Lin, Boqiang, 2018. "Time-varying effects of oil supply and demand shocks on China's macro-economy," Energy, Elsevier, vol. 149(C), pages 424-437.
    115. Salisu, Afees A. & Ndako, Umar B. & Oloko, Tirimisiyu F., 2019. "Assessing the inflation hedging of gold and palladium in OECD countries," Resources Policy, Elsevier, vol. 62(C), pages 357-377.
    116. Mine Yücel, 2018. "Oil and the economy: evolution not revolution," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 53(4), pages 225-231, October.
    117. Herrera, Ana María & Karaki, Mohamad B. & Rangaraju, Sandeep Kumar, 2019. "Oil price shocks and U.S. economic activity," Energy Policy, Elsevier, vol. 129(C), pages 89-99.
    118. Francesco Ravazzolo & Philip Rothman, 2015. "Oil-Price Density Forecasts of U.S. GDP," Working Papers No 10/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    119. Jibril, Halima & Chaudhuri, Kausik & Mohaddes, Kamiar, 2020. "Asymmetric oil prices and trade imbalances: Does the source of the oil shock matter?," Energy Policy, Elsevier, vol. 137(C).
    120. Kilian, Lutz, 2011. "Structural Vector Autoregressions," CEPR Discussion Papers 8515, C.E.P.R. Discussion Papers.
    121. Valcarcel, Victor J. & Wohar, Mark E., 2013. "Changes in the oil price-inflation pass-through," Journal of Economics and Business, Elsevier, vol. 68(C), pages 24-42.
    122. Nicholas Apergis & Alper Aslan & Goodness C. Aye & Rangan Gupta, 2014. "The Asymmetric Effect of Oil Price on Growth across US States," Working Papers 201459, University of Pretoria, Department of Economics.
    123. Balke, Nathan S. & Brown, Stephen P.A., 2018. "Oil supply shocks and the U.S. economy: An estimated DSGE model," Energy Policy, Elsevier, vol. 116(C), pages 357-372.
    124. Berk, Istemi & Yetkiner, Hakan, 2014. "Energy prices and economic growth in the long run: Theory and evidence," Renewable and Sustainable Energy Reviews, Elsevier, vol. 36(C), pages 228-235.
    125. Naser, Hanan, 2016. "Estimating and forecasting the real prices of crude oil: A data rich model using a dynamic model averaging (DMA) approach," Energy Economics, Elsevier, vol. 56(C), pages 75-87.
    126. Ardanaz, Martín & Izquierdo, Alejandro, 2017. "Current Expenditure Upswings in Good Times and Capital Expenditure Downswings in Bad Times?: New Evidence from Developing Countries," IDB Publications (Working Papers) 8558, Inter-American Development Bank.
    127. Dbouk, Wassim & Jamali, Ibrahim, 2018. "Predicting daily oil prices: Linear and non-linear models," Research in International Business and Finance, Elsevier, vol. 46(C), pages 149-165.
    128. Maghyereh, Aktham & Abdoh, Hussein, 2020. "Asymmetric effects of oil price uncertainty on corporate investment," Energy Economics, Elsevier, vol. 86(C).
    129. Olesia Kozlova & Jose Noguera-Santaella, 2019. "Relative efficiency of oil price versus oil output in promoting economic growth: Is OPEC’s strategy right?," Empirical Economics, Springer, vol. 57(6), pages 1997-2012, December.
    130. Nonejad, Nima, 2020. "Crude oil price volatility and equity return predictability: A comparative out-of-sample study," International Review of Financial Analysis, Elsevier, vol. 71(C).
    131. Scott M. R. Mahadeo & Reinhold Heinlein & Gabriella Deborah Legrenzi, 2019. "Tracing the Genesis of Contagion in the Oil-Finance Nexus," CESifo Working Paper Series 7925, CESifo.
    132. Yue-Jun Zhang & Ting Yao & Ling-Yun He, 2015. "Forecasting crude oil market volatility: can the Regime Switching GARCH model beat the single-regime GARCH models?," Papers 1512.01676, arXiv.org.

  15. Christopher J. Gust & Sylvain Leduc & Robert J. Vigfusson, 2010. "Entry dynamics and the decline in exchange-rate pass-through," Working Paper Series 2010-23, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Yao Amber Li & Chen Carol Zhao, 2016. "Price Adjustment to Exchange Rates and Forward-looking Exporters: Evidence from USA–China Trade," Review of International Economics, Wiley Blackwell, vol. 24(5), pages 1023-1049, November.
    2. Cavallari, Lilia & D׳Addona, Stefano, 2015. "Exchange rates as shock absorbers: The role of export margins," Research in Economics, Elsevier, vol. 69(4), pages 582-602.

  16. Christopher J. Gust & Robert J. Vigfusson, 2009. "The power of long-run structural VARs," International Finance Discussion Papers 978, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Fujiwara, Ippei & Teranishi, Yuki, 2011. "Real exchange rate dynamics revisited: A case with financial market imperfections," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1562-1589.
    2. Kilian, Lutz, 2011. "Structural Vector Autoregressions," CEPR Discussion Papers 8515, C.E.P.R. Discussion Papers.

  17. 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.

    Cited by:

    1. Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2011. "Oil prices, exchange rates and emerging stock markets," MPRA Paper 30140, University Library of Munich, Germany.
    2. Kilian, Lutz & Lewis, Logan, 2009. "Does the Fed Respond to Oil Price Shocks?," CEPR Discussion Papers 7594, C.E.P.R. Discussion Papers.
    3. Kollmann, Robert & Zeugner, Stefan, 2012. "Leverage as a predictor for real activity and volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1267-1283.
    4. Solarin, Sakiru Adebola & Lean, Hooi Hooi, 2016. "Are fluctuations in oil consumption permanent or transitory? Evidence from linear and nonlinear unit root tests," Energy Policy, Elsevier, vol. 88(C), pages 262-270.
    5. Fakhraddin Maroofi & Parviz Kafchehi, 2012. "The Influence of Oil Prices on an Oil-Importing Developing Economy," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 2(4), pages 66-82, October.
    6. Ismail O. Fasanya & Abiodun Adetokunbo & Felix O. Ajayi, 2018. "Oil Revenue Shocks and the Current Account Balance Dynamics in Nigeria: New evidence from Asymmetry and Structural Breaks," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 68(4), pages 72-87, October-D.
    7. Engemann, Kristie M. & Kliesen, Kevin L. & Owyang, Michael T., 2011. "Do Oil Shocks Drive Business Cycles? Some U.S. And International Evidence," Macroeconomic Dynamics, Cambridge University Press, vol. 15(S3), pages 498-517, November.
    8. Yin Chu & J. Scott Holladay & Jacob LaRiviere, 2017. "Opportunity Cost Pass-through from Fossil Fuel Market Prices to Procurement Costs of the U.S. Power Producers," Working Papers 2017-02, University of Tennessee, Department of Economics.
    9. 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.
    10. John Bluedorn & Daniel Leigh, 2011. "Revisiting the Twin Deficits Hypothesis: The Effect of Fiscal Consolidation on the Current Account," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 59(4), pages 582-602, November.
    11. Dong Heon Kim, 2010. "What is an oil shock? Panel data evidence," Discussion Paper Series 1007, Institute of Economic Research, Korea University.
    12. Basel Awartani & Aktham Maghyereh & Julie Ayton, 2019. "Oil Price Changes And Industrial Output In The Mena Region: Nonlinearities And Asymmetries," Working Papers 1342, Economic Research Forum, revised 20 Sep 2019.
    13. Ercio Muñoz S. & Mariel C. Siravegna, 2013. "¿Tiene un Impacto el Precio de las Materias Primas Sobre las Bolsas de América Latina?," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 16(3), pages 102-118, December.
    14. Sugra Ingilab Humbatova & Natig Qadim-Oglu Hajiyev, 2019. "Oil Factor in Economic Development," Energies, MDPI, vol. 12(8), pages 1-40, April.
    15. 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.
    16. Anna Kormilitsina, 2011. "Oil Price Shocks and the Optimality of Monetary Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(1), pages 199-223, January.
    17. Alom, Fardous, 2011. "Economic Effects of Oil and Food Price Shocks in Asia and Pacific Countries: An Application of SVAR Model," 2011 Conference, August 25-26, 2011, Nelson, New Zealand 115346, New Zealand Agricultural and Resource Economics Society.
    18. Kilian, Lutz, 2009. "Oil Price Shocks, Monetary Policy and Stagflation," CEPR Discussion Papers 7324, C.E.P.R. Discussion Papers.
    19. Goktug Sahin & Nukhet Dogan & M. Hakan Berument, 2023. "The effects of two benchmarks on Russian crude oil prices," Economic Change and Restructuring, Springer, vol. 56(2), pages 733-748, April.
    20. Janzen, Joseph, 2015. "The Effect of U.S. International Food Aid on Prices for Dry Peas and Lentils," 2015 Conference, August 9-14, 2015, Milan, Italy 211797, International Association of Agricultural Economists.
    21. Haykaz Igityan, 2019. "Asymmetric Effects of Monetary Policy in Different Phases of Armenia's Business Cycle," Working Papers 11, Central Bank of the Republic of Armenia.
    22. Sim, Nicholas, 2016. "Modeling the dependence structures of financial assets through the Copula Quantile-on-Quantile approach," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 31-45.
    23. Degiannakis, Stavros & Filis, George & Arora, Vipin, 2018. "Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence," MPRA Paper 96270, University Library of Munich, Germany.
    24. Edelstein, Paul & Kilian, Lutz, 2009. "How sensitive are consumer expenditures to retail energy prices?," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 766-779, September.
    25. Gianluigi Ferrucci & Rebeca Jiménez-Rodríguez & Luca Onorantea, 2012. "Food Price Pass-Through in the Euro Area: Non-Linearities and the Role of the Common Agricultural Policy," International Journal of Central Banking, International Journal of Central Banking, vol. 8(1), pages 179-218, March.
    26. Neville Francis & Sergio Restrepo-Angel, 2018. "Sectoral and aggregate response to oil price shocks in the Colombian economy: SVAR and Local Projections approach," Borradores de Economia 1055, Banco de la Republica de Colombia.
    27. Borozan, Djula & Lolic Cipcic, Marina, 2022. "Asymmetric and nonlinear oil price pass-through to economic growth in Croatia: Do oil-related policy shocks matter?," Resources Policy, Elsevier, vol. 76(C).
    28. Fabrizio Venditti, 2010. "Down the non-linear road from oil to consumer energy prices: no much asymmetry along the way," Temi di discussione (Economic working papers) 751, Bank of Italy, Economic Research and International Relations Area.
    29. Agboola, Emmanuel & Chowdhury, Rosen & Yang, Bo, 2024. "Oil price fluctuations and their impact on oil-exporting emerging economies," Economic Modelling, Elsevier, vol. 132(C).
    30. Farhan Ahmed & Muhammad Osama Daudpota & Muhammad Kashif, 2017. "Oil Price Shocks And Industry Level Production Using Vector Autoregression: Empirical Evidence From Pakistan," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 11(3), pages 13-25.
    31. Yeliz Yalcin & Cengiz Arikan & Furkan Emirmahmutoglu, 2015. "Determining the asymmetric effects of oil price changes on macroeconomic variables: a case study of Turkey," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(4), pages 737-746, November.
    32. Zhang, Chuanguo & Qu, Xuqin, 2015. "The effect of global oil price shocks on China's agricultural commodities," Energy Economics, Elsevier, vol. 51(C), pages 354-364.
    33. Martin Bodenstein & Christopher J. Erceg & Luca Guerrieri, 2007. "Oil shocks and external adjustment," International Finance Discussion Papers 897, Board of Governors of the Federal Reserve System (U.S.).
    34. Christopher N. Ekong & Ekpeno L. Effiong, 2015. "Oil Price Shocks and Nigeria’s Macroeconomy: Disentangling the Dynamics of Crude Oil Market Shocks," Global Business Review, International Management Institute, vol. 16(6), pages 920-935, December.
    35. Chuku, Chuku & Effiong, Ekpeno & Sam, Ndifreke, 2010. "Oil price distortions and their short- and long-run impacts on the Nigerian economy," MPRA Paper 24434, University Library of Munich, Germany.
    36. Valcarcel, Victor J. & Wohar, Mark E., 2013. "Changes in the oil price-inflation pass-through," Journal of Economics and Business, Elsevier, vol. 68(C), pages 24-42.
    37. Scholtens, Bert & Yurtsever, Cenk, 2012. "Oil price shocks and European industries," Energy Economics, Elsevier, vol. 34(4), pages 1187-1195.
    38. Mr. Daniel Leigh & Mr. Andrea Pescatori & Mr. Jaime Guajardo, 2011. "Expansionary Austerity New International Evidence," IMF Working Papers 2011/158, International Monetary Fund.
    39. Panagiotis Rafailidis & Constantinos Katrakilidis, 2014. "The relationship between oil prices and stock prices: a nonlinear asymmetric cointegration approach," Applied Financial Economics, Taylor & Francis Journals, vol. 24(12), pages 793-800, June.
    40. Kilian, Lutz, 2010. "Oil price volatility: Origins and effects," WTO Staff Working Papers ERSD-2010-02, World Trade Organization (WTO), Economic Research and Statistics Division.

  18. Joseph E. Gagnon & Nathan Sheets & Robert J. Vigfusson, 2007. "Exchange rate pass-through to export prices: assessing some cross-country evidence," International Finance Discussion Papers 902, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Stephane Dees & Matthias Burgert & Nicolas Parent, 2008. "Import Price Dynamics in Major Advanced Economies and Heterogeneity in Exchange Rate Pass-Through," Staff Working Papers 08-39, Bank of Canada.
    2. Naz, Farah & Mohsin, Asma & Zaman, Khalid, 2012. "Exchange rate pass-through in to inflation: New insights in to the cointegration relationship from Pakistan," Economic Modelling, Elsevier, vol. 29(6), pages 2205-2221.
    3. Ceglowski, Janet, 2010. "Exchange rate pass-through to bilateral import prices," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1637-1651, December.
    4. Willem Thorbecke, 2011. "The Effect of Exchange Rate Changes on Trade in East Asia," Trade Working Papers 23274, East Asian Bureau of Economic Research.
    5. Hesham Alogeel & Maher Hasan, 2008. "Understanding the Inflationary Process in the GCC Region: The Case of Saudi Arabia and Kuwait," IMF Working Papers 2008/193, International Monetary Fund.
    6. Engin AKMAN, 2016. "Impacts Of Euro/Usd Volatility On Steel Prices Of Turkey," EcoForum, "Stefan cel Mare" University of Suceava, Romania, Faculty of Economics and Public Administration - Economy, Business Administration and Tourism Department., vol. 5(1), pages 1-17, January.
    7. Bogdan Cozmanca & Florentina Manea, 2009. "Exchange Rate Pass-Through into Romanian Price Indices: A VAR Approach," Advances in Economic and Financial Research - DOFIN Working Paper Series 34, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
    8. Yuqing Xing, 2010. "The Yuan’s Exchange Rates and Pass-through Effects on the Prices of Japanese and US Imports," Working Papers id:3130, eSocialSciences.
    9. Bussiére, Matthieu & Peltonen, Tuomas, 2008. "Exchange rate pass-through in the global economy: the role of emerging market economies," BOFIT Discussion Papers 25/2008, Bank of Finland Institute for Emerging Economies (BOFIT).
    10. Fromlet, Pia, 2013. "Exchange Rates, Wages, and Export Price Dynamics," Working Papers 132, National Institute of Economic Research.
    11. Marazzi, Mario & Sheets, Nathan, 2007. "Declining exchange rate pass-through to U.S. import prices: The potential role of global factors," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 924-947, October.
    12. Zhi Yu, 2013. "Exchange rate pass-through, firm heterogeneity and product quality: a theoretical analysis," Globalization Institute Working Papers 141, Federal Reserve Bank of Dallas.
    13. THORBECKE, Willem, 2012. "Estimating Trade Elasticities for World Capital Goods Exports," Discussion papers 12067, Research Institute of Economy, Trade and Industry (RIETI).
    14. Janet Ceglowski, 2012. "Has global competition changed US export pricing?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 17(1), pages 1-13, January.
    15. Bussière, M. & Delle Chiaie, S. & Peltonen, T. A., 2013. "Exchange Rate Pass-Through in the Global Economy," Working papers 424, Banque de France.
    16. Yuqing Xing, 2010. "The Yuan’s Exchange Rates and Pass-through Effects on the Prices of Japanese and US Imports," Trade Working Papers 22802, East Asian Bureau of Economic Research.
    17. Byrne, Joseph P. & Kortava, Ekaterina & MacDonald, Ronald, 2013. "A new approach to tests of pricing-to-market," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 654-667.
    18. Ceglowski, Janet, 2010. "Has pass-through to export prices risen? Evidence for Japan," Journal of the Japanese and International Economies, Elsevier, vol. 24(1), pages 86-98, March.

  19. Robert Vigfusson, 2007. "The Power of Long-Run VARs," 2007 Meeting Papers 437, Society for Economic Dynamics.

    Cited by:

    1. Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2017. "Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions," Discussion Papers of DIW Berlin 1642, DIW Berlin, German Institute for Economic Research.

  20. Lawrence J. Christiano & Martin S. Eichenbaum & Robert J. Vigfusson, 2006. "Assessing structural VARs," International Finance Discussion Papers 866, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Leonardo Nogueira Ferreira & Silvia Miranda-Agrippino & Giovanni Ricco, 2023. "Bayesian Local Projections," Working Papers Series 581, Central Bank of Brazil, Research Department.
    2. Pablo Guerron-Quintana & Atsushi Inoue & Lutz Kilian, 2016. "Impulse Response Matching Estimators for DSGE Models," CESifo Working Paper Series 5730, CESifo.
    3. Kim, Soyoung & Lee, Jaewoo, 2015. "Imbalances over the Pacific," Journal of Macroeconomics, Elsevier, vol. 45(C), pages 173-185.
    4. Lees, Kirdan & Matheson, Troy, 2007. "Mind your ps and qs! Improving ARMA forecasts with RBC priors," Economics Letters, Elsevier, vol. 96(2), pages 275-281, August.
    5. Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2011. "Oil prices, exchange rates and emerging stock markets," MPRA Paper 30140, University Library of Munich, Germany.
    6. Forbes, Kristin & Hjortsoe, Ida & Nenova, Tsvetelina, 2018. "The shocks matter: Improving our estimates of exchange rate pass-through," Journal of International Economics, Elsevier, vol. 114(C), pages 255-275.
    7. Yao, Wenying & Kam, Timothy & Vahid, Farshid, 2017. "On weak identification in structural VARMA models," Economics Letters, Elsevier, vol. 156(C), pages 1-6.
    8. Patrick Fève & Alain Guay, 2010. "Identification of Technology Shocks in Structural Vars," Economic Journal, Royal Economic Society, vol. 120(549), pages 1284-1318, December.
    9. Phillips, Kerk L. & Spencer, David E., 2010. "Bootstrapping Structural VARs: Avoiding a Potential Bias in Confidence Intervals for Impulse Response Functions," MPRA Paper 23503, University Library of Munich, Germany.
    10. António Afonso & Peter Claeys, 2006. "The dynamic behaviour of budget components and output – the cases of France, Germany, Portugal, and Spain," Working Papers Department of Economics 2006/26, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    11. Li, Yun Daisy & Iscan, Talan B. & Xu, Kuan, 2010. "The impact of monetary policy shocks on stock prices: Evidence from Canada and the United States," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 876-896, September.
    12. Christopher J. Gust & Robert J. Vigfusson, 2009. "The power of long-run structural VARs," International Finance Discussion Papers 978, Board of Governors of the Federal Reserve System (U.S.).
    13. Lawrence J. Christiano & Joshua M. Davis, 2006. "Two Flaws In Business Cycle Accounting," NBER Working Papers 12647, National Bureau of Economic Research, Inc.
    14. Dieppe, Alistair & Francis, Neville & Kindberg-Hanlon, Gene, 2021. "The identification of dominant macroeconomic drivers: coping with confounding shocks," Working Paper Series 2534, European Central Bank.
    15. De Graeve, Ferre & Westermark, Andreas, 2013. "Un-truncating VARs," Working Paper Series 271, Sveriges Riksbank (Central Bank of Sweden).
    16. Massimo Franchi & Paolo Paruolo, 2012. "On ABCs (and Ds) of VAR representations of DSGE models," DSS Empirical Economics and Econometrics Working Papers Series 2012/4, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
    17. Domenico Giannone & Lucrezia Reichlin, 2006. "Does information help recovering structural shocks from past observations?," Journal of the European Economic Association, MIT Press, vol. 4(2-3), pages 455-465, 04-05.
    18. Alfred A.Haug & Tomasz Jędrzejowicz & Anna Sznajderska, 2013. "Combining monetary and fiscal policy in an SVAR for a small open economy," NBP Working Papers 168, Narodowy Bank Polski.
    19. Fernald, John, 2006. "Trend Breaks, Long-Run Restrictions and the Contractionary Effects of Technology Improvements," CEPR Discussion Papers 5631, C.E.P.R. Discussion Papers.
    20. Massimo Franchi & Paolo Paruolo, 2015. "Minimality of State Space Solutions of DSGE Models and Existence Conditions for Their VAR Representation," Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 613-626, December.
    21. František Brazdik & Michal Hlavacek & Aleš Marsal, 2012. "Survey of Research on Financial Sector Modeling within DSGE Models: What Central Banks Can Learn from It," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(3), pages 252-277, July.
    22. Alban Moura, 2018. "Investment Shocks, Sticky Prices, and the Endogenous Relative Price of Investment," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 27, pages 48-63, January.
    23. Olivier Cardi & Romain Restout, 2023. "Why Hours Worked Decline Less after Technology Shocks?Â," Working Papers 396800288, Lancaster University Management School, Economics Department.
    24. Luisito Bertinelli & Olivier Cardi & Romain Restout, 2021. "Labor Market Effects of Technology Shocks Biased toward the Traded Sector," Working Papers 342990229, Lancaster University Management School, Economics Department.
    25. Giavazzi, Francesco & Favero, Carlo A., 2010. "Reconciling VAR-based and Narrative Measures of the Tax-Multiplier," CEPR Discussion Papers 7769, C.E.P.R. Discussion Papers.
    26. Jesus Fernandez-Villaverde & Juan Rubio-Ramirez & Thomas J. Sargent, 2005. "A, B, C's (and D)'s for Understanding VARs," NBER Technical Working Papers 0308, National Bureau of Economic Research, Inc.
    27. Ronayne, David, 2011. "Which Impulse Response Function?," Economic Research Papers 270753, University of Warwick - Department of Economics.
    28. Adrian Pagan & Tim Robinson, 2016. "Investigating the Relationship Between DSGE and SVAR Models," NCER Working Paper Series 112, National Centre for Econometric Research.
    29. Neville Francis & Valerie A. Ramey, 2009. "Measures of per Capita Hours and Their Implications for the Technology‐Hours Debate," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(6), pages 1071-1097, September.
    30. Carrillo, Julio A., 2012. "How well does sticky information explain the dynamics of inflation, output, and real wages?," Journal of Economic Dynamics and Control, Elsevier, vol. 36(6), pages 830-850.
    31. Fabio Canova & Matthias Paustian, 2007. "Business cycle measurement with some theory," Economics Working Papers 1203, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2011.
    32. Fabio Canova & Luca Sala, 2006. "Back to square one: identification issues in DSGE models," Computing in Economics and Finance 2006 196, Society for Computational Economics.
    33. Hall, Alastair & Inoue, Atsushi & Nason M, James & Rossi, Barbara, 2007. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Working Papers 07-04, Duke University, Department of Economics.
    34. Pengfei Wang & Yi Wen, 2011. "Understanding the Effects of Technology Shocks," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(4), pages 705-724, October.
    35. Soccorsi, Stefano, 2016. "Measuring nonfundamentalness for structural VARs," Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 86-101.
    36. Lawrence J. Christiano & Joshua M. Davis, 2006. "Two flaws in business cycle dating," Working Papers (Old Series) 0612, Federal Reserve Bank of Cleveland.
    37. Mikhail Dmitriev & Manoj Atolia, 2021. "Testing for Spurious Dynamics in Structural Models with Applications to Monetary Policy," Working Papers wp2021_10_01, Department of Economics, Florida State University.
    38. Anna Mikusheva, 2014. "Estimation of dynamic stochastic general equilibrium models (in Russian)," Quantile, Quantile, issue 12, pages 1-21, February.
    39. Thomai Filippeli & Konstantinos Theodoridis, 2015. "DSGE priors for BVAR models," Empirical Economics, Springer, vol. 48(2), pages 627-656, March.
    40. Shingo Watanabe, 2012. "The Role Of Technology And Nontechnology Shocks In Business Cycles," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(4), pages 1287-1321, November.
    41. Forni, Lorenzo & Monteforte, Libero & Sessa, Luca, 2009. "The general equilibrium effects of fiscal policy: Estimates for the Euro area," Journal of Public Economics, Elsevier, vol. 93(3-4), pages 559-585, April.
    42. Alfred A. Haug & Christie Smith, 2007. "Local linear impulse responses for a small open economy," Working Papers 0707, University of Otago, Department of Economics, revised Apr 2007.
    43. Leung, Charles Ka Yui & Shi, Song & Ho Tang, Edward Chi, 2013. "Commodity house prices," Regional Science and Urban Economics, Elsevier, vol. 43(6), pages 875-887.
    44. Valerie A. Ramey, 2016. "Macroeconomic Shocks and Their Propagation," NBER Working Papers 21978, National Bureau of Economic Research, Inc.
    45. Christian Kascha & Karel Mertens, 2006. "Business Cycle Analysis and VARMA models," Economics Working Papers ECO2006/37, European University Institute.
    46. Bai, Shuming & Koong, Kai S., 2018. "Oil prices, stock returns, and exchange rates: Empirical evidence from China and the United States," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 12-33.
    47. Jesus Fernandez-Villaverde & Juan Rubio-Ramírez & Frank Schorfheide, 2015. "Solution and Estimation Methods for DSGE Models," PIER Working Paper Archive 15-042, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 09 Dec 2015.
    48. Phiromswad, Piyachart, 2015. "Measuring monetary policy with empirically grounded restrictions: An application to Thailand," Journal of Asian Economics, Elsevier, vol. 38(C), pages 104-113.
    49. Rodolfo Mendez-Marcano, 2014. "Technology, Employment, and the Oil-Countries Business Cycle," Working Papers 1405, BBVA Bank, Economic Research Department.
    50. Chinn, Menzie D. & Lee, Jaewoo, 2009. "Three current account balances: A "Semi-Structuralist" interpretation," Japan and the World Economy, Elsevier, vol. 21(2), pages 202-212, March.
    51. Mark W. Watson, 2015. "Comment on "Trends and Cycles in China's Macroeconomy"," NBER Chapters, in: NBER Macroeconomics Annual 2015, Volume 30, pages 85-89, National Bureau of Economic Research, Inc.
    52. D.S. Poskitt & Wenying Yao, 2012. "VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors," Monash Econometrics and Business Statistics Working Papers 11/12, Monash University, Department of Econometrics and Business Statistics.
    53. Filippeli, Thomai & Harrison, Richard & Theodoridis, Konstantinos, 2020. "DSGE-based priors for BVARs and quasi-Bayesian DSGE estimation," Econometrics and Statistics, Elsevier, vol. 16(C), pages 1-27.
    54. Dan S. Rickman, 2010. "Modern Macroeconomics And Regional Economic Modeling," Journal of Regional Science, Wiley Blackwell, vol. 50(1), pages 23-41, February.
    55. Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Identification with external instruments in structural VARs under partial invertibility," Working Papers hal-03475454, HAL.
    56. Lovcha, Yuliya & Pérez Laborda, Àlex, 2013. "A fractionally integrated approach to monetary policy and inflation dynamics," Working Papers 2072/211795, Universitat Rovira i Virgili, Department of Economics.
    57. Umit Bulut, 2016. "May Monetary Transmission Lags Have a Role in Missing Inflation Targets in Turkey? Cointegration Tests with Structural Breaks and Structural VAR Analysis," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(4), pages 93-103, April.
    58. Fève, Patrick & Moura, Alban & Pierrard, Olivier, 2017. "Financial Regulation and Shadow Banking: A Small-Scale DSGE Perspective," TSE Working Papers 17-829, Toulouse School of Economics (TSE), revised Aug 2018.
    59. Hussain, Syed M. & Liu, Lin, 2016. "A note on the Cogley–Nason–Sims approach," Economics Letters, Elsevier, vol. 146(C), pages 77-81.
    60. Paccagnini, Alessia, 2010. "DSGE Model Validation in a Bayesian Framework: an Assessment," MPRA Paper 24509, University Library of Munich, Germany.
    61. Sabri Boubaker & Duc Khuong Nguyen & Nikos Paltalidis, 2016. "Fiscal Policy Interventions at the Zero Lower Bound," Working Papers 2016-002, Department of Research, Ipag Business School.
    62. Alessia Paccagnini, 2012. "Comparing Hybrid DSGE Models," Working Papers 228, University of Milano-Bicocca, Department of Economics, revised Dec 2012.
    63. Chaudourne, Jeremy & Fève, Patrick & Guay, Alain, 2012. "Understanding the Effect of Technology Shocks in SVARs with Long-Run Restrictions," IDEI Working Papers 738, Institut d'Économie Industrielle (IDEI), Toulouse.
    64. Kociecki, Andrzej, 2013. "Bayesian Approach and Identification," MPRA Paper 46538, University Library of Munich, Germany.
    65. Ida Wolden Bache, 2006. "Assessing the structural VAR approach to exchange rate pass-through," Computing in Economics and Finance 2006 309, Society for Computational Economics.
    66. Felix Geiger & Oliver Sauter, 2009. "Deflationary vs. Inflationary Expectations - A New-Keynesian Perspective with Heterogeneous Agents and Monetary Believes," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 312/2009, Department of Economics, University of Hohenheim, Germany.
    67. Giancarlo Corsetti & Luca Dedola & Sylvain Leduc, 2006. "Productivity, External Balance and Exchange Rates: Evidence on the Transmission Mechanism Among G7 Countries," NBER Working Papers 12483, National Bureau of Economic Research, Inc.
    68. Lawrence J. Christiano & Martin S. Eichenbaum & Robert J. Vigfusson, 2005. "Alternative procedures for estimating vector autoregressions identified with long-run restrictions," International Finance Discussion Papers 842, Board of Governors of the Federal Reserve System (U.S.).
    69. Féve, Patrick & Jidoud, Ahmat, 2012. "Identifying News Shocks from SVARs," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 919-932.
    70. Liu, Zheng & Phaneuf, Louis, 2007. "Technology shocks and labor market dynamics: Some evidence and theory," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2534-2553, November.
    71. Theodoridis, Konstantinos, 2011. "An efficient minimum distance estimator for DSGE models," Bank of England working papers 439, Bank of England.
    72. Dekle, Robert & Hamada, Koichi, 2015. "Japanese monetary policy and international spillovers," Journal of International Money and Finance, Elsevier, vol. 52(C), pages 175-199.
    73. Valter Di Giacinto & Giacinto Micucci & Pasqualino Montanaro, 2010. "Dynamic Macroeconomic Effects of Public Capital: Evidence from Regional Italian Data," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 69(1), pages 29-66, April.
    74. Enders, Zeno & Müller, Gernot J., 2009. "On the international transmission of technology shocks," Journal of International Economics, Elsevier, vol. 78(1), pages 45-59, June.
    75. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2007. "A Review of Nonfundamentalness and Identification in Structural VAR Models," LEM Papers Series 2007/22, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    76. John M. Roberts, 2005. "Using structural shocks to identify models of investment," Finance and Economics Discussion Series 2005-69, Board of Governors of the Federal Reserve System (U.S.).
    77. Salmsnov, Oleg & Babina, Natalia & Koba, Ekaterina & Koba, Ekaterina & Lopatina, Olga, 2017. "Efficiency of Monetary Policy Mechanisms Before and After the 2008 Financial Crisis in the Russian Economy," MPRA Paper 112276, University Library of Munich, Germany, revised 01 Jul 2017.
    78. Ricardo Reis, 2008. "Comment on "In Search of the Transmission Mechanism of Fiscal Policy"," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 227-236, National Bureau of Economic Research, Inc.
    79. Franchi, Massimo & Vidotto, Anna, 2013. "A check for finite order VAR representations of DSGE models," Economics Letters, Elsevier, vol. 120(1), pages 100-103.
    80. Rokon Bhuiyan, 2012. "Monetary transmission mechanisms in a small open economy: a Bayesian structural VAR approach," Canadian Journal of Economics, Canadian Economics Association, vol. 45(3), pages 1037-1061, August.
    81. Salmanov, Oleg & Zaernjuk, Victor & Lopatina, Olga & Drachena, Irina & Vikulina, Evgeniya, 2016. "Investigating the Impact of Monetary Policy using the Vector Autoregression Method," MPRA Paper 112280, University Library of Munich, Germany, revised 01 Jun 2016.
    82. Forbes, Kristin & Hjortsø, Ida & Nenova, Tsvetelina, 2020. "International Evidence on Shock-Dependent Exchange Rate Pass-Through," CEPR Discussion Papers 15242, C.E.P.R. Discussion Papers.
    83. Luca Sala & Luca Gambetti & Mario Forni, 2016. "VAR Information and the Empirical Validation of DSGE Models," 2016 Meeting Papers 260, Society for Economic Dynamics.
    84. Ørjan Robstad, 2014. "House prices, credit and the effect of monetary policy in Norway: Evidence from Structural VAR Models," Working Paper 2014/05, Norges Bank.
    85. S. S. Abere & T. O. Akinbobola, 2020. "External Shocks, Institutional Quality, and Macroeconomic Performance in Nigeria," SAGE Open, , vol. 10(2), pages 21582440209, May.
    86. Patrick Feve, 2016. "Sentiments in SVARs," 2016 Meeting Papers 175, Society for Economic Dynamics.
    87. Mohamed Ilyes Gritli, 2021. "Price inflation and exchange rate pass‐through in Tunisia," African Development Review, African Development Bank, vol. 33(4), pages 715-728, December.
    88. Liu, Philip & Theodoridis, Konstantinos, 2010. "DSGE model restrictions for structural VAR identification," Bank of England working papers 402, Bank of England.
    89. Chevillon, Guillaume & Mavroeidis, Sophocles & Zhan, Zhaoguo, 2016. "Robust inference in structural VARs with long-run restrictions," ESSEC Working Papers WP1702, ESSEC Research Center, ESSEC Business School.
    90. Benati, Luca, 2009. "Long run evidence on money growth and inflation," Working Paper Series 1027, European Central Bank.
    91. Luciana Juvenal, 2009. "Sources of exchange rate fluctuations: are they real or nominal?," Working Papers 2009-040, Federal Reserve Bank of St. Louis.
    92. Patrick Fève & Alain Guay, 2009. "The Response of Hours to a Technology Shock: A Two-Step Structural VAR Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(5), pages 987-1013, August.
    93. Beatrice D. Simo-Kengne & Rangan Gupta & Goodness C. Aye, 2013. "Macro Shocks And House Prices In South Africa," Working Papers 201302, University of Pretoria, Department of Economics.
    94. Iiboshi, Hirokuni & Umeda, Masanobu & Wakita, Shigeru, 2008. "Monetary Policy in Japan Reconsidered: A Regime-switching VAR Analysis," MPRA Paper 87391, University Library of Munich, Germany.
    95. Julio César Alonso & Diego Alexánder Martínez Quintero, 2017. "Impacto del precio del petróleo sobre el PIB de los países de la Alianza del Pacífico," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 9(2), pages 249-264, May.
    96. Víctor Hugo Torres‐Preciado, 2021. "Monetary policy and regional economic performance in Mexico: A structural panel VAR approach," Growth and Change, Wiley Blackwell, vol. 52(1), pages 195-223, March.
    97. Collard, Fabrice & Fève, Patrick, 2012. "Sur les Causes et les Effets en Macro-Economie : les Contributions de Sargent et Sims,Prix Nobel d'Economie 2011," IDEI Working Papers 726, Institut d'Économie Industrielle (IDEI), Toulouse.
    98. Gospodinov, Nikolay & Maynard, Alex & Pesavento, Elena, 2011. "Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(4), pages 455-467.
    99. Lovcha, Yuliya & Pérez Laborda, Àlex, 2013. "Hours worked - Productivity puzzle: identification in fractional integration settings," Working Papers 2072/211796, Universitat Rovira i Virgili, Department of Economics.
    100. Dario Caldara & Richard Harrison & Anna Lipińska, 2014. "Practical Tools For Policy Analysis In Dsge Models With Missing Shocks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1145-1163, November.
    101. Piyachart Phiromswad, 2014. "Measuring monetary policy with empirically grounded identifying restrictions," Empirical Economics, Springer, vol. 46(2), pages 681-699, March.
    102. Dupaigne, Martial & Feve, Patrick & Matheron, Julien, 2007. "Some analytics on bias in DSVARs," Economics Letters, Elsevier, vol. 97(1), pages 32-38, October.
    103. Emanuele Bacchiocchi & Toru Kitagawa, 2022. "Locally- but not Globally-identified SVARs," Working Papers wp1171, Dipartimento Scienze Economiche, Universita' di Bologna.
    104. D.S. Poskitt, 2009. "Vector Autoregresive Moving Average Identification for Macroeconomic Modeling: Algorithms and Theory," Monash Econometrics and Business Statistics Working Papers 12/09, Monash University, Department of Econometrics and Business Statistics.
    105. Lovcha, Yuliya & Pérez Laborda, Àlex, 2016. "The Variance-Frequency Decomposition as an Instrument for VAR Identification: an Application to Technology Shocks," Working Papers 2072/261537, Universitat Rovira i Virgili, Department of Economics.
    106. Afonso, Antonio & Claeys, Peter, 2008. "The dynamic behaviour of budget components and output," Economic Modelling, Elsevier, vol. 25(1), pages 93-117, January.
    107. Fernald, John G., 2007. "Trend breaks, long-run restrictions, and contractionary technology improvements," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2467-2485, November.
    108. Nadav Ben Zeev, 2019. "Is There A Single Shock That Drives The Majority Of Business Cycle Fluctuations?," Working Papers 1906, Ben-Gurion University of the Negev, Department of Economics.
    109. Seymen, Atılım, 2013. "Sequential identification of technological news shocks," ZEW Discussion Papers 13-111, ZEW - Leibniz Centre for European Economic Research.
    110. Halkos, George & Paizanos, Epameinondas, 2015. "Fiscal policy and economic performance: A review of the theoretical and empirical literature," MPRA Paper 67737, University Library of Munich, Germany.
    111. Liu, Lin & Hussain, Syed, 2013. "Understanding the Sims-Cogley-Nason Approach in A Finite Sample," MPRA Paper 53118, University Library of Munich, Germany.
    112. Nadav Ben-Zeev & Evi Pappa & Alejandro Vicondoa, 2016. "Emerging Economies Business Cycles: The Role Of The Terms Of Trade Revisited," Working Papers 1610, Ben-Gurion University of the Negev, Department of Economics.
    113. Rachid Ouchchikh, 2017. "Monetary Policy Transmission Mechanism in a Small Open Economy under Fixed Exchange Rate: An SVAR Approach for Morocco," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 11(1), pages 42-51, December.
    114. Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
    115. Martial Dupaigne & Patrick Feve & Julien Matheron, 2007. "Technology Shocks, Non-stationary Hours and DSVAR," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 10(2), pages 238-255, April.
    116. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2019. "Identification with External Instruments in Structural VARs under Partial Invertibility," The Warwick Economics Research Paper Series (TWERPS) 1213, University of Warwick, Department of Economics.
    117. Baldoni, Edoardo & Coderoni, Silvia & D'Orazio, Marco & Di Giuseppe, Elisa & Esposti, Roberto, 2019. "The role of economic and policy variables in energy-efficient retrofitting assessment. A stochastic Life Cycle Costing methodology," Energy Policy, Elsevier, vol. 129(C), pages 1207-1219.
    118. Raffaella Giacomini, 2013. "The relationship between DSGE and VAR models," CeMMAP working papers CWP21/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    119. Poskitt, D.S., 2016. "Vector autoregressive moving average identification for macroeconomic modeling: A new methodology," Journal of Econometrics, Elsevier, vol. 192(2), pages 468-484.
    120. Thomai Filippeli, 2011. "Theoretical Priors for BVAR Models & Quasi-Bayesian DSGE Model Estimation," 2011 Meeting Papers 396, Society for Economic Dynamics.
    121. Haug, Alfred A. & Jędrzejowicz, Tomasz & Sznajderska, Anna, 2019. "Monetary and fiscal policy transmission in Poland," Economic Modelling, Elsevier, vol. 79(C), pages 15-27.
    122. Karel Mertens & MortenO. Ravn, 2010. "Measuring the Impact of Fiscal Policy in the Face of Anticipation: A Structural VAR Approach," Economic Journal, Royal Economic Society, vol. 120(544), pages 393-413, May.
    123. Isaac Gross & James Hansen, 2013. "Reserves of Natural Resources in a Small Open Economy," RBA Research Discussion Papers rdp2013-14, Reserve Bank of Australia.
    124. Raffaella Giacomini, 2013. "The relationship between DSGE and VAR models," CeMMAP working papers 21/13, Institute for Fiscal Studies.
    125. Massimo Franchi & Anna Vidotto, 2012. "A simple check for VAR representations of DSGE models," DSS Empirical Economics and Econometrics Working Papers Series 2012/5, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
    126. Massimo Franchi, 2013. "Comment on: Ravenna, F., 2007. Vector autoregressions and reduced form representations of DSGE models. Journal of Monetary Economics 54, 2048-2064," DSS Empirical Economics and Econometrics Working Papers Series 2013/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
    127. Ross Doppelt & Keith O'Hara, 2018. "Bayesian Estimation of Fractionally Integrated Vector Autoregressions and an Application to Identified Technology Shocks," 2018 Meeting Papers 1212, Society for Economic Dynamics.
    128. Mark W. Watson, 2016. "Comment," NBER Macroeconomics Annual, University of Chicago Press, vol. 30(1), pages 85-89.
    129. Elmar Mertens, 2010. "Structural shocks and the comovements between output and interest rates," Finance and Economics Discussion Series 2010-21, Board of Governors of the Federal Reserve System (U.S.).
    130. John W. Keating, 2013. "What Do We Learn from Blanchard and Quah Decompositions If Aggregate Demand May Not be Long-Run Neutral?," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201302, University of Kansas, Department of Economics.
    131. Zhongjun Qu, 2011. "Inference and Speci?cation Testing in DSGE Models with Possible Weak Identification," Boston University - Department of Economics - Working Papers Series WP2011-058, Boston University - Department of Economics.
    132. Ida Wolden Bache, 2008. "Assessing estimates of the exchange rate pass-through," Working Paper 2007/12, Norges Bank.
    133. Cyriac Guillaumin, 2008. "(A)symetrie et convergence des chocs macroeconomiques en Asie de l'Est : une analyse dynamique," Economie Internationale, CEPII research center, issue 114, pages 29-68.
    134. V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2007. "Are structural VARs with long-run restrictions useful in developing business cycle theory?," Staff Report 364, Federal Reserve Bank of Minneapolis.
    135. Varang Wiriyawit, 2014. "Trend Mis-specifications and Estimated Policy Implications in DSGE Models," ANU Working Papers in Economics and Econometrics 2014-615, Australian National University, College of Business and Economics, School of Economics.
    136. Mertens, Elmar, 2012. "Are spectral estimators useful for long-run restrictions in SVARs?," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1831-1844.
    137. Ørjan Robstad, 2018. "House prices, credit and the effect of monetary policy in Norway: evidence from structural VAR models," Empirical Economics, Springer, vol. 54(2), pages 461-483, March.
    138. Zeno Enders & Gernot J. Mueller, 2006. "S-Curve Redux: On the International Transmission of Technology Shocks," Economics Working Papers ECO2006/36, European University Institute.
    139. Filippeli, Thomai & Harrison, Richard & Theodoridis, Konstantinos, 2018. "DSGE-based Priors for BVARs & Quasi-Bayesian DSGE Estimation," Cardiff Economics Working Papers E2018/5, Cardiff University, Cardiff Business School, Economics Section.
    140. Muhammad Arshad Khan & Saima Nawaz, 2018. "Does Pak-Rupee Exchange Rate Respond to Monetary Fundamentals? A Structural Analysis," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 57(2), pages 175-202.
    141. Riccardo DiCecio & Michael T. Owyang, 2010. "Identifying technology shocks in the frequency domain," Working Papers 2010-025, Federal Reserve Bank of St. Louis.
    142. Lindé, Jesper, 2009. "The effects of permanent technology shocks on hours: Can the RBC-model fit the VAR evidence?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 597-613, March.
    143. Efrem Castelnuovo, 2016. "Monetary policy shocks and Cholesky VARs: an assessment for the Euro area," Empirical Economics, Springer, vol. 50(2), pages 383-414, March.
    144. Martin Larch & João Nogueira Martins, 2007. "Fiscal indicators - Proceedings of the the Directorate-General for Economic and Financial Affairs Workshop held on 22 September 2006 in Brussels," European Economy - Economic Papers 2008 - 2015 297, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    145. Yuthika Indraratna, 2013. "Strengthening Financial Stability Indicators in the Midst of Rapid Financial Innovation: Updates and Assessments," Research Studies, South East Asian Central Banks (SEACEN) Research and Training Centre, number rp89, April.
    146. Domenico Giannone & Lucrezia Reichlin, 2005. "Does information help recovering fundamental structural shocks from past observations?," Macroeconomics 0511017, University Library of Munich, Germany.
    147. Wen-Chi Liao & Daxuan Zhao & Li Ping Lim & Grace Khei Mie Wong, 2015. "Foreign liquidity to real estate market: Ripple effect and housing price dynamics," Urban Studies, Urban Studies Journal Limited, vol. 52(1), pages 138-158, January.
    148. Yi Wen & Pengfei Wang, 2008. "A Defense of RBC:Understanding the Puzzling Effects of Technology Shocks," 2008 Meeting Papers 7, Society for Economic Dynamics.
    149. Keating, John W., 2013. "What do we learn from Blanchard and Quah decompositions of output if aggregate demand may not be long-run neutral?," Journal of Macroeconomics, Elsevier, vol. 38(PB), pages 203-217.
    150. Beaudry, Paul & Portier, Franck & Seymen, Atılım, 2013. "Comparing two methods for the identification of news shocks," ZEW Discussion Papers 13-110, ZEW - Leibniz Centre for European Economic Research.
    151. Guay, Alain & Pelgrin, Florian, 2023. "Structural VAR models in the Frequency Domain," Journal of Econometrics, Elsevier, vol. 236(1).

  21. Christopher J. Gust & Sylvain Leduc & Robert J. Vigfusson, 2006. "Trade integration, competition, and the decline in exchange-rate pass-through," International Finance Discussion Papers 864, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Raphael A. Auer & Thomas Chaney, 2008. "Cost Pass Through in a Competitive Model of Pricing-to-Market," Working Papers 2008-06, Swiss National Bank.
    2. Pierpaolo Benigno & Ester Faia, 2010. "Globalization, Pass-Through and Inflation Dynamic," IMES Discussion Paper Series 10-E-17, Institute for Monetary and Economic Studies, Bank of Japan.
    3. Antonia Lopez-Villavicencio & Valérie Mignon, 2016. "Exchange Rate Pass-through in Emerging Countries: Do the Inflation Environment, Monetary Policy Regime and Institutional Quality Matter?," Working Papers 2016-07, CEPII research center.
    4. Nils Herger, 2015. "Market Entries and Exits and the Nonlinear Behaviour of the Exchange Rate Pass-Through into Import Prices," Open Economies Review, Springer, vol. 26(2), pages 313-332, April.
    5. Forbes, Kristin & Hjortsoe, Ida & Nenova, Tsvetelina, 2018. "The shocks matter: Improving our estimates of exchange rate pass-through," Journal of International Economics, Elsevier, vol. 114(C), pages 255-275.
    6. Ehsan U. Choudhri & Dalia S. Hakura, 2014. "The Exchange Rate Pass-Through to Import and Export Prices: The Role of Nominal Rigidities and Currency Choice," Carleton Economic Papers 14-09, Carleton University, Department of Economics.
    7. Ha,Jongrim & Stocker,Marc & Yilmazkuday,Hakan, 2019. "Inflation and Exchange Rate Pass-Through," Policy Research Working Paper Series 8780, The World Bank.
    8. Kit Pong Wong, 2015. "Export And Hedging Decisions Under Correlated Revenue And Exchange Rate Risk," Bulletin of Economic Research, Wiley Blackwell, vol. 67(4), pages 371-381, October.
    9. Mr. Daniel Leigh & Weicheng Lian & Mr. Marcos Poplawski Ribeiro & Rachel Szymanski & Viktor Tsyrennikov & Hong Yang, 2017. "Exchange Rates and Trade: A Disconnect?," IMF Working Papers 2017/058, International Monetary Fund.
    10. Olivier de Bandt & Tovonony Razafindrabe, 2014. "Does nominal rigidity mislead our perception of the exchange rate pass-through?," EconomiX Working Papers 2014-36, University of Paris Nanterre, EconomiX.
    11. Almira Enders & Zeno Enders & Mathias Hoffmann, 2017. "International Financial Market Integration, Asset Compositions, and the Falling Exchange Rate Pass-Through," CESifo Working Paper Series 6483, CESifo.
    12. Argia M. Sbordone, 2007. "Globalization and Inflation Dynamics: The Impact of Increased Competition," NBER Chapters, in: International Dimensions of Monetary Policy, pages 547-579, National Bureau of Economic Research, Inc.
    13. Ariel Burstein & Gita Gopinath, 2013. "International Prices and Exchange Rates," NBER Working Papers 18829, National Bureau of Economic Research, Inc.
    14. Raphael Auer & Thomas Chaney, 2009. "Exchange rate pass-through in a competitive model of pricing-to-market," Globalization Institute Working Papers 23, Federal Reserve Bank of Dallas.
    15. Auer, Raphael, 2015. "Exchange Rate Pass-Through, Domestic Competition, and Inflation: Evidence from the 2005/08 Revaluation of the Renminbi," CEPR Discussion Papers 10344, C.E.P.R. Discussion Papers.
    16. Valérie Mignon & Antonia Lopez Villavicencio, 2019. "Exchange rate pass-through to import prices: Accounting for changes in the Eurozone trade structure," EconomiX Working Papers 2019-16, University of Paris Nanterre, EconomiX.
    17. Gorodnichenko, Yuriy & Talavera, Oleksandr & Vu, Nam, 2021. "Quality and price setting of high-tech goods," Economic Modelling, Elsevier, vol. 98(C), pages 69-85.
    18. Raphael A. Auer & Thomas Chaney & Philip U. Sauré, 2012. "Quality Pricing-to-Market," Working Papers 2012-11, Swiss National Bank.
    19. Christopher J. Gust & Nathan Sheets, 2006. "The Adjustment of Global External Imbalances: Does Partial Exchange Rate Pass-Through to Trade Prices Matter?," International Finance Discussion Papers 850, Board of Governors of the Federal Reserve System (U.S.).
    20. Punnoose Jacob & Lenno Uuskula, 2016. "Deep habits and exchange rate pass-through," Bank of Estonia Working Papers wp2016-4, Bank of Estonia, revised 19 Jul 2016.
    21. Auer, Raphael & Schoenle, Raphael, 2015. "Market Structure and Exchange Rate Pass-Through," CEPR Discussion Papers 10585, C.E.P.R. Discussion Papers.
    22. Garetto, Stefania, 2016. "Firms' heterogeneity, incomplete information, and pass-through," Journal of International Economics, Elsevier, vol. 101(C), pages 168-179.
    23. Ceglowski, Janet, 2010. "Exchange rate pass-through to bilateral import prices," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1637-1651, December.
    24. Ayako Saiki, 2015. "The Endogeneity of Exchange Rate Pass-Through: Some European Evidence," Open Economies Review, Springer, vol. 26(5), pages 893-909, November.
    25. Mike Nyamazana Sikwila, 2013. "Dollarization and the Zimbabwe’s Economy," Journal of Economics and Behavioral Studies, AMH International, vol. 5(6), pages 398-405.
    26. Etienne Gagnon & Benjamin R. Mandel & Robert J. Vigfusson, 2012. "Missing Import Price Changes and Low Exchange Rate Pass-Through," International Finance Discussion Papers 1040, Board of Governors of the Federal Reserve System (U.S.).
    27. Guilloux-Nefussi, Sophie, 2020. "Globalization, market structure and inflation dynamics," Journal of International Economics, Elsevier, vol. 123(C).
    28. Christopher Erceg & Christopher Gust & David López-Salido, 2007. "The Transmission of Domestic Shocks in Open Economies," NBER Chapters, in: International Dimensions of Monetary Policy, pages 89-148, National Bureau of Economic Research, Inc.
    29. Ramón María-Dolores, 2008. "Exchange rate pass-through in new Member States and candidate countries of the EU," Working Papers 0822, Banco de España.
    30. Landry, Anthony, 2010. "State-dependent pricing, local-currency pricing, and exchange rate pass-through," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 1859-1871, October.
    31. Alex Nikolsko-Rzhevskyy & Oleksandr Talavera & Nam Vu, 2020. "The Flood that Caused a Drought," Discussion Papers 20-14, Department of Economics, University of Birmingham.
    32. Cwik, Tobias & Müller, Gernot J. & Wolters, Maik H., 2011. "Does trade integration alter monetary policy transmission?," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 545-564, April.
    33. Sylvain Leduc & Mark M. Spiegel, 2013. "Is Asia Decoupling from the United States (Again)?," Working Paper Series 2013-10, Federal Reserve Bank of San Francisco.
    34. World Bank, 2014. "Global Economic Prospects, June 2014," World Bank Publications - Books, The World Bank Group, number 18647.
    35. Christopher J. Erceg & Christopher J. Gust & J. David López-Salido, 2007. "The transmission of domestic shocks in the open economy," International Finance Discussion Papers 906, Board of Governors of the Federal Reserve System (U.S.).
    36. Gopinath, Gita & Itskhoki, Oleg, 2010. "Frequency of Price Adjustment and Pass-through," Scholarly Articles 30703806, Harvard University Department of Economics.
    37. Dudley Cooke, 2019. "Consumer Search, Incomplete Exchange Rate Pass‐Through, and Optimal Interest Rate Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(2-3), pages 455-484, March.
    38. Rehim Kýlýc, 2010. "Exchange-rate pass-through to import prices: nonlinearities and exchange rate and inflationary regimes," Koç University-TUSIAD Economic Research Forum Working Papers 1033, Koc University-TUSIAD Economic Research Forum.
    39. Stefania Garetto, 2016. "Firms’ Heterogeneity, Incomplete Information, and Pass-Through," Boston University - Department of Economics - Working Papers Series wp2016-004, Boston University - Department of Economics.
    40. Nidhaleddine Ben Cheikh & Christophe Rault, 2015. "Recent Estimates of Exchange Rate Pass-Through to Import Prices in the Euro Area," CESifo Working Paper Series 5341, CESifo.
    41. Hyungsuk Lee & Junsang Lee, 2024. "Accounting for the Effects of Fiscal Policy Shocks on Exchange Rates through Markup Dynamics," Review, Federal Reserve Bank of St. Louis, vol. 106(2), pages 129-145, April.
    42. Jane E. Ihrig & Mario Marazzi & Alexander D. Rothenberg, 2006. "Exchange-rate pass-through in the G-7 countries," International Finance Discussion Papers 851, Board of Governors of the Federal Reserve System (U.S.).
    43. Raphael Brun-Aguerre & Ana-Maria Fuertes & Matthew Greenwood-Nimmo, 2017. "Heads I win; tails you lose: asymmetry in exchange rate pass-through into import prices," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 180(2), pages 587-612, February.
    44. Michael Malenbaum, 2018. "Exchange Rate Pass-Through and the Role of Market Shares," Journal of Industry, Competition and Trade, Springer, vol. 18(2), pages 151-185, June.
    45. Anthony Landry, 2006. "Expectations and exchange rate dynamics: a state-dependent pricing approach," Working Papers 0604, Federal Reserve Bank of Dallas.
    46. Berner, Eike, 2011. "Exchange rate pass-through: New evidence from German micro data," Economics Working Papers 2011-01, Christian-Albrechts-University of Kiel, Department of Economics.
    47. Antonia Lopez-Villavicencio & Valérie Mignon, 2017. "On the seemingly incompleteness of exchange rate pass-through to import prices: Do globalization and/or regional trade matter?," EconomiX Working Papers 2017-32, University of Paris Nanterre, EconomiX.
    48. Martin Feldkircher & Helene Schuberth, 2023. "Understanding Monetary Spillovers in Highly Integrated Regions: The Case of Europe," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(4), pages 859-893, August.
    49. John C. Williams, 2015. "The view from here: outlook and monetary policy," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
    50. Joseph E. Gagnon & Nathan Sheets & Robert J. Vigfusson, 2007. "Exchange rate pass-through to export prices: assessing some cross-country evidence," International Finance Discussion Papers 902, Board of Governors of the Federal Reserve System (U.S.).
    51. Davis, J. Scott & Huang, Kevin X.D., 2011. "International real business cycles with endogenous markup variability," Journal of International Economics, Elsevier, vol. 85(2), pages 302-316.
    52. Etienne Gagnon & Benjamin R. Mandel & Robert J. Vigfusson, 2012. "The hitchhiker’s guide to missing import price changes and pass-through," Staff Reports 537, Federal Reserve Bank of New York.
    53. Samba MBAYE, 2012. "Beggar-thy-Neighbor Effects of Currency Undervaluation: Is China the Tip of the Iceberg?," Working Papers 201239, CERDI.
    54. Hülya Saygılı & Aysun Türkvatan, 2023. "Tradable and non-tradable inflation in Turkey: asymmetric responses to global factors," Empirical Economics, Springer, vol. 65(2), pages 973-1006, August.
    55. Georgiadis, Georgios & Schumann, Ben, 2019. "Dominant-currency pricing and the global output spillovers from US dollar appreciation," Working Paper Series 2308, European Central Bank.
    56. Süleyman Hilmi Kal & Muhsin Çiftçi, 2022. "Market structure and exchange rate pass‐through in the Turkish manufacturing industry: Evidence from sectoral data," Bulletin of Economic Research, Wiley Blackwell, vol. 74(4), pages 995-1016, October.
    57. Ca' Zorzi, Michele & Dedola, Luca & Georgiadis, Georgios & Jarociński, Marek & Stracca, Livio & Strasser, Georg, 2020. "Monetary policy and its transmission in a globalised world," Working Paper Series 2407, European Central Bank.
    58. Abdul Rashid & Muhammad Akram, 2017. "Trade Competitiveness and Employment: Job Creation or Job Destruction," International Economic Journal, Taylor & Francis Journals, vol. 31(2), pages 245-296, April.
    59. Sylvain Barde, 2008. "A Generalized Variable Elasticity of Substitution Model of New Economic Geography," Working Papers hal-01066187, HAL.
    60. Mallick, Sushanta & Marques, Helena, 2016. "Pricing strategy of emerging market exporters in alternate currency regimes: The role of comparative advantage," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 68-81.
    61. Marazzi, Mario & Sheets, Nathan, 2007. "Declining exchange rate pass-through to U.S. import prices: The potential role of global factors," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 924-947, October.
    62. Shirota, Toyoichiro, 2017. "Not All Exchange Rate Movements Are Alike : Exchange Rate Persistence and Pass-Through to Consumer Prices," Discussion paper series. A 311, Graduate School of Economics and Business Administration, Hokkaido University.
    63. Rajmund Mirdala, 2016. "Exchange Rate Pass-Through to Domestic Prices in the European Transition Economies," Working Papers 361, Leibniz Institut für Ost- und Südosteuropaforschung (Institute for East and Southeast European Studies).
    64. Daniels, Joseph P & VanHoose, David D, 2010. "Exchange-Rate Pass Through, Openness, and the Sacrifice Ratio," Working Papers and Research 2010-05, Marquette University, Center for Global and Economic Studies and Department of Economics.
    65. Koopmans, Carl & Lieshout, Rogier, 2016. "Airline cost changes: To what extent are they passed through to the passenger?," Journal of Air Transport Management, Elsevier, vol. 53(C), pages 1-11.
    66. Tommaso Monacelli, 2007. "Comment on "Globalization and Inflation Dynamics: The Impact of Increased Competition"," NBER Chapters, in: International Dimensions of Monetary Policy, pages 579-590, National Bureau of Economic Research, Inc.
    67. John C. Williams, 2015. "Looking forward: the path for monetary policy," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
    68. Forbes, Kristin & Hjortsø, Ida & Nenova, Tsvetelina, 2020. "International Evidence on Shock-Dependent Exchange Rate Pass-Through," CEPR Discussion Papers 15242, C.E.P.R. Discussion Papers.
    69. Razafindrabe, Tovonony M., 2016. "A multi-country DSGE model with incomplete exchange rate pass-through: An application for the Euro-area," Economic Modelling, Elsevier, vol. 52(PA), pages 78-100.
    70. Luca Guerrieri & Christopher Gust & J. David López-Salido, 2010. "International Competition and Inflation: A New Keynesian Perspective," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(4), pages 247-280, October.
    71. Stefania Garetto, 2014. "Firms’ Heterogeneity and Incomplete Pass-Through," Boston University - Department of Economics - Working Papers Series WP2014-006, Boston University - Department of Economics.
    72. Lin, Po-Chun & Wu, Chung-Shu, 2012. "Exchange rate pass-through in deflation: The case of Taiwan," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 101-111.
    73. Valérie Mignon & Antonia Lopez Villavicencio, 2017. "Exchange rate pass-through in emerging countries: Do the inflation environment, monetary policy regime and central bank behavior matter?," Post-Print hal-01589202, HAL.
    74. Etro, Federico & Rossi, Lorenza, 2015. "Optimal monetary policy under Calvo pricing with Bertrand competition," Journal of Macroeconomics, Elsevier, vol. 45(C), pages 423-440.
    75. Fandamu, Humphrey & Ndulo, Manenga & Fandamu, Mercy, 2021. "Globalization and Exchange Rate Pass Through: Evidence from Zambia," African Journal of Economic Review, African Journal of Economic Review, vol. 9(4), September.
    76. Abdelmalack, Camila Ciss & Campos, Camila F.S., 2020. "CPI Exchange Rate Pass-Through Decomposition and Distribution Margins: The Case of Brazil versus Advanced Economies," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 74(1), March.
    77. Janine Aron & John Muellbauer, 2007. "Inflation dynamics and trade openness: with an application to South Africa," CSAE Working Paper Series 2007-11, Centre for the Study of African Economies, University of Oxford.
    78. Yuriy Gorodnichenko & Oleksandr Talavera & Nam Vu, 2020. "Quality of Goods and Price Setting for CPUs," Discussion Papers 20-23, Department of Economics, University of Birmingham.
    79. Robert J. Vigfusson & Nathan Sheets & Joseph Gagnon, 2009. "Exchange Rate Passthrough to Export Prices: Assessing Cross‐Country Evidence," Review of International Economics, Wiley Blackwell, vol. 17(1), pages 17-33, February.
    80. David M. Arseneau & Sanjay K. Chugh, 2007. "Bargaining, fairness, and price rigidity in a DSGE environment," International Finance Discussion Papers 900, Board of Governors of the Federal Reserve System (U.S.).
    81. Nabila Khurshid & Chinyere Emmanuel Egbe & Asma Fiaz & Amna Sheraz, 2023. "Globalization and Economic Stability: An Insight from the Rocket and Feather Hypothesis in Pakistan," Sustainability, MDPI, vol. 15(2), pages 1-19, January.
    82. Nguyen Van Phuc & Vo Hong Duc, 2021. "Macroeconomics Determinants of Exchange Rate Pass-Through: New Evidence from the Asia-Pacific Region," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(1), pages 5-20, January.
    83. Hakan Orbay & Benan Zeki Orbay, 2013. "Export Subsidies and Exchange Rate Pass-through," Review of International Economics, Wiley Blackwell, vol. 21(4), pages 627-635, September.
    84. Joscha Beckmann & Mariarosaria Comunale, 2020. "Exchange rate fluctuations and the financial channel in emerging economies," Bank of Lithuania Working Paper Series 83, Bank of Lithuania.
    85. Philippe Jeanfils, 2008. "Imperfect exchange rate pass-through : the role of distribution services and variable demand elasticity," Working Paper Research 135, National Bank of Belgium.
    86. Georgiadis, Georgios & Gräb, Johannes & Khalil, Makram, 2019. "Global value chain participation and exchange rate pass-through," Working Paper Series 2327, European Central Bank.
    87. Ghosh, Amit, 2013. "Exchange rate pass through, macro fundamentals and regime choice in Latin America," Journal of Macroeconomics, Elsevier, vol. 35(C), pages 163-171.
    88. Erick M. Kitenge & A. K. M. Mahbub Morshed, 2020. "On Cross-Country Differences in the Contribution of Nontraded Goods to Real Exchange Rate Fluctuations," Open Economies Review, Springer, vol. 31(5), pages 1117-1145, November.
    89. Muhammad Naveed Tahir, 2012. "Relative Importance of Monetary Transmission Channels in Inflation Targeting Emerging Economies," EcoMod2012 4092, EcoMod.
    90. Raphael Schoenle & Raphael Auer, 2014. "The Mode of Competition between Foreign and Domestic Goods, Pass-Through, and External Adjustment," 2014 Meeting Papers 1059, Society for Economic Dynamics.
    91. Jonathan Kearns & Nikhil Patel, 2016. "Does the financial channel of exchange rates offset the trade channel?," BIS Quarterly Review, Bank for International Settlements, December.
    92. Frederic S. Mishkin, 2008. "Exchange Rate Pass-Through And Monetary Policy," NBER Working Papers 13889, National Bureau of Economic Research, Inc.
    93. Hu, Chenghao, 2024. "Finance dependence and exchange rate pass-through: Empirical evidence from China," Emerging Markets Review, Elsevier, vol. 58(C).
    94. de Walque, Gregory & Lejeune, Thomas & Rannenberg, Ansgar & Wouters, Raf, 2023. "Low pass-through and international synchronization in general equilibrium: Reassessing vertical integration," Journal of International Economics, Elsevier, vol. 140(C).
    95. Emi Nakamura & Jón Steinsson, 2009. "Lost in Transit: Product Replacement Bias and Pricing to Market," NBER Working Papers 15359, National Bureau of Economic Research, Inc.
    96. Beatriz de Blas & Katheryn N. Russ, 2015. "Understanding Markups in the Open Economy," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(2), pages 157-180, April.
    97. Mirdala, Rajmund, 2013. "Exchange Rate Pass-Through to Domestic Prices under Different Exchange Rate Regimes," MPRA Paper 53209, University Library of Munich, Germany.
    98. Andreas Benedictow & Pål Boug, 2013. "Trade liberalisation and exchange rate pass-through: the case of textiles and wearing apparels," Empirical Economics, Springer, vol. 45(2), pages 757-788, October.
    99. Rita Fleer & Dr. Barbara Rudolf & Mathias Zurlinden, 2016. "Price change dispersion and time-varying pass-through to consumer prices," Working Papers 2016-17, Swiss National Bank.
    100. Syed Al-Helal Uddin, 2016. "Value-added Trade, Exchange Rate Pass-Through and Trade Elasticity: Revisiting the Trade Competitiveness," 2016 Papers pud11, Job Market Papers.
    101. Ozkan, Ibrahim & Erden, Lutfi, 2015. "Time-varying nature and macroeconomic determinants of exchange rate pass-through," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 56-66.
    102. Herger Nils, 2013. "Market Entries and Exits and the Nonlinear Behaviour of the Exchange Rate Pass-Through into Import Prices," Working Papers 13.08, Swiss National Bank, Study Center Gerzensee.
    103. Raphael Schoenle & Raphael Auer, 2012. "Market Structure and Pass-Through," 2012 Meeting Papers 61, Society for Economic Dynamics.
    104. Mirdala, Rajmund, 2015. "Exchange Rate Pass-Through in the Euro Area," MPRA Paper 68862, University Library of Munich, Germany.
    105. Forbes, Kristin & Hjortsoe, Ida & Nenova, Tsvetelina, 2017. "Shocks versus structure: explaining differences in exchange rate pass-through across countries and time," Discussion Papers 50, Monetary Policy Committee Unit, Bank of England.
    106. Enrique Martínez García, 2007. "A monetary model of the exchange rate with informational frictions," Globalization Institute Working Papers 02, Federal Reserve Bank of Dallas.
    107. Hagemejer, Jan & Hałka, Aleksandra & Kotłowski, Jacek, 2022. "Global value chains and exchange rate pass-through—The role of non-linearities," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 461-478.
    108. John C. Williams, 2015. "The view from here: the economic outlook and its implications for monetary policy," Speech 135, Federal Reserve Bank of San Francisco.
    109. Kólver Hernández & Asli Leblebicioglu, 2008. "A Regime Switching Analysis of Exchange Rate Pass-through," Working Papers 08-17, University of Delaware, Department of Economics.
    110. Kosaka, Michiru Sakane, 2014. "Financial constraints, firm entry, and exchange rate pass-through," Economics Letters, Elsevier, vol. 125(1), pages 143-147.
    111. John C. Williams, 2015. "Looking forward, forward looking: the path for monetary policy," Speech 138, Federal Reserve Bank of San Francisco.

  22. Lawrence J. Christiano & Martin S. Eichenbaum & Robert J. Vigfusson, 2005. "Alternative procedures for estimating vector autoregressions identified with long-run restrictions," International Finance Discussion Papers 842, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013. "Risk, uncertainty and monetary policy," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 771-788.
    2. Dieppe, Alistair & Francis, Neville & Kindberg-Hanlon, Gene, 2021. "The identification of dominant macroeconomic drivers: coping with confounding shocks," Working Paper Series 2534, European Central Bank.
    3. Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2017. "Estimation of Structural Impulse Responses: Short-Run versus Long-Run Identifying Restrictions," Discussion Papers of DIW Berlin 1642, DIW Berlin, German Institute for Economic Research.
    4. Ufuk Devrim Demirel, 2015. "Identification of technology shocks using misspecified VARs," Canadian Journal of Economics, Canadian Economics Association, vol. 48(4), pages 1321-1349, November.
    5. Mikkel Plagborg‐Møller & Christian K. Wolf, 2021. "Local Projections and VARs Estimate the Same Impulse Responses," Econometrica, Econometric Society, vol. 89(2), pages 955-980, March.
    6. Erik Hjalmarsson, 2006. "Fully modified estimation with nearly integrated regressors," International Finance Discussion Papers 854, Board of Governors of the Federal Reserve System (U.S.).
    7. John W. Keating, 2013. "Interpreting Permanent Shocks to Output When Aggregate Demand May Not Be Neutral in the Long Run," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(4), pages 747-756, June.
    8. Amélie Charles & Olivier Darné & Fabien Tripier, 2010. "Are Unit Root Tests Useful in the Debate over the (Non)Stationarity of Hours Worked?," Working Papers hal-00527122, HAL.
    9. Dupor, Bill & Han, Jing & Tsai, Yi-Chan, 2009. "What do technology shocks tell us about the New Keynesian paradigm?," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 560-569, May.
    10. Franz Ruch & Stan du Plessis, 2015. "SecondRound Effects from Food and Energy Prices an SBVAR approach," Working Papers 7008, South African Reserve Bank.
    11. Holly, S. & Petrella, I., 2008. "Factor demand linkages and the business cycle: Interpreting aggregate fluctuations as sectoral fluctuations," Cambridge Working Papers in Economics 0827, Faculty of Economics, University of Cambridge.
    12. Lorenza Rossi, 2018. "The Overshooting of Firms Destruction, Banks and Productivity Shocks," DEM Working Papers Series 147, University of Pavia, Department of Economics and Management.
    13. Rui Mao & Mengying Xing & Xiaohua Yu, 2021. "Quality response to real exchange rate shocks: A panel SVAR analysis on China's agricultural exports," Agricultural Economics, International Association of Agricultural Economists, vol. 52(5), pages 719-731, September.
    14. Gouriéroux, Christian & Monfort, Alain & Renne, Jean-Paul, 2017. "Statistical inference for independent component analysis: Application to structural VAR models," Journal of Econometrics, Elsevier, vol. 196(1), pages 111-126.
    15. Lovcha, Yuliya & Pérez Laborda, Àlex, 2016. "The Variance-Frequency Decomposition as an Instrument for VAR Identification: an Application to Technology Shocks," Working Papers 2072/261537, Universitat Rovira i Virgili, Department of Economics.
    16. John W. Keating, 2013. "Interpreting Permanent Shocks to Output When Aggregate Demand May Not Be Neutral in the Long Run," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(4), pages 747-756, June.
    17. Mertens, Elmar, 2012. "Are spectral estimators useful for long-run restrictions in SVARs?," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1831-1844.
    18. Lorenza Rossi, 2016. "Productivity Shocks and Uncertainty Shocks in a Model with Endogenous Firms Exit and Inefficient Banks," DEM Working Papers Series 128, University of Pavia, Department of Economics and Management.
    19. Andrew Binning, 2013. "Underidentified SVAR models: A framework for combining short and long-run restrictions with sign-restrictions," Working Paper 2013/14, Norges Bank.
    20. Christian Gourieroux & Joann Jasiak, 2022. "Long Run Risk in Stationary Structural Vector Autoregressive Models," Papers 2202.09473, arXiv.org.
    21. Guay, Alain & Pelgrin, Florian, 2023. "Structural VAR models in the Frequency Domain," Journal of Econometrics, Elsevier, vol. 236(1).

  23. Jon Faust & Joseph E. Gagnon & Mario Marazzi & Jaime R. Marquez & Robert F. Martin & Trevor A. Reeve & John H. Rogers & Nathan Sheets & Robert J. Vigfusson, 2005. "Exchange rate pass-through to U.S. import prices: some new evidence," International Finance Discussion Papers 833, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Christopher J. Erceg & Luca Guerrieri & Christopher J. Gust, 2006. "Trade adjustment and the composition of trade," International Finance Discussion Papers 859, Board of Governors of the Federal Reserve System (U.S.).
    2. Stahn, Kerstin, 2009. "Changes in import pricing behaviour: the case of Germany," Discussion Paper Series 1: Economic Studies 2009,14, Deutsche Bundesbank.
    3. Dong, Changgui & Wiser, Ryan & Rai, Varun, 2018. "Incentive pass-through for residential solar systems in California," Energy Economics, Elsevier, vol. 72(C), pages 154-165.
    4. Stephane Dees & Matthias Burgert & Nicolas Parent, 2008. "Import Price Dynamics in Major Advanced Economies and Heterogeneity in Exchange Rate Pass-Through," Staff Working Papers 08-39, Bank of Canada.
    5. Muellbauer, John & Sinclair, Peter & Aron, Janine & Farrell, Greg, 2010. "Exchange Rate Pass-through and Monetary Policy in South Africa," CEPR Discussion Papers 8153, C.E.P.R. Discussion Papers.
    6. Stewart Ngandu, 2008. "Exchange Rates And Employment," South African Journal of Economics, Economic Society of South Africa, vol. 76(s2), pages 205-221, August.
    7. Almira Enders & Zeno Enders & Mathias Hoffmann, 2017. "International Financial Market Integration, Asset Compositions, and the Falling Exchange Rate Pass-Through," CESifo Working Paper Series 6483, CESifo.
    8. de Bandt, Olivier & Banerjee, Anindya & Kozluk, Tomasz, 2007. "Measuring Long-Run Exchange Rate Pass-Through," Economics Discussion Papers 2007-32, Kiel Institute for the World Economy (IfW Kiel).
    9. David C. Parsley, 2010. "Exchange Rate Passthrough in South Africa Panel Evidence from Individual Goods and Services," Working Papers 3580, South African Reserve Bank.
    10. Auer, Raphael, 2015. "Exchange Rate Pass-Through, Domestic Competition, and Inflation: Evidence from the 2005/08 Revaluation of the Renminbi," CEPR Discussion Papers 10344, C.E.P.R. Discussion Papers.
    11. Bouvet, Florence & Ma, Alyson C. & Van Assche, Ari, 2017. "Tariff and exchange rate pass-through for Chinese exports: A firm-level analysis across customs regimes," China Economic Review, Elsevier, vol. 46(C), pages 87-96.
    12. Philipp Engler & Michael Fidora & Christian Thimann, 2009. "External Imbalances and the US Current Account: How Supply‐Side Changes Affect an Exchange Rate Adjustment," Review of International Economics, Wiley Blackwell, vol. 17(5), pages 927-941, November.
    13. Musti, Babagana Mala & Siddiki, Jalal Uddin, 2018. "Nonlinear and Asymmetric Exchange Rate Pass-Through to Consumer Prices In Nigeria: Evidence from a Smooth Transition Autoregressive Model," Economics Discussion Papers 2018-3, School of Economics, Kingston University London.
    14. Christopher J. Gust & Nathan Sheets, 2006. "The Adjustment of Global External Imbalances: Does Partial Exchange Rate Pass-Through to Trade Prices Matter?," International Finance Discussion Papers 850, Board of Governors of the Federal Reserve System (U.S.).
    15. Matthieu Bussiere & Alexander Chudik & Giulia Sestieri, 2012. "Modelling global trade flows: results from a GVAR model," Globalization Institute Working Papers 119, Federal Reserve Bank of Dallas.
    16. Ceglowski, Janet, 2010. "Exchange rate pass-through to bilateral import prices," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1637-1651, December.
    17. Etienne Gagnon & Benjamin R. Mandel & Robert J. Vigfusson, 2012. "Missing Import Price Changes and Low Exchange Rate Pass-Through," International Finance Discussion Papers 1040, Board of Governors of the Federal Reserve System (U.S.).
    18. Riccardo Realfonzo & Angelantonio Viscione, 2015. "The Real Effects of a Euro Exit: Lessons from the Past," International Journal of Political Economy, Taylor & Francis Journals, vol. 44(3), pages 161-173, July.
    19. Christopher Erceg & Christopher Gust & David López-Salido, 2007. "The Transmission of Domestic Shocks in Open Economies," NBER Chapters, in: International Dimensions of Monetary Policy, pages 89-148, National Bureau of Economic Research, Inc.
    20. Ramón María-Dolores, 2008. "Exchange rate pass-through in new Member States and candidate countries of the EU," Working Papers 0822, Banco de España.
    21. Lawrence Edwards & Robert Z. Lawrence, 2014. "AGOA Rules: The Intended and Unintended Consequences of Special Fabric Provisions," NBER Chapters, in: African Successes, Volume III: Modernization and Development, pages 343-393, National Bureau of Economic Research, Inc.
    22. Yanamandra, Venkataramana, 2015. "Exchange rate changes and inflation in India: What is the extent of exchange rate pass-through to imports?," Economic Analysis and Policy, Elsevier, vol. 47(C), pages 57-68.
    23. Cwik, Tobias & Müller, Gernot J. & Wolters, Maik H., 2011. "Does trade integration alter monetary policy transmission?," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 545-564, April.
    24. Christopher J. Erceg & Christopher J. Gust & J. David López-Salido, 2007. "The transmission of domestic shocks in the open economy," International Finance Discussion Papers 906, Board of Governors of the Federal Reserve System (U.S.).
    25. Ben Cheikh, Nidhaleddine, 2012. "Non-linearities in exchange rate pass-through: Evidence from smooth transition models," MPRA Paper 39258, University Library of Munich, Germany.
    26. Paul R. Bergin & Robert C. Feenstra, 2009. "Pass-Through of Exchange Rates and Competition between Floaters and Fixers," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(s1), pages 35-70, February.
    27. Andrés González & Hernán Rincón & Norberto Rodríguez, 2008. "La transmisión de los choques a la tasa de cambio sobre la inflación de los bienes importados en presencia de asimetrías," Borradores de Economia 532, Banco de la Republica de Colombia.
    28. Jose Manuel Campa & Linda S. Goldberg & Jose M. Gonzalez-Minguez, 2005. "Exchange rate pass-through to import prices in the Euro area," Staff Reports 219, Federal Reserve Bank of New York.
    29. Nidhaleddine Ben Cheikh & Christophe Rault, 2015. "Recent Estimates of Exchange Rate Pass-Through to Import Prices in the Euro Area," CESifo Working Paper Series 5341, CESifo.
    30. Erik Hjalmarsson, 2006. "Fully modified estimation with nearly integrated regressors," International Finance Discussion Papers 854, Board of Governors of the Federal Reserve System (U.S.).
    31. Linda S. Goldberg & Cédric Tille, 2006. "The internationalization of the dollar and trade balance adjustment," Staff Reports 255, Federal Reserve Bank of New York.
    32. Gehlhar, Mark J. & Dohlman, Erik & Brooks, Nora L. & Jerardo, Alberto & Vollrath, Thomas L., 2007. "Global Growth, Macroeconomic Change, and U.S. Agricultural Trade," Economic Research Report 55963, United States Department of Agriculture, Economic Research Service.
    33. Jaime R. Marquez & Charles P. Thomas, 2006. "Measurement matters for modeling U.S. import prices," International Finance Discussion Papers 883, Board of Governors of the Federal Reserve System (U.S.).
    34. Jane E. Ihrig & Mario Marazzi & Alexander D. Rothenberg, 2006. "Exchange-rate pass-through in the G-7 countries," International Finance Discussion Papers 851, Board of Governors of the Federal Reserve System (U.S.).
    35. Linda S. Goldberg & Cédric Tille, 2006. "The International Role of the Dollar and Trade Balance Adjustment," NBER Working Papers 12495, National Bureau of Economic Research, Inc.
    36. Raphael Brun-Aguerre & Ana-Maria Fuertes & Matthew Greenwood-Nimmo, 2017. "Heads I win; tails you lose: asymmetry in exchange rate pass-through into import prices," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 180(2), pages 587-612, February.
    37. Berner, Eike, 2011. "Exchange rate pass-through: New evidence from German micro data," Economics Working Papers 2011-01, Christian-Albrechts-University of Kiel, Department of Economics.
    38. Antonia Lopez-Villavicencio & Valérie Mignon, 2017. "On the seemingly incompleteness of exchange rate pass-through to import prices: Do globalization and/or regional trade matter?," EconomiX Working Papers 2017-32, University of Paris Nanterre, EconomiX.
    39. Jose Manuel Campa & Linda S. Goldberg, 2008. "Pass-Through of Exchange Rates to Consumption Prices: What Has Changed and Why?," NBER Chapters, in: International Financial Issues in the Pacific Rim: Global Imbalances, Financial Liberalization, and Exchange Rate Policy, pages 139-176, National Bureau of Economic Research, Inc.
    40. Joseph E. Gagnon & Nathan Sheets & Robert J. Vigfusson, 2007. "Exchange rate pass-through to export prices: assessing some cross-country evidence," International Finance Discussion Papers 902, Board of Governors of the Federal Reserve System (U.S.).
    41. Etienne Gagnon & Benjamin R. Mandel & Robert J. Vigfusson, 2012. "The hitchhiker’s guide to missing import price changes and pass-through," Staff Reports 537, Federal Reserve Bank of New York.
    42. Laure Frey & Benoît Mojon, 2009. "Le dollar et l’inflation mondiale," Revue d'Économie Financière, Programme National Persée, vol. 94(1), pages 81-106.
    43. Gust, Christopher & Leduc, Sylvain & Vigfusson, Robert, 2010. "Trade integration, competition, and the decline in exchange-rate pass-through," Journal of Monetary Economics, Elsevier, vol. 57(3), pages 309-324, April.
    44. Marlene Amstad & Andreas M. Fischer, 2009. "Monthly pass-through ratios," Globalization Institute Working Papers 26, Federal Reserve Bank of Dallas.
    45. Bussiére, Matthieu & Peltonen, Tuomas, 2008. "Exchange rate pass-through in the global economy: the role of emerging market economies," BOFIT Discussion Papers 25/2008, Bank of Finland Institute for Emerging Economies (BOFIT).
    46. Bussière, Matthieu, 2007. "Exchange rate pass-through to trade prices: the role of non-linearities and asymmetries," Working Paper Series 822, European Central Bank.
    47. Patricia S. Pollard & Cletus C. Coughlin, 2006. "Passthrough Estimates and the Choice of an Exchange Rate Index," Review of International Economics, Wiley Blackwell, vol. 14(4), pages 535-553, September.
    48. Yuko Imura, 2013. "Endogenous Trade Participation with Incomplete Exchange Rate Pass-Through," Staff Working Papers 13-30, Bank of Canada.
    49. Robert Z. Lawrence, 2013. "Association of Southeast Asian Nations, People's Republic of China, and India Growth and the Rest of the World : The Role of Trade," Development Economics Working Papers 23409, East Asian Bureau of Economic Research.
    50. Jiménez-Rodríguez, Rebeca & Morales-Zumaquero, Amalia, 2016. "A new look at exchange rate pass-through in the G-7 countries," Journal of Policy Modeling, Elsevier, vol. 38(5), pages 985-1000.
    51. Brun-Aguerre, Raphael & Fuertes, Ana-Maria & Phylaktis, Kate, 2012. "Exchange rate pass-through into import prices revisited: What drives it?," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 818-844.
    52. Zakaria Moussa, 2016. "How big is the comeback? Japanese exchange rate pass-through assessed by Time-Varying FAVAR," Working Papers hal-01282811, HAL.
    53. María-Dolores, Ramon, 2009. "How different is the exchange rate pass-through in new member states of the EU? Some potential explanatory factors," UMUFAE Economics Working Papers 4698, DIGITUM. Universidad de Murcia.
    54. Antonio J., Garzón & Luis A., Hierro, 2022. "Inflation, oil prices and exchange rates. The Euro’s dampening effect," Journal of Policy Modeling, Elsevier, vol. 44(1), pages 130-146.
    55. Daniels, Joseph P & VanHoose, David D, 2010. "Exchange-Rate Pass Through, Openness, and the Sacrifice Ratio," Working Papers and Research 2010-05, Marquette University, Center for Global and Economic Studies and Department of Economics.
    56. Kassi, Diby François & Sun, Gang & Ding, Ning & Rathnayake, Dilesha Nawadali & Assamoi, Guy Roland, 2019. "Asymmetry in exchange rate pass-through to consumer prices: Evidence from emerging and developing Asian countries," Economic Analysis and Policy, Elsevier, vol. 62(C), pages 357-372.
    57. Eduardo J. J. Ganapolsky & Diego Vilán, 2005. "Buy foreign while you can: the cheap dollar and exchange rate pass-through," Economic Review, Federal Reserve Bank of Atlanta, vol. 90(Q 3), pages 15-36.
    58. William Powers & David Riker, 2015. "The Effect of Exchange Rates on the Costs of Exporters When Inputs Are Denominated in Foreign Currencies," The International Trade Journal, Taylor & Francis Journals, vol. 29(1), pages 3-18, March.
    59. Zakaria Moussa, 2016. "How big is the comeback? Japanese exchange rate pass-through assessed by time-varying FAVAR," Post-Print hal-03714934, HAL.
    60. Erceg, Christopher & Guerriei, Luca & Gust, Christopher, 2006. "SIGMA: A New Open Economy Model for Policy Analysis," MPRA Paper 813, University Library of Munich, Germany.
    61. Pdf Strydom, 2006. "The International Adjustment Mechanism Under Restraint," South African Journal of Economics, Economic Society of South Africa, vol. 74(3), pages 463-472, September.
    62. Amit Ghosh & Ramkishen Rajan, 2009. "What is the extent of exchange rate pass-through in Singapore? Has it changed over time?," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 14(1), pages 61-72.
    63. Mr. David Cook & Woon Gyu Choi, 2008. "New Keynesian Exchange Rate Pass-Through," IMF Working Papers 2008/213, International Monetary Fund.
    64. Waldyr Areosa & Marta Areosa, 2012. "The Signaling Effect of Exchange Rates: pass-through under dispersed information," Working Papers Series 282, Central Bank of Brazil, Research Department.
    65. Khun, Channary & Lim, Sokchea & Basnet, Hem, 2021. "Exchange Rate Pass-Through into Japanese Import Prices: Evidence at Both Bilateral and Product Levels," American Business Review, Pompea College of Business, University of New Haven, vol. 24(2), pages 115-132, November.
    66. Hahn, Elke, 2007. "The impact of exchange rate shocks on sectoral activity and prices in the euro area," Working Paper Series 796, European Central Bank.
    67. Gita Gopinath & Roberto Rigobon, 2008. "Sticky Borders," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 123(2), pages 531-575.
    68. Janet Ceglowski, 2012. "Has global competition changed US export pricing?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 17(1), pages 1-13, January.
    69. Robert J. Vigfusson & Nathan Sheets & Joseph Gagnon, 2009. "Exchange Rate Passthrough to Export Prices: Assessing Cross‐Country Evidence," Review of International Economics, Wiley Blackwell, vol. 17(1), pages 17-33, February.
    70. Bussière, M. & Delle Chiaie, S. & Peltonen, T. A., 2013. "Exchange Rate Pass-Through in the Global Economy," Working papers 424, Banque de France.
    71. Nidhaleddine Ben Cheikh, 2012. "Nonlinear Mechanism of the Exchange Rate Pass-Through: Does Business Cycle Matter?," Working Papers halshs-00731502, HAL.
    72. Shioji, Etsuro, 2015. "Time varying pass-through: Will the yen depreciation help Japan hit the inflation target?," Journal of the Japanese and International Economies, Elsevier, vol. 37(C), pages 43-58.
    73. Stahn Kerstin, 2011. "Changes in Import Pricing Behaviour: Evidence for Germany," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(4), pages 522-545, August.
    74. Reginaldo P. Nogueira Junior & Miguel Leon-Ledesma, 2008. "Exchange Rate Pass-Through Into Inflation: The Role of Asymmetries and NonLinearities," Studies in Economics 0801, School of Economics, University of Kent.
    75. Charles P. Thomas & Jaime Marquez, 2009. "Measurement matters for modelling US import prices This article is a U.S. Government work and is in the public domain in the U.S.A," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(2), pages 120-138.
    76. Neiman, Brent, 2010. "Stickiness, synchronization, and passthrough in intrafirm trade prices," Journal of Monetary Economics, Elsevier, vol. 57(3), pages 295-308, April.
    77. Philippe Jeanfils, 2008. "Imperfect exchange rate pass-through : the role of distribution services and variable demand elasticity," Working Paper Research 135, National Bank of Belgium.
    78. Georgiadis, Georgios & Gräb, Johannes & Khalil, Makram, 2019. "Global value chain participation and exchange rate pass-through," Working Paper Series 2327, European Central Bank.
    79. Ghosh, Amit, 2013. "Exchange rate pass through, macro fundamentals and regime choice in Latin America," Journal of Macroeconomics, Elsevier, vol. 35(C), pages 163-171.
    80. Jeevan K Khundrakpam, 2007. "Economic reforms and exchange rate pass-through to domestic prices in India," BIS Working Papers 225, Bank for International Settlements.
    81. Catherine L. Mann & Katharina Plück, 2005. "The US Trade Deficit: A Disaggregated Perspective," Working Paper Series WP05-11, Peterson Institute for International Economics.
    82. Tseng, Hui-Kuan, 2010. "Incomplete Pass-through and Exchange Rate Volatility: A Simulation Approach - Pass-through incompleto e volatilità del cambio: un approccio simulato," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 63(1), pages 121-135.
    83. Ahmed Mohammed, Abdullahi, 2016. "Exchange Rate Pass Through into Consumer Price Inflation in Nigeria: An Empirical Investigation," MPRA Paper 86515, University Library of Munich, Germany, revised 12 Oct 2016.
    84. Kolver Hernandez & Aslı Leblebicioğlu, 2012. "A regime-switching analysis of pass-through," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 148(3), pages 523-552, September.
    85. Etsuro Shioji, 2012. "The Evolution of the Exchange Rate Pass-Through in Japan:A Re-evaluation Based on Time-Varying Parameter VARs," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 8(1), pages 67-92, June.
    86. Ceglowski, Janet, 2010. "Has pass-through to export prices risen? Evidence for Japan," Journal of the Japanese and International Economies, Elsevier, vol. 24(1), pages 86-98, March.
    87. Pierre Beynet & Éric Dubois & Damien Fréville & Alain Michel, 2006. "Pourquoi le solde commercial américain a-t-il continué de se dégrader depuis 2002 malgré la dépréciation du dollar ?," Économie et Statistique, Programme National Persée, vol. 397(1), pages 3-20.
    88. Andrés González & Hernán Rincóm & Norberto Rodríguez, 2008. "La transmisión de los choques a la tasa de cambio sobre la inflación," Borradores de Economia 5089, Banco de la Republica.
    89. Paul Gaggl, 2009. "The Role of Exchange Rate Movements for Prices in the Euro Area," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 83-103.
    90. Hagemejer, Jan & Hałka, Aleksandra & Kotłowski, Jacek, 2022. "Global value chains and exchange rate pass-through—The role of non-linearities," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 461-478.
    91. Imura, Yuko, 2016. "Endogenous trade participation with price rigidities," Journal of International Economics, Elsevier, vol. 100(C), pages 14-33.
    92. Kólver Hernández & Asli Leblebicioglu, 2008. "A Regime Switching Analysis of Exchange Rate Pass-through," Working Papers 08-17, University of Delaware, Department of Economics.
    93. M. Nusrate Aziz & Nick Horsewood & Somnath Sen, 2014. "The First and Second Stage Pass-through of Exchange Rates: A Developing Country Perspective," Review of Development Economics, Wiley Blackwell, vol. 18(3), pages 595-609, August.
    94. Edwin M. Truman, 2005. "Postponing Global Adjustment: An Analysis of the Pending Adjustment of Global Imbalances," Working Paper Series WP05-6, Peterson Institute for International Economics.

  24. Robert J. Vigfusson, 2004. "The delayed response to a technology shock: a flexible price explanation," International Finance Discussion Papers 810, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Patrick Fève & Alain Guay, 2010. "Identification of Technology Shocks in Structural Vars," Economic Journal, Royal Economic Society, vol. 120(549), pages 1284-1318, December.
    2. Christopher J. Gust & Robert J. Vigfusson, 2009. "The power of long-run structural VARs," International Finance Discussion Papers 978, Board of Governors of the Federal Reserve System (U.S.).
    3. Holly, S. & Petrella, I., 2010. "Factor Demand Linkages, Technology Shocks and the Business Cycle," Cambridge Working Papers in Economics 1001, Faculty of Economics, University of Cambridge.
    4. Pengfei Wang & Yi Wen, 2011. "Understanding the Effects of Technology Shocks," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(4), pages 705-724, October.
    5. Ippei Fujiwara & Yuki Teranishi, 2007. "A Dynamic New Keynesian Life-Cycle Model: Societal Ageing, Demographics and Monetary Policy," IMES Discussion Paper Series 07-E-04, Institute for Monetary and Economic Studies, Bank of Japan.
    6. Ippei Fujiwara & Yasuo Hirose & Mototsugu Shintani, 2011. "Can News Be a Major Source of Aggregate Fluctuations? A Bayesian DSGE Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(1), pages 1-29, February.
    7. Holly, S. & Petrella, I., 2008. "Factor demand linkages and the business cycle: Interpreting aggregate fluctuations as sectoral fluctuations," Cambridge Working Papers in Economics 0827, Faculty of Economics, University of Cambridge.
    8. Luca Dedola & Stefano Neri, 2006. "What does a technology shock do? A VAR analysis with model-based sign restrictions," Temi di discussione (Economic working papers) 607, Bank of Italy, Economic Research and International Relations Area.
    9. Rujin, Svetlana, 2024. "Labor market institutions and technology-induced labor adjustment along the extensive and intensive margins," Journal of Macroeconomics, Elsevier, vol. 79(C).
    10. Fabio Canova & David Lopez-Salido & Claudio Michelacci, 2010. "The effects of technology shocks on hours and output: a robustness analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(5), pages 755-773.
    11. Fabio Canova & David López-Salido & Claudio Michelacci, 2006. "On the robust effects of technology shocks on hours worked and output," Economics Working Papers 1013, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2008.
    12. Yi Wen & Pengfei Wang, 2008. "A Defense of RBC:Understanding the Puzzling Effects of Technology Shocks," 2008 Meeting Papers 7, Society for Economic Dynamics.

  25. Lawrence J. Christiano & Martin S. Eichenbaum & Robert J. Vigfusson, 2003. "How do Canadian hours worked respond to a technology shock?," International Finance Discussion Papers 774, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Mukantabana, Athanasie & Habimana, Olivier, 2015. "Technology Shock and the Business Cycle in the G7 Countries: A Structural Vector Error Correction Model," MPRA Paper 69651, University Library of Munich, Germany.

  26. Robert J. Vigfusson, 2003. "How does the border affect productivity? evidence from American and Canadian manufacturing industries," International Finance Discussion Papers 788, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Stella, Andrea, 2015. "Firm dynamics and the origins of aggregate fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 55(C), pages 71-88.
    2. Jørn Rattsø & Torfinn Harding, 2009. "Looking Abroad, but Lagging Behind: How the World Technology Frontier Affects South Africa," Working Paper Series 10209, Department of Economics, Norwegian University of Science and Technology.
    3. Conley, Timothy G. & Molinari, Francesca, 2007. "Spatial correlation robust inference with errors in location or distance," Journal of Econometrics, Elsevier, vol. 140(1), pages 76-96, September.

  27. Lawrence J. Christiano & Martin S. Eichenbaum & Robert J. Vigfusson, 2003. "The response of hours to a technology shock: evidence based on direct measures of technology," International Finance Discussion Papers 790, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Alho, Kari O.E. & Nikula, Nuutti, 2006. "Productivity, Empoyment and Taxes - Evidence on the Potential Trade-offs and Impacts in the EU," Discussion Papers 1054, The Research Institute of the Finnish Economy.
    2. Linde, Jesper, 2005. "The Effects of Permanent Technology Shocks on Labour Productivity and Hours in the RBC Model," CEPR Discussion Papers 4827, C.E.P.R. Discussion Papers.
    3. Andrés González & Sergio Ocampo & Diego Rodríguez & Norberto Rodríguez, 2011. "Asimetrías del empleo y el producto, una aproximación de equilibrio general," Borradores de Economia 663, Banco de la Republica de Colombia.
    4. Paul Beaudry & Franck Portier, 2014. "News Driven Business Cycles: Insights and Challenges," 2014 Meeting Papers 289, Society for Economic Dynamics.
    5. Petrosky-Nadeau, Nicolas, 2013. "TFP during a credit crunch," Journal of Economic Theory, Elsevier, vol. 148(3), pages 1150-1178.
    6. Renato Faccini & Eran Yashiv, 2022. "The importance of hiring frictions in business cycles," Quantitative Economics, Econometric Society, vol. 13(3), pages 1101-1143, July.
    7. Eichenbaum, Martin & Christiano, Lawrence J. & Linde, Jesper & Altig, David E, 2005. "Firm-Specific Capital, Nominal Rigidities and the Business Cycle," CEPR Discussion Papers 4858, C.E.P.R. Discussion Papers.
    8. Luigi Paciello, 2008. "The Response of Prices to Technology and Monetary Policy Shocks under Rational Inattention," EIEF Working Papers Series 0816, Einaudi Institute for Economics and Finance (EIEF), revised Nov 2007.
    9. Mumtaz, Haroon & Zanetti, Francesco, 2012. "Neutral technology shocks and employment dynamics: results based on an RBC identification scheme," Bank of England working papers 453, Bank of England.
    10. Michelle Alexopoulos & Jon Cohen, 2016. "The Medium Is the Measure: Technical Change and Employment, 1909—1949," The Review of Economics and Statistics, MIT Press, vol. 98(4), pages 792-810, October.
    11. Michelle Alexopoulos and Jon Cohen, 2018. "Canadian Productivity Growth, Secular Stagnation, and Technological Change," International Productivity Monitor, Centre for the Study of Living Standards, vol. 35, pages 113-137, Fall.
    12. Kevin J. Stiroh, 2009. "Volatility Accounting: A Production Perspective on Increased Economic Stability," Journal of the European Economic Association, MIT Press, vol. 7(4), pages 671-696, June.
    13. Paul Beaudry & Bernd Lucke, 2010. "Letting Different Views about Business Cycles Compete," NBER Chapters, in: NBER Macroeconomics Annual 2009, Volume 24, pages 413-455, National Bureau of Economic Research, Inc.
    14. Domenico J. Marchetti & Francesco Nucci, 2007. "Pricing Behavior and the Response of Hours to Productivity Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(7), pages 1587-1611, October.
    15. Kindberg-Hanlon,Gene, 2021. "The Technology-Employment Trade-Off : Automation, Industry, and Income Effects," Policy Research Working Paper Series 9529, The World Bank.
    16. Josué Diwambuena & Francesco Ravazzolo, 2022. "What are the drivers of Labor Productivity?," BEMPS - Bozen Economics & Management Paper Series BEMPS86, Faculty of Economics and Management at the Free University of Bozen.
    17. Bernd Lucke, 2013. "Testing the technology interpretation of news shocks," Applied Economics, Taylor & Francis Journals, vol. 45(1), pages 1-13, January.
    18. De Graeve, Ferre & Westermark, Andreas, 2013. "Un-truncating VARs," Working Paper Series 271, Sveriges Riksbank (Central Bank of Sweden).
    19. Dr. 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.
    20. Christoph Görtz & Christopher Gunn & Thomas A. Lubik, 2024. "The Changing Nature of Technology Shocks," CESifo Working Paper Series 11385, CESifo.
    21. Gehrke, Britta & Yao, Fang, 2016. "Persistence and Volatility of Real Exchange Rates: The Role of Supply Shocks Revisited," VfS Annual Conference 2016 (Augsburg): Demographic Change 145752, Verein für Socialpolitik / German Economic Association.
    22. Mr. Jordi Gali Garreta & Mr. Pau Rabanal, 2004. "Technology Shocks and Aggregate Fluctuations: How Well Does the RBC Model Fit Postwar U.S. Data?," IMF Working Papers 2004/234, International Monetary Fund.
    23. Fernald, John, 2006. "Trend Breaks, Long-Run Restrictions and the Contractionary Effects of Technology Improvements," CEPR Discussion Papers 5631, C.E.P.R. Discussion Papers.
    24. Nuno Alves & Jose Brandao de Brito & Sandra Gomes & Joao Sousa, 2009. "The transmission of monetary policy and technology shocks in the euro area," Applied Economics, Taylor & Francis Journals, vol. 43(8), pages 917-927.
    25. Olivier Cardi & Romain Restout, 2023. "Why Hours Worked Decline Less after Technology Shocks?Â," Working Papers 396800288, Lancaster University Management School, Economics Department.
    26. Luisito Bertinelli & Olivier Cardi & Romain Restout, 2021. "Labor Market Effects of Technology Shocks Biased toward the Traded Sector," Working Papers 342990229, Lancaster University Management School, Economics Department.
    27. Marta Aloi & Huw D. Dixon & Anthony Savagar, 2018. "Labor Responses, Regulation and Business Churn," CESifo Working Paper Series 7275, CESifo.
    28. Burkhard Heer & Alfred Maussner, 2010. "Inflation and Output Dynamics in a Model with Labor Market Search and Capital Accumulation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 13(3), pages 654-686, July.
    29. Gehrke, Britta & Yao, Fang, 2013. "Sources of Real Exchange Rate Fluctuations: The Role of Supply Shocks Revisited," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79821, Verein für Socialpolitik / German Economic Association.
    30. Dupaigne, Martial & Fève, Patrick, 2009. "Hours Worked and Permanent Technology Shocks in Open Economies," TSE Working Papers 09-114, Toulouse School of Economics (TSE).
    31. Hutter, Christian & Weber, Enzo, 2017. "The effects of skill-biased technical change on productivity flattening and hours worked," IAB-Discussion Paper 201732, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
    32. Federico S. Mandelman & Francesco Zanetti, 2013. "Flexible prices, labor market frictions, and the response of employment to technology shocks," FRB Atlanta Working Paper 2013-16, Federal Reserve Bank of Atlanta.
    33. Hyeon-Seung Huh & David Kim, 2014. "Do SVAR Models Justify Discarding the Technology-Shock-Driven Real Business Cycle Hypothesis?," The Economic Record, The Economic Society of Australia, vol. 90(288), pages 98-118, March.
    34. Tervala, Juha, 2008. "Technology Shocks and Employment in Open Economies," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 1, pages 1-27.
    35. Richard W P Holt, 2007. "Job Reallocation, Unemployment and Hours in a New Keynesian Model," Edinburgh School of Economics Discussion Paper Series 172, Edinburgh School of Economics, University of Edinburgh.
    36. Rochelle Edge & Thomas Laubach, 2004. "Learning and Shifts in Long-Run Growth," Computing in Economics and Finance 2004 123, Society for Computational Economics.
    37. Danthine, Jean-Pierre & Kurmann, André, 2010. "The business cycle implications of reciprocity in labor relations," Journal of Monetary Economics, Elsevier, vol. 57(7), pages 837-850, October.
    38. Christian Hutter & Enzo Weber, 2019. "A note on the effects of skill-biased technical change on productivity flattening," Economics Bulletin, AccessEcon, vol. 39(2), pages 772-784.
    39. Ippei Fujiwara & Yasuo Hirose & Mototsugu Shintani, 2011. "Can News Be a Major Source of Aggregate Fluctuations? A Bayesian DSGE Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(1), pages 1-29, February.
    40. Dossche, Maarten & Lewis, Vivien & Poilly, Céline, 2019. "Employment, hours and the welfare effects of intra-firm bargaining," Journal of Monetary Economics, Elsevier, vol. 104(C), pages 67-84.
    41. Catherine Fuss & Ladislav Wintr, 2009. "Rigid labour compensation and flexible employment ? Firm-level evidence with regard to productivity for Belgium," Working Paper Research 159, National Bank of Belgium.
    42. Weimin Wang & Shouyong Shi, 2006. "The Variability of Velocity of Money in a Search Model," Working Papers tecipa-190, University of Toronto, Department of Economics.
    43. Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2013. "The common component of firm growth," Structural Change and Economic Dynamics, Elsevier, vol. 26(C), pages 73-82.
    44. Francesco Giuli & Massimiliano Tancioni, 2010. "Contractionary Effects of Supply Shocks: Evidence and Theoretical Interpretation," Working Papers in Public Economics 131, Department of Economics and Law, Sapienza University of Roma.
    45. Jürgen Janger & Werner Hölzl & Serguei Kaniovski & Johannes Kutsam & Michael Peneder & Andreas Reinstaller & Susanne Bärenthaler-Sieber & Isabel Stadler & Fabian Unterlass, 2011. "Structural Change and the Competitiveness of EU Member States," WIFO Studies, WIFO, number 42956.
    46. Park, Kangwoo, 2012. "Employment responses to aggregate and sectoral technology shocks," Journal of Macroeconomics, Elsevier, vol. 34(3), pages 801-821.
    47. Mario Forni & Luca Gambetti, 2021. "Policy and Business Cycle Shocks: A Structural Factor Model Representation of the US Economy," JRFM, MDPI, vol. 14(8), pages 1-21, August.
    48. Kim Jung-Wook & Chun Hyunbae, 2011. "Technology Shocks and Employment: Evidence from U.S. Firm-Level Data," The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-23, September.
    49. Pu Chen, Armon Rezai, Willi Semmler, 2007. "WP 2007-8 Productivity and Unemployment in the Short and Long Run," SCEPA working paper series. 2007-8, Schwartz Center for Economic Policy Analysis (SCEPA), The New School.
    50. Stefania Albanesi, 2019. "Changing Business Cycles: The Role of Women's Employment," Working Paper 6608, Department of Economics, University of Pittsburgh.
    51. Thomet, Jacqueline & Wegmueller, Philipp, 2021. "Technology Shocks And Hours Worked: A Cross-Country Analysis," Macroeconomic Dynamics, Cambridge University Press, vol. 25(4), pages 1020-1052, June.
    52. Beate Schirwitz, 2013. "Business Fluctuations, Job Flows and Trade Unions - Dynamics in the Economy," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 47.
    53. Afrin, Sadia, 2017. "The role of financial shocks in business cycles with a liability side financial friction," Economic Modelling, Elsevier, vol. 64(C), pages 249-269.
    54. Matteo Barigozzi & Marco Capasso, 2008. "Nonfundamental Representations of the Relation between Technology Shocks and Hours Worked," LEM Papers Series 2008/09, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    55. Andrei Polbin & Sergey Drobyshevsky, 2014. "Developing a Dynamic Stochastic Model of General Equilibrium for the Russian Economy," Research Paper Series, Gaidar Institute for Economic Policy, issue 166P, pages 156-156.
    56. Robert B. Barsky & Eric R. Sims, 2012. "Information, Animal Spirits, and the Meaning of Innovations in Consumer Confidence," American Economic Review, American Economic Association, vol. 102(4), pages 1343-1377, June.
    57. Jean-Pierre Danthine & André Kurmann, 2005. "The Macroeconomic Consequences of Reciprocity in Labor Relations," Cahiers de Recherches Economiques du Département d'économie 05.08, Université de Lausanne, Faculté des HEC, Département d’économie.
    58. Mandelman, Federico S & Zanetti, Francesco, 2010. "Technology shocks, employment and labour market frictions," Bank of England working papers 390, Bank of England.
    59. Ralf Fendel, 2004. "New directions in stabilisation policies," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 57(231), pages 365-394.
    60. Ohad Raveh & Yacov Tsur, 2017. "Political Myopia, Public Debt," OxCarre Working Papers 200, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    61. Yashiv, Eran & Faccini, Renato, 2016. "The Hiring Frictions and Price Frictions Nexus in Business Cycle Models," CEPR Discussion Papers 11639, C.E.P.R. Discussion Papers.
    62. Edge, Rochelle M. & Laubach, Thomas & Williams, John C., 2007. "Learning and shifts in long-run productivity growth," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2421-2438, November.
    63. Michelle Alexopoulos, 2010. "Read All About it!! What happens following a technology shock?," Working Papers tecipa-391, University of Toronto, Department of Economics.
    64. Lütkepohl, Helmut & Velinov, Anton, 2014. "Structural vector autoregressions: Checking identifying long-run restrictions via heteroskedasticity," SFB 649 Discussion Papers 2014-009, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    65. Marcus Kappler, 2009. "Do hours worked contain a unit root? Evidence from panel data," Empirical Economics, Springer, vol. 36(3), pages 531-555, June.
    66. Luca Dedola & Stefano Neri, 2006. "What does a technology shock do? A VAR analysis with model-based sign restrictions," Temi di discussione (Economic working papers) 607, Bank of Italy, Economic Research and International Relations Area.
    67. Mittnik, Stefan & Semmler, Willi, 2012. "Regime dependence of the fiscal multiplier," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 502-522.
    68. Stefania Albanesi, 2017. "Changing Business Cycle Dynamics in the US: The Role of Women's Employment," 2017 Meeting Papers 580, Society for Economic Dynamics.
    69. Giuli, Francesco & Tancioni, Massimiliano, 2012. "Real rigidities, productivity improvements and investment dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 36(1), pages 100-118.
    70. Adam Elbourne & Coen Teulings, 2011. "The potential of a small model," CPB Discussion Paper 193, CPB Netherlands Bureau for Economic Policy Analysis.
    71. Christian Hutter & Francesco Carbonero & Sabine Klinger & Carsten Trenkler & Enzo Weber, 2022. "Which factors were behind Germany's labour market upswing? A data‐driven approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1052-1076, October.
    72. Rujin, Svetlana, 2024. "Labor market institutions and technology-induced labor adjustment along the extensive and intensive margins," Journal of Macroeconomics, Elsevier, vol. 79(C).
    73. Haroon Mumtaz & Francesco Zanetti, 2012. "Neutral Technology Shocks And The Dynamics Of Labor Input: Results From An Agnostic Identification," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(1), pages 235-254, February.
    74. Mendez, Oscar, 2015. "The effect of Chinese import competition on Mexican local labor markets," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 364-380.
    75. Sangyup Choi & Myungkyu Shim, 2018. "Labor Market Dynamics in Developing Economies: the Role of Subsistence Consumption," Working papers 2018rwp-127, Yonsei University, Yonsei Economics Research Institute.
    76. Luca Sala & Luca Gambetti & Mario Forni, 2016. "VAR Information and the Empirical Validation of DSGE Models," 2016 Meeting Papers 260, Society for Economic Dynamics.
    77. Susanto Basu & John Fernald & Miles Kimball, 2004. "Are Technology Improvements Contractionary?," NBER Working Papers 10592, National Bureau of Economic Research, Inc.
    78. Deskar-Škrbić, Milan & Kotarac, Karlo & Kunovac, Davor, 2020. "The third round of euro area enlargement: Are the candidates ready?," Journal of International Money and Finance, Elsevier, vol. 107(C).
    79. Federico S. Mandelman & Francesco Zanetti, 2008. "Estimating general equilibrium models: an application with labour market frictions," Technical Books, Centre for Central Banking Studies, Bank of England, edition 1, number 1, April.
    80. Fabien Tripier, 2005. "Sticky prices, fair wages, and the co-movements of unemployment and labor productivity growth," Macroeconomics 0510015, University Library of Munich, Germany.
    81. Gehrke, Britta & Yao, Fang, 2014. "Phillips curve shocks and real exchange rate fluctuations: SVAR evidence," FAU Discussion Papers in Economics 11/2014, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    82. Tervala, Juha, 2007. "Technology Shocks and Employment in Open Economies," Economics Discussion Papers 2007-40, Kiel Institute for the World Economy (IfW Kiel).
    83. Chang, Yongsung & Hornstein, Andreas & Sarte, Pierre-Daniel, 2009. "On the employment effects of productivity shocks: The role of inventories, demand elasticity, and sticky prices," Journal of Monetary Economics, Elsevier, vol. 56(3), pages 328-343, April.
    84. Helge Braun & Reinout De Bock & Riccardo DiCecio, 2009. "Supply shocks, demand shocks, and labor market fluctuations," Review, Federal Reserve Bank of St. Louis, vol. 91(May), pages 155-178.
    85. MATSUMAE Tatsuyoshi & HASUMI Ryo, 2016. "Impacts of Government Spending on Unemployment: Evidence from a Medium-scale DSGE Model(in Japanese)," ESRI Discussion paper series 329, Economic and Social Research Institute (ESRI).
    86. Hafedh Bouakez & Laurent Kemoe, 2023. "News Shocks, Business Cycles, and the Disinflation Puzzle," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(8), pages 2115-2151, December.
    87. Lovcha, Yuliya & Pérez Laborda, Àlex, 2016. "The Variance-Frequency Decomposition as an Instrument for VAR Identification: an Application to Technology Shocks," Working Papers 2072/261537, Universitat Rovira i Virgili, Department of Economics.
    88. Magalhães, Matheus Albergaria de & Picchetti, Paulo, 2005. "Regress and Progress! An Econometric Characterization of the Short-Run Relationship between Productivity and Labor Input in Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 25(2), November.
    89. Alho, Kari & Nikula, Nuutti, 2007. "Productivity, Employment and Taxes - A SVAR Analysis of Trade-offs and Impacts," Discussion Papers 1074, The Research Institute of the Finnish Economy.
    90. Mr. Roland Straub & Gert Peersman, 2006. "Putting the New Keynesian Model to a Test," IMF Working Papers 2006/135, International Monetary Fund.
    91. James Costain & Beatriz de-Blas-Perez, 2006. "Productivity Shocks and the Business Cycle: Reconciling Recent VAR Evidence," 2006 Meeting Papers 698, Society for Economic Dynamics.
    92. Francesco Zanetti & Haroon Mumtaz, 2014. "Labor Market Dynamics: a Time-varying Analysis," Economics Series Working Papers 728, University of Oxford, Department of Economics.
    93. Ralf Fendel, 2004. "New directions in stabilisation policies," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 57(231), pages 365-394.
    94. Raveh, Ohad & Perez-Sebastian, Fidel & van der Ploeg, Frederick, 2024. "Are Technology Improvements Contractionary? The Role of Natural Resources," MPRA Paper 120355, University Library of Munich, Germany.
    95. Mamatzakis, E & Christodoulakis, G, 2010. "A Bayesian Markov Chain Approach Using Proportions Labour Market Data for Greek Regions," MPRA Paper 24637, University Library of Munich, Germany.
    96. Ossama Mikhail, 2005. "What Happens After A Technology Shock? A Bayesian Perspective," Macroeconomics 0510016, University Library of Munich, Germany.
    97. Mertens, Elmar, 2012. "Are spectral estimators useful for long-run restrictions in SVARs?," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1831-1844.
    98. Marie Hogan & Laura E. Jackson & Michael T. Owyang, 2024. "A High-Frequency Measure of Income Inequality," Working Papers 2024-021, Federal Reserve Bank of St. Louis.
    99. Lindé, Jesper, 2009. "The effects of permanent technology shocks on hours: Can the RBC-model fit the VAR evidence?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 597-613, March.
    100. Francesco Giuli & Massimiliano Tancioni, 2009. "Firm-Specific Capital, Productivity Shocks and Investment Dynamics," Working Papers in Public Economics 120, Department of Economics and Law, Sapienza University of Roma.
    101. Hutter, Christian & Weber, Enzo, 2021. "Labour market miracle, productivity debacle: Measuring the effects of skill-biased and skill-neutral technical change," Economic Modelling, Elsevier, vol. 102(C).
    102. Rujin, Svetlana, 2019. "What are the effects of technology shocks on international labor markets?," Ruhr Economic Papers 806, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    103. Francesco Giuli & Massimiliano Tancioni, 2012. "Prince-setting, monetary policy and the contractionary effects of productivity improvements," Departmental Working Papers of Economics - University 'Roma Tre' 0161, Department of Economics - University Roma Tre.
    104. George A. Christodoulakis & Emmanuel C. Mamatzakis, 2009. "Labour Market Dynamics in EU: a Bayesian Markov Chain Approach," Discussion Paper Series 2009_07, Department of Economics, University of Macedonia, revised Apr 2009.
    105. Niels Arne Dam & Jesper Gregers Linaa, 2005. "What Drives Business Cycles in a Small Open Economy with a Fixed Exchange Rate?," EPRU Working Paper Series 05-02, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
    106. Alexopoulos, Michelle, 2008. "Extra! Extra! Some positive technology shocks are expansionary!," Economics Letters, Elsevier, vol. 101(3), pages 153-156, December.
    107. Werner Hölzl & Andreas Reinstaller, 2005. "Sectoral and Aggregate Technology Shocks:Is There a Relationship?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 32(1), pages 45-72, March.
    108. Christoph Gortz & Christopher Gunn & Thomas Lubik, 2022. "Split Personalities: The Changing Nature of Technology Shocks," Carleton Economic Papers 22-06, Carleton University, Department of Economics.
    109. Consolo, Agostino & Hertweck, Matthias S., 2010. "Shocks and frictions under right-to-manage wage bargaining: a transatlantic perspective," Working papers 2010/01, Faculty of Business and Economics - University of Basel.

  28. Lawrence J. Christiano & Martin S. Eichenbaum & Robert J. Vigfusson, 2003. "What happens after a technology shock?," International Finance Discussion Papers 768, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Alho, Kari O.E. & Nikula, Nuutti, 2006. "Productivity, Empoyment and Taxes - Evidence on the Potential Trade-offs and Impacts in the EU," Discussion Papers 1054, The Research Institute of the Finnish Economy.
    2. Linde, Jesper, 2005. "The Effects of Permanent Technology Shocks on Labour Productivity and Hours in the RBC Model," CEPR Discussion Papers 4827, C.E.P.R. Discussion Papers.
    3. Andrés González & Sergio Ocampo & Diego Rodríguez & Norberto Rodríguez, 2011. "Asimetrías del empleo y el producto, una aproximación de equilibrio general," Borradores de Economia 663, Banco de la Republica de Colombia.
    4. Jordi Galí & Pau Rabanal, 2005. "Technology Shocks and Aggregate Fluctuations: How Well Does the Real Business Cycle Model Fit Postwar US Data?," NBER Chapters, in: NBER Macroeconomics Annual 2004, Volume 19, pages 225-318, National Bureau of Economic Research, Inc.
    5. Sergio Rebelo, 2005. "Real Business Cycle Models: Past, Present and Future," Scandinavian Journal of Economics, Wiley Blackwell, vol. 107(2), pages 217-238, June.
    6. Patrick F?ve & Julien Matheron & Jean-Guillaume Sahuc, 2013. "A Pitfall with Estimated DSGE-Based Government Spending Multipliers," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(4), pages 141-178, October.
    7. Liudas Giraitis & George Kapetanios & Tony Yates, 2015. "Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models," Working Papers 767, Queen Mary University of London, School of Economics and Finance.
    8. Waters, George A., 2013. "Quantity rationing of credit and the Phillips curve," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 68-80.
    9. Tambalotti, Andrea & Primiceri, Giorgio & Justiniano, Alejandro, 2008. "Investment Shocks and Business Cycles," CEPR Discussion Papers 6739, C.E.P.R. Discussion Papers.
    10. Lawrence J. Christiano & Martin S. Eichenbaum & Robert J. Vigfusson, 2003. "The response of hours to a technology shock: evidence based on direct measures of technology," International Finance Discussion Papers 790, Board of Governors of the Federal Reserve System (U.S.).
    11. Marcos Sanso-Navarro, 2011. "Broken trend stationarity of hours worked," Post-Print hal-00712742, HAL.
    12. Sweder van Wijnbergen & Tim Willems, 2013. "Imperfect information, lagged labour adjustment, and the Great Moderation," Oxford Economic Papers, Oxford University Press, vol. 65(2), pages 219-239, April.
    13. David, DE LA CROIX & Gregory, DE WALQUE & Rafael, WOUTERS, 2006. "Dynamics and monetary policy in a fair wage model of the business cycle," Discussion Papers (ECON - Département des Sciences Economiques) 2006061, Université catholique de Louvain, Département des Sciences Economiques.
    14. Ghent, Andra C., 2009. "Comparing DSGE-VAR forecasting models: How big are the differences?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 864-882, April.
    15. Tobias Broer & Per Krusell & Niels-Jakob Hansen & Erik Oberg, 2015. "The New Keynesian Transmission Channel," 2015 Meeting Papers 941, Society for Economic Dynamics.
    16. Jordi Gali & Luca Gambetti, 2008. "On the Sources of the Great Moderation," NBER Working Papers 14171, National Bureau of Economic Research, Inc.
    17. Renato Faccini & Eran Yashiv, 2022. "The importance of hiring frictions in business cycles," Quantitative Economics, Econometric Society, vol. 13(3), pages 1101-1143, July.
    18. Lechthaler, Wolfgang & Mileva, Mariya, 2016. "Inter-industry trade and business cycle dynamics," Kiel Working Papers 2041, Kiel Institute for the World Economy (IfW Kiel).
    19. Cantore, Cristiano & Ferroni, Filippo & León-Ledesma, Miguel A., 2017. "The dynamics of hours worked and technology," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 67-82.
    20. Alessandro Gobbi & Tim Willems, 2011. "Identifying US Monetary Policy Shocks through Sign Restrictions in Dollarized Countries," Tinbergen Institute Discussion Papers 11-145/2, Tinbergen Institute.
    21. Patrick Fève & Alain Guay, 2010. "Identification of Technology Shocks in Structural Vars," Economic Journal, Royal Economic Society, vol. 120(549), pages 1284-1318, December.
    22. Barbara Annicchiarico & Stefano Carattini & Carolyn Fischer & Garth Heutel, 2022. "Business Cycles and Environmental Policy: A Primer," Environmental and Energy Policy and the Economy, University of Chicago Press, vol. 3(1), pages 221-253.
    23. Eichenbaum, Martin & Christiano, Lawrence J. & Linde, Jesper & Altig, David E, 2005. "Firm-Specific Capital, Nominal Rigidities and the Business Cycle," CEPR Discussion Papers 4858, C.E.P.R. Discussion Papers.
    24. Florin O. Bilbiie & Marc J. Melitz, 2020. "Aggregate-Demand Amplification of Supply Disruptions: The Entry-Exit Multiplier," NBER Working Papers 28258, National Bureau of Economic Research, Inc.
    25. Mumtaz, Haroon & Zanetti, Francesco, 2012. "Neutral technology shocks and employment dynamics: results based on an RBC identification scheme," Bank of England working papers 453, Bank of England.
    26. Wesselbaum, Dennis, 2016. "The Intensive Margin Puzzle And Labor Market Adjustment Costs," Macroeconomic Dynamics, Cambridge University Press, vol. 20(6), pages 1458-1476, September.
    27. Anneleen Vandeplas & Anna Thum-Thysen, 2019. "Skills Mismatch and Productivity in the EU," European Economy - Discussion Papers 100, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    28. van Rens, Thijs & Balleer, Almut, 2011. "Skill-Biased Technological Change and the Business Cycle," CEPR Discussion Papers 8410, C.E.P.R. Discussion Papers.
    29. Barišić, Patrik & Kovač, Tibor & Arčabić, Vladimir, 2023. "More than just supply and demand: Macroeconomic shock decomposition in Croatia during and after the transition period," Structural Change and Economic Dynamics, Elsevier, vol. 67(C), pages 420-438.
    30. Virgiliu Midrigan, 2005. "Is Firm Pricing State or Time-Dependent? Evidence from US Manufacturing," Macroeconomics 0511005, University Library of Munich, Germany.
    31. Jordi Galí, 2008. "Introduction to Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework," Introductory Chapters, in: Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework, Princeton University Press.
    32. Benjamin Wong & Varang Wiriyawit, 2015. "Structural VARs, deterministic and stochastic trends: Does detrending matter?," Reserve Bank of New Zealand Discussion Paper Series DP2015/02, Reserve Bank of New Zealand.
    33. Kevin J. Stiroh, 2009. "Volatility Accounting: A Production Perspective on Increased Economic Stability," Journal of the European Economic Association, MIT Press, vol. 7(4), pages 671-696, June.
    34. Pierre Perron & Yohei Yamamoto, 2011. "Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions," Boston University - Department of Economics - Working Papers Series WP2011-049, Boston University - Department of Economics.
    35. Elmar Mertens, 2005. "Puzzling Comovements between Output and Interest Rates? Multiple Shocks are the Answer," Working Papers 05.05, Swiss National Bank, Study Center Gerzensee.
    36. Chahrour, Ryan & Ulbricht, Robert, 2017. "Information-driven Business Cycles: A Primal Approach," TSE Working Papers 17-784, Toulouse School of Economics (TSE), revised Dec 2017.
    37. Malley, Jim University of Glasgow & Woitek, Ulrich, 2009. "Technology shocks and aggregate fluctuations in an estimated hybrid RBC model," SIRE Discussion Papers 2009-18, Scottish Institute for Research in Economics (SIRE).
    38. Stefano Grassi & Tommaso Proietti, 2010. "Characterizing economic trends by Bayesian stochastic model specification search," EERI Research Paper Series EERI_RP_2010_25, Economics and Econometrics Research Institute (EERI), Brussels.
    39. Christopher J. Gust & Robert J. Vigfusson, 2009. "The power of long-run structural VARs," International Finance Discussion Papers 978, Board of Governors of the Federal Reserve System (U.S.).
    40. Martial Dupaigne & Patrick Feve, 2009. "Technology shocks around the world," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(4), pages 592-607, October.
    41. Peersman, Gert & Straub, Roland, 2004. "Technology shocks and robust sign restrictions in a euro area SVAR," Working Paper Series 373, European Central Bank.
    42. Domenico J. Marchetti & Francesco Nucci, 2007. "Pricing Behavior and the Response of Hours to Productivity Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(7), pages 1587-1611, October.
    43. Afees A. Salisu & Yinka S. Hammed & Ibrahim Ngananga Ouattara, 2023. "Climate Change, Technology Shocks and the US Equity Real Estate Investment Trusts (REITs)," Sustainability, MDPI, vol. 15(19), pages 1-22, October.
    44. Dieppe, Alistair & Francis, Neville & Kindberg-Hanlon, Gene, 2021. "The identification of dominant macroeconomic drivers: coping with confounding shocks," Working Paper Series 2534, European Central Bank.
    45. Adolfson, Malin & Laséen, Stefan & Lindé, Jesper & Villani, Mattias, 2007. "Evaluating An Estimated New Keynesian Small Open Economy Model," Working Paper Series 203, Sveriges Riksbank (Central Bank of Sweden).
    46. Mitra, Aruni, 2024. "The productivity puzzle and the decline of unions," Journal of Economic Dynamics and Control, Elsevier, vol. 159(C).
    47. Garth Heutel & Carolyn Fischer, 2013. "Environmental Macroeconomics: Environmental Policy, Business Cycles, and Directed Technical Change," NBER Working Papers 18794, National Bureau of Economic Research, Inc.
    48. Hashmat Khan & John Tsoukalas, 2005. "Technology Shocks and UK Business Cycles," Macroeconomics 0512006, University Library of Munich, Germany.
    49. Luis Alberiko Gil-Alana & Antonio Moreno, 2006. "Technology Shocks and Hours Worked: A Fractional Integration Perspective," Faculty Working Papers 03/06, School of Economics and Business Administration, University of Navarra.
    50. Christopher J. Erceg & Luca Guerrieri, 2004. "Can Long-Run Restrictions Identify Technology Shocks?," Computing in Economics and Finance 2004 3, Society for Computational Economics.
    51. Mattesini Fabrizio & Rossi Lorenza, 2007. "Productivity shocks and optimal monetary policy in a unionized labor market economy," wp.comunite 0023, Department of Communication, University of Teramo.
    52. Dr. 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.
    53. Domenico Giannone & Lucrezia Reichlin, 2006. "Does information help recovering structural shocks from past observations?," Journal of the European Economic Association, MIT Press, vol. 4(2-3), pages 455-465, 04-05.
    54. Almut Balleer, 2012. "New evidence, old puzzles: Technology shocks and labor market dynamics," Quantitative Economics, Econometric Society, vol. 3(3), pages 363-392, November.
    55. Peter N. Ireland & Scott Schuh, 2006. "Productivity and U.S. macroeconomic performance: interpreting the past and predicting the future with a two-sector real business cycle model," Working Papers 06-10, Federal Reserve Bank of Boston.
    56. Thijs van Rens, 2005. "Organizational Capital and Employment Fluctuations," 2005 Meeting Papers 427, Society for Economic Dynamics.
    57. Artuç, Erhan & Pourpourides, Panayiotis M., 2014. "R&D and aggregate fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 47(C), pages 54-71.
    58. Garth Heutel, 2011. "Online Appendix to "How Should Environmental Policy Respond to Business Cycles? Optimal Policy under Persistent Productivity Shocks"," Online Appendices 10-62, Review of Economic Dynamics.
    59. Mr. Jordi Gali Garreta & Mr. Pau Rabanal, 2004. "Technology Shocks and Aggregate Fluctuations: How Well Does the RBC Model Fit Postwar U.S. Data?," IMF Working Papers 2004/234, International Monetary Fund.
    60. Whelan, Karl T., 2009. "Technology shocks and hours worked: Checking for robust conclusions," Journal of Macroeconomics, Elsevier, vol. 31(2), pages 231-239, June.
    61. Yashiv, Eran, 2005. "Evaluating the performance of the search and matching model," LSE Research Online Documents on Economics 19906, London School of Economics and Political Science, LSE Library.
    62. Peter N. Ireland, 2008. "On the Welfare Cost of Inflation and the Recent Behavior of Money Demand," NBER Working Papers 14098, National Bureau of Economic Research, Inc.
    63. Fernald, John, 2006. "Trend Breaks, Long-Run Restrictions and the Contractionary Effects of Technology Improvements," CEPR Discussion Papers 5631, C.E.P.R. Discussion Papers.
    64. Smets, Frank & Wouters, Rafael, 2007. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," CEPR Discussion Papers 6112, C.E.P.R. Discussion Papers.
    65. Agostino Consolo & Filippos Petroulakis, 2022. "Did COVID-19 induce a reallocation wave?," Working Papers 295, Bank of Greece.
    66. Marta Aloi & Huw D. Dixon & Anthony Savagar, 2018. "Labor Responses, Regulation and Business Churn," CESifo Working Paper Series 7275, CESifo.
    67. Burkhard Heer & Alfred Maussner, 2010. "Inflation and Output Dynamics in a Model with Labor Market Search and Capital Accumulation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 13(3), pages 654-686, July.
    68. Francesco Zanetti, 2003. "Non-Walrasian Labor Market and the European Business Cycle," Boston College Working Papers in Economics 574, Boston College Department of Economics, revised 20 May 2004.
    69. Bisio Laura & Faccini Andrea, 2010. "Does cointegration matter? An analysis in a RBC perspective," wp.comunite 0066, Department of Communication, University of Teramo.
    70. Giancarlo Corsetti & Luca Dedola & Sylvain Leduc, 2005. "International risk-sharing and the transmission of productivity shocks," International Finance Discussion Papers 826, Board of Governors of the Federal Reserve System (U.S.).
    71. Hikaru Saijo, 2019. "Technology Shocks and Hours Revisited: Evidence from Household Data," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 31, pages 347-362, January.
    72. Francesco Furlanetto & Antoine Lepetit & Ørjan Robstad & Juan F. Rubio-Ramirez & Pål Ulvedal, 2021. "Estimating Hysteresis Effects," Finance and Economics Discussion Series 2021-059, Board of Governors of the Federal Reserve System (U.S.).
    73. Eiji Kurozumi & Daisuke Yamazaki & Kaddour Hadri, 2013. "Covariate Unit Root Test for Cross-Sectionally Dependent Panel Data," Economics Working Papers 13-01, Queen's Management School, Queen's University Belfast.
    74. Kevin Elie Beaubrun-Diant & Julien Matheron, 2006. "Rentabilité d'actifs et fluctuations économiques : une perspective d'équilibre général dynamique et stochastique," EconomiX Working Papers 2006-16, University of Paris Nanterre, EconomiX.
    75. Neville Francis & Valerie A. Ramey, 2009. "Measures of per Capita Hours and Their Implications for the Technology‐Hours Debate," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(6), pages 1071-1097, September.
    76. Francesco Zanetti, 2007. "Labour market institutions and aggregate fluctuations in a search and matching model," Bank of England working papers 333, Bank of England.
    77. Dietmar Bauer & Alex Maynard, 2010. "Persistence-robust Granger causality testing," Working Papers 1011, University of Guelph, Department of Economics and Finance.
    78. Federico S. Mandelman & Francesco Zanetti, 2013. "Flexible prices, labor market frictions, and the response of employment to technology shocks," FRB Atlanta Working Paper 2013-16, Federal Reserve Bank of Atlanta.
    79. Holly, S. & Petrella, I., 2010. "Factor Demand Linkages, Technology Shocks and the Business Cycle," Cambridge Working Papers in Economics 1001, Faculty of Economics, University of Cambridge.
    80. Hyeon-Seung Huh & David Kim, 2014. "Do SVAR Models Justify Discarding the Technology-Shock-Driven Real Business Cycle Hypothesis?," The Economic Record, The Economic Society of Australia, vol. 90(288), pages 98-118, March.
    81. Chahnez Boudaya, 2006. "Stage-specific technology shocks and employment: Could we reconcile with the RBC models?," Post-Print halshs-00115791, HAL.
    82. Yongsung Chang & Taeyoung Doh & Frank Schorfheide, 2007. "Non‐stationary Hours in a DSGE Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1357-1373, September.
    83. Rebelo, Sérgio, 2005. "Real Business Cycle Models: Past, Present and Future," CEPR Discussion Papers 5384, C.E.P.R. Discussion Papers.
    84. Zheng Liu & Louis Phaneuf, 2008. "Do Nominal Rigidities Matter for the Transmission of Technology Shocks?," Cahiers de recherche 0837, CIRPEE.
    85. Aleksei Netsunajev, 2013. "Reaction to technology shocks in Markov-switching structural VARs: identification via heteroskedasticity," Bank of Estonia Working Papers wp2012-6, Bank of Estonia, revised 03 Jan 2013.
    86. Tomislav Globan & Vladimir Arčabić & Petar Sorić, 2014. "Inflation in New EU Member States: A Domestically or Externally Driven Phenomenon?," EFZG Working Papers Series 1405, Faculty of Economics and Business, University of Zagreb.
    87. Francesco Furlanett & Nicolas Groshenny, 2012. "Matching efficiency and business cycle fluctuations," Reserve Bank of New Zealand Discussion Paper Series DP2012/06, Reserve Bank of New Zealand.
    88. Frédéric Dufourt, 2006. "Demand and Productivity Components of Business Cycles : Estimates and Implications," Post-Print hal-00279149, HAL.
    89. Miranda-Agrippino, Silvia & Hacıoglu Hoke, Sinem, 2018. "When creativity strikes: news shocks and business cycle fluctuations," LSE Research Online Documents on Economics 90381, London School of Economics and Political Science, LSE Library.
    90. Rochelle Edge & Thomas Laubach, 2004. "Learning and Shifts in Long-Run Growth," Computing in Economics and Finance 2004 123, Society for Computational Economics.
    91. Forni, Mario & Gambetti, Luca, 2011. "Testing for Sufficient Information in Structural VARs," CEPR Discussion Papers 8209, C.E.P.R. Discussion Papers.
    92. Shingo Watanabe, 2012. "The Role Of Technology And Nontechnology Shocks In Business Cycles," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(4), pages 1287-1321, November.
    93. Luca Gambetti & Evi Pappa & Fabio Canova, 2008. "The Structural Dynamics of U.S. Output and Inflation: What Explains the Changes?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2-3), pages 369-388, March.
    94. Klein, Mathias & Krause, Christopher, 2015. "Technology-Labor and Fiscal Spending Crowding-in Puzzles: The Role of Interpersonal Comparison," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113075, Verein für Socialpolitik / German Economic Association.
    95. Danthine, Jean-Pierre & Kurmann, André, 2010. "The business cycle implications of reciprocity in labor relations," Journal of Monetary Economics, Elsevier, vol. 57(7), pages 837-850, October.
    96. George-Marios Angeletos & Chen Lian, 2016. "Incomplete Information in Macroeconomics: Accommodating Frictions in Coordination," NBER Working Papers 22297, National Bureau of Economic Research, Inc.
    97. Pesavento, Elena & Rossi, Barbara, 2005. "Do Technology Shocks Drive Hours Up Or Down? A Little Evidence From An Agnostic Procedure," Macroeconomic Dynamics, Cambridge University Press, vol. 9(4), pages 478-488, September.
    98. Ippei Fujiwara & Yasuo Hirose & Mototsugu Shintani, 2011. "Can News Be a Major Source of Aggregate Fluctuations? A Bayesian DSGE Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43(1), pages 1-29, February.
    99. Patrick J. Kehoe, 2006. "How to Advance Theory with Structural VARs: Use the Sims-Cogley-Nason Approach," NBER Working Papers 12575, National Bureau of Economic Research, Inc.
    100. Yongsung Chang & Andreas Hornstein & Pierre-Daniel G. Sarte, 2006. "Understanding how employment responds to productivity shocks in a model with inventories," Working Paper 06-06, Federal Reserve Bank of Richmond.
    101. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2012. "Persistence and Cycles in US Hours Worked," CESifo Working Paper Series 3767, CESifo.
    102. Guido Lorenzoni, 2009. "A Theory of Demand Shocks," American Economic Review, American Economic Association, vol. 99(5), pages 2050-2084, December.
    103. Whelan, Karl, 2006. "New Evidence on Balanced Growth, Stochastic Trends, and Economic Fluctuations," MPRA Paper 5910, University Library of Munich, Germany.
    104. Danilo Cascaldi-Garcia, 2017. "Amplification effects of news shocks through uncertainty," 2017 Papers pca1251, Job Market Papers.
    105. Valerie A. Ramey, 2016. "Macroeconomic Shocks and Their Propagation," NBER Working Papers 21978, National Bureau of Economic Research, Inc.
    106. Marzo, Massimiliano, 2009. "Wage or price-based inflation? Alternative targets in optimal monetary policy rules," Journal of Economic Dynamics and Control, Elsevier, vol. 33(6), pages 1296-1313, June.
    107. Christian Kascha & Karel Mertens, 2006. "Business Cycle Analysis and VARMA models," Economics Working Papers ECO2006/37, European University Institute.
    108. Catherine Fuss & Ladislav Wintr, 2009. "Rigid labour compensation and flexible employment ? Firm-level evidence with regard to productivity for Belgium," Working Paper Research 159, National Bank of Belgium.
    109. Kappler, Marcus, 2006. "Panel Tests for Unit Roots in Hours Worked," ZEW Discussion Papers 06-022, ZEW - Leibniz Centre for European Economic Research.
    110. Rüdiger Bachmann & Peter Zorn, 2013. "What Drives Aggregate Investment? Evidence from German Survey Data," NBER Working Papers 18990, National Bureau of Economic Research, Inc.
    111. Athena T. Theodorou & Neville R. Francis & Michael T. Owyang, 2004. "What Explains the Varying Monetary Response to Technology SHocks in G7-Countries," Econometric Society 2004 North American Summer Meetings 444, Econometric Society.
    112. Dr. Matthias Gubler, 2014. "Carry Trade Activities: A Multivariate Threshold Model Analysis," Working Papers 2014-06, Swiss National Bank.
    113. Martin Bodenstein & Gunes Kamber & Christoph Thoenissen, 2016. "Commodity prices and labour market dynamics in small open economies," Working Papers 2016005, The University of Sheffield, Department of Economics.
    114. Martina Cecioni, 2010. "Firm entry, competitive pressures and the US inflation dynamics," Temi di discussione (Economic working papers) 773, Bank of Italy, Economic Research and International Relations Area.
    115. Alpo WILLMAN & Cristiano CANTORE & Miguel LEON-LEDESMA & Peter MCADAM, 2010. "Shocking Stuff: Technology, Hours, and Factor Substitution," EcoMod2010 259600172, EcoMod.
    116. Charles Engel & Akito Matsumoto, 2006. "Portfolio Choice in a Monetary Open-Economy DSGE Model," NBER Working Papers 12214, National Bureau of Economic Research, Inc.
    117. Rodolfo Mendez-Marcano, 2014. "Technology, Employment, and the Oil-Countries Business Cycle," Working Papers 1405, BBVA Bank, Economic Research Department.
    118. Forni, Mario & Gambetti, Luca, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," CEPR Discussion Papers 7692, C.E.P.R. Discussion Papers.
    119. Jordi Galí, 2010. "Monetary Policy and Unemployment," Working Papers 435, Barcelona School of Economics.
    120. James A. Kahn & Robert W. Rich, 2003. "Tracking the new economy: using growth theory to detect changes in trend productivity," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
    121. Forni, Mario & Gambetti, Luca, 2014. "Sufficient information in structural VARs," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 124-136.
    122. Fernandez-Corugedo Emilio, 2007. "Employment, Hours per Worker and the Business Cycle," Working Papers 2007-02, Banco de México.
    123. Kim Jung-Wook & Chun Hyunbae, 2011. "Technology Shocks and Employment: Evidence from U.S. Firm-Level Data," The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-23, September.
    124. Mikael Carlsson & Jon Smedsaas, 2007. "Technology Shocks and the Labor-Input Response: Evidence from Firm-Level Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1509-1520, September.
    125. Kim, Bae-Geun, 2010. "Identifying a permanent markup shock and its implications for macroeconomic dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 34(8), pages 1471-1491, August.
    126. Tommaso Ferraresi & Andrea Roventini & Willi Semmler, 2016. "Macroeconomic regimes, technological shocks and employment dynamics," Documents de Travail de l'OFCE 2016-19, Observatoire Francais des Conjonctures Economiques (OFCE).
    127. Canova, Fabio & Hamidi Sahneh, Mehdi, 2016. "Are small scale VARs useful for business cycle analysis? Revisiting Non-Fundamentalness," CEPR Discussion Papers 11041, C.E.P.R. Discussion Papers.
    128. Michał Gradzewicz & Krzysztof Makarski, 2009. "The Macroeconomic Effects of Losing Autonomous Monetary Policy after the Euro Adoption in Poland," NBP Working Papers 58, Narodowy Bank Polski.
    129. Ramey, Valerie A & Francis, Neville, 2002. "Is The Technology-Driven Real Business Cycle Hypothesis Dead? Shocks and Aggregate Fluctuations Revisted," University of California at San Diego, Economics Working Paper Series qt6x80k3nx, Department of Economics, UC San Diego.
    130. Ali YOUSEFI & Sadegh KHALILIAN & Mohammad Hadi HAJIAN, 2010. "The Role of Water Sector in Iranian Economy: A CGE Modeling Approach," EcoMod2010 259600173, EcoMod.
    131. Stefania Albanesi, 2019. "Changing Business Cycles: The Role of Women's Employment," Working Paper 6608, Department of Economics, University of Pittsburgh.
    132. Thomet, Jacqueline & Wegmueller, Philipp, 2021. "Technology Shocks And Hours Worked: A Cross-Country Analysis," Macroeconomic Dynamics, Cambridge University Press, vol. 25(4), pages 1020-1052, June.
    133. SedlÃ¡Ä ek, Petr, 2016. "Creative Destruction and Uncertainty," CEPR Discussion Papers 11296, C.E.P.R. Discussion Papers.
    134. Beaudry, Paul & Portier, Franck, 2003. "Stock Prices, News and Economic Fluctuations," IDEI Working Papers 158, Institut d'Économie Industrielle (IDEI), Toulouse.
    135. KWON Hyeog Ug & Jun-Hyung KO, 2013. "Do Technology Shocks Lower Hours Worked? Evidence from the Japan Industrial Productivity Database," Discussion papers 13018, Research Institute of Economy, Trade and Industry (RIETI).
    136. Francesco Furlanetto & Martin Seneca, 2007. "Rule-of-thumb consumers, productivity and hours," Working Paper 2007/05, Norges Bank.
    137. Lindé, Jesper & Smets, Frank & Wouters, Rafael, 2016. "Challenges for Central Banks´ Macro Models," Working Paper Series 323, Sveriges Riksbank (Central Bank of Sweden).
    138. Andrei Polbin & Sergey Drobyshevsky, 2014. "Developing a Dynamic Stochastic Model of General Equilibrium for the Russian Economy," Research Paper Series, Gaidar Institute for Economic Policy, issue 166P, pages 156-156.
    139. Wesselbaum, D., 2013. "Procyclical Debt as Automatic Stabilizer," Working papers 444, Banque de France.
    140. Morten O. Ravn & Saverio Simonelli, 2007. "Labor Market Dynamics and the Business Cycle: Structural Evidence for the United States," Scandinavian Journal of Economics, Wiley Blackwell, vol. 109(4), pages 743-777, December.
    141. Yongsung Chang & Jay H. Hong, 2006. "Do Technological Improvements in the Manufacturing Sector Raise or Lower Employment?," American Economic Review, American Economic Association, vol. 96(1), pages 352-368, March.
    142. V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2005. "A critique of structural VARs using real business cycle theory," Working Papers 631, Federal Reserve Bank of Minneapolis.
    143. Giancarlo Corsetti & Luca Dedola & Sylvain Leduc, 2006. "Productivity, External Balance and Exchange Rates: Evidence on the Transmission Mechanism Among G7 Countries," NBER Working Papers 12483, National Bureau of Economic Research, Inc.
    144. Wolters, Maik Hendrik, 2018. "How the baby boomers' retirement wave distorts model-based output gap estimates," IMFS Working Paper Series 121, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    145. Holly, S. & Petrella, I., 2008. "Factor demand linkages and the business cycle: Interpreting aggregate fluctuations as sectoral fluctuations," Cambridge Working Papers in Economics 0827, Faculty of Economics, University of Cambridge.
    146. Ruediger Bachmann, 2015. "What Drives Aggregate Investment?," 2015 Meeting Papers 323, Society for Economic Dynamics.
    147. Miguel Casares, 2007. "The New Keynesian Model and the Euro Area Business Cycle," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(2), pages 209-244, April.
    148. Edge, Rochelle M. & Laubach, Thomas & Williams, John C., 2007. "Learning and shifts in long-run productivity growth," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2421-2438, November.
    149. Michelle Alexopoulos, 2010. "Read All About it!! What happens following a technology shock?," Working Papers tecipa-391, University of Toronto, Department of Economics.
    150. Barbara Rossi & Elena Pesavento, 2004. "Do Technology Shocks Drive Hours Up or Down?," Econometric Society 2004 North American Summer Meetings 96, Econometric Society.
    151. Eickmeier, Sandra, 2007. "Business cycle transmission from the US to Germany--A structural factor approach," European Economic Review, Elsevier, vol. 51(3), pages 521-551, April.
    152. Liu, Zheng & Phaneuf, Louis, 2007. "Technology shocks and labor market dynamics: Some evidence and theory," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2534-2553, November.
    153. Charalampidis, Nikolaos, 2020. "On unemployment cycles in the Euro Area, 1999–2018," European Economic Review, Elsevier, vol. 121(C).
    154. Ghent, Andra, 2006. "Comparing Models of Macroeconomic Fluctuations: How Big Are the Differences?," MPRA Paper 180, University Library of Munich, Germany.
    155. Marcus Kappler, 2009. "Do hours worked contain a unit root? Evidence from panel data," Empirical Economics, Springer, vol. 36(3), pages 531-555, June.
    156. Danilo Cascaldi-Garcia, 2022. "Forecast Revisions as Instruments for News Shocks," International Finance Discussion Papers 1341, Board of Governors of the Federal Reserve System (U.S.).
    157. Luca Dedola & Stefano Neri, 2006. "What does a technology shock do? A VAR analysis with model-based sign restrictions," Temi di discussione (Economic working papers) 607, Bank of Italy, Economic Research and International Relations Area.
    158. Ulrich K. Müller & Mark W. Watson, 2008. "Testing Models of Low-Frequency Variability," Econometrica, Econometric Society, vol. 76(5), pages 979-1016, September.
    159. Stefania Albanesi, 2017. "Changing Business Cycle Dynamics in the US: The Role of Women's Employment," 2017 Meeting Papers 580, Society for Economic Dynamics.
    160. Ali, Syed Zahid & Qureshi, Irfan A., 2021. "Anticipated versus unanticipated productivity shocks and hours-worked," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 547-572.
    161. Miyamoto, Wataru & Nguyen, Thuy Lan, 2017. "Understanding the cross-country effects of U.S. technology shocks," Journal of International Economics, Elsevier, vol. 106(C), pages 143-164.
    162. Dupaigne, M. & Fève, P. & Matheron, J., 2005. "Technology Shock and Employment: Do We Really Need DSGE Models with a Fall in Hours?," Working papers 124, Banque de France.
    163. Enders, Zeno & Müller, Gernot J., 2009. "On the international transmission of technology shocks," Journal of International Economics, Elsevier, vol. 78(1), pages 45-59, June.
    164. Heutel, Garth, 2011. "How Should Environmental Policy Respond to Business Cycles? Optimal Policy under Persistent Productivity Shocks," UNCG Economics Working Papers 11-8, University of North Carolina at Greensboro, Department of Economics.
    165. Louis Phaneuf & Nooman Rebei, 2007. "Technology Shocks and Business Cycles: The Role of Processing Stages and Nominal Rigidities," Staff Working Papers 07-7, Bank of Canada.
    166. Enrico Saltari & Giuseppe Travaglini, 2007. "Sources of Productivity Slowdown in European Countries During 1990s," Discussion Papers 07/24, Department of Economics, University of York.
    167. Rujin, Svetlana, 2024. "Labor market institutions and technology-induced labor adjustment along the extensive and intensive margins," Journal of Macroeconomics, Elsevier, vol. 79(C).
    168. Marinko Škare & Saša Stjepanović, 2016. "Measuring Business Cycles: A Review," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 10(1), March.
    169. Hashmat Khan & John Tsoukalas, 2011. "Effects of Productivity Shocks on Employment: UK Evidence (revised 25 February 2013)," Carleton Economic Papers 11-05, Carleton University, Department of Economics, revised 25 Feb 2013.
    170. Sandra Martina Leitner, 2007. "The Austrian Business Cycle - A Role for Technology Shocks?," Economics working papers 2007-19, Department of Economics, Johannes Kepler University Linz, Austria.
    171. Fève, Patrick & Matheron, Julien & Sahuc, Jean-Guillaume, 2012. "A Pitfall with DSGE-Based, Estimated, Government Spending Multipliers," IDEI Working Papers 708, Institut d'Économie Industrielle (IDEI), Toulouse.
    172. Jordi Galí, 2015. "Introduction," Introductory Chapters, in: Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework and Its Applications Second edition, volume 1, Princeton University Press.
    173. Jordi Galí, 2004. "Trends in Hours, Balanced Growth, and the Role of Technology in the Business Cycle," Working Papers 187, Barcelona School of Economics.
    174. Jonas D. M. Fisher, 2002. "Technology shocks matter," Working Paper Series WP-02-14, Federal Reserve Bank of Chicago.
    175. Ríos-Rull, José-Víctor & Santaeulàlia-Llopis, Raül, 2010. "Redistributive shocks and productivity shocks," Journal of Monetary Economics, Elsevier, vol. 57(8), pages 931-948, November.
    176. Elmar Mertens, 2010. "Are spectral estimators useful for implementing long-run restrictions in SVARs?," Finance and Economics Discussion Series 2010-09, Board of Governors of the Federal Reserve System (U.S.).
    177. Lawrence J. Christiano & Jonas D. M. Fisher, 2003. "Stock Market and Investment Goods Prices: Implications for Macroeconomics," NBER Working Papers 10031, National Bureau of Economic Research, Inc.
    178. Francesco Busato, 2004. "Relative Demand Shocks," Economics Working Papers 2004-11, Department of Economics and Business Economics, Aarhus University.
    179. Francesco Busato & Alessandro Girardi & Amedeo Argentiero, 2008. "Technology and non-technology shocks in a two-sector economy," ISAE Working Papers 96, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    180. Marco Airaudo & Luca Bossi, 2017. "Consumption Externalities And Monetary Policy With Limited Asset Market Participation," Economic Inquiry, Western Economic Association International, vol. 55(1), pages 601-623, January.
    181. James Kahn, 2005. "Labor Supply and the Changing Household," 2005 Meeting Papers 759, Society for Economic Dynamics.
    182. Lim, G.C. & McNelis, Paul D., 2008. "Computational Macroeconomics for the Open Economy," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262123061, December.
    183. Susanto Basu & John Fernald & Miles Kimball, 2004. "Are Technology Improvements Contractionary?," NBER Working Papers 10592, National Bureau of Economic Research, Inc.
    184. George-Marios Angeletos & Jennifer La'O, 2010. "Noisy Business Cycles," NBER Chapters, in: NBER Macroeconomics Annual 2009, Volume 24, pages 319-378, National Bureau of Economic Research, Inc.
    185. Michelle Alexopoulos, 2010. "Management Matters," 2010 Meeting Papers 332, Society for Economic Dynamics.
    186. Dieppe, Alistair & Francis, Neville & Kindberg-Hanlon, Gene, 2021. "Technology and demand drivers of productivity dynamics in developed and emerging market economies," Working Paper Series 2533, European Central Bank.
    187. Guglielminetti, Elisa & Pouraghdam, Meradj, 2018. "Time-varying job creation and macroeconomic shocks," Labour Economics, Elsevier, vol. 50(C), pages 156-179.
    188. Bauer, Dietmar & Maynard, Alex, 2012. "Persistence-robust surplus-lag Granger causality testing," Journal of Econometrics, Elsevier, vol. 169(2), pages 293-300.
    189. Paul Beaudry & Fabrice Collard, 2006. "Gold rush fever in business cycles," 2006 Meeting Papers 8, Society for Economic Dynamics.
    190. Fabien Tripier, 2005. "Sticky prices, fair wages, and the co-movements of unemployment and labor productivity growth," Macroeconomics 0510015, University Library of Munich, Germany.
    191. Fiori, Giuseppe, 2012. "Lumpiness, capital adjustment costs and investment dynamics," Journal of Monetary Economics, Elsevier, vol. 59(4), pages 381-392.
    192. Chevillon, Guillaume & Mavroeidis, Sophocles & Zhan, Zhaoguo, 2016. "Robust inference in structural VARs with long-run restrictions," ESSEC Working Papers WP1702, ESSEC Research Center, ESSEC Business School.
    193. Patrick Fève & Alain Guay, 2009. "The Response of Hours to a Technology Shock: A Two-Step Structural VAR Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(5), pages 987-1013, August.
    194. Yongsung Chang & Andreas Hornstein & Pierre-Daniel G. Sarte, 2004. "Productivity, employment, and inventories," Working Paper 04-09, Federal Reserve Bank of Richmond.
    195. Enrico Saltari & Giuseppe Travaglini, 2008. "Il rallentamento della produttività del lavoro e la crescita dell'occupazione. Il ruolo del progresso tecnologico e della flessibilità del lavoro," Rivista italiana degli economisti, Società editrice il Mulino, issue 1, pages 3-38.
    196. Arabinda Basistha, 2009. "Hours per capita and productivity: evidence from correlated unobserved components models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(1), pages 187-206.
    197. Ko, Jun-Hyung & Kwon, Hyeog Ug, 2015. "Do technology shocks lower hours worked? – Evidence from Japanese industry level data," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 138-157.
    198. Zi-Yi Guo, 2017. "International Real Business Cycle Models with Incomplete Information," Proceedings of Economics and Finance Conferences 4507458, International Institute of Social and Economic Sciences.
    199. Francesco Nucci & Marianna Riggi, 2011. "Performance pay and shifts in macroeconomic correlations," Temi di discussione (Economic working papers) 800, Bank of Italy, Economic Research and International Relations Area.
    200. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016. "Dynamic Factor Models, Cointegration, and Error Correction Mechanisms," Finance and Economics Discussion Series 2016-018, Board of Governors of the Federal Reserve System (U.S.).
    201. Stefano Neri & Andrea Nobili, 2010. "The Transmission of US Monetary Policy to the Euro Area," International Finance, Wiley Blackwell, vol. 13(1), pages 55-78, March.
    202. Collard, Fabrice & Fève, Patrick, 2012. "Sur les Causes et les Effets en Macro-Economie : les Contributions de Sargent et Sims,Prix Nobel d'Economie 2011," IDEI Working Papers 726, Institut d'Économie Industrielle (IDEI), Toulouse.
    203. Gospodinov, Nikolay & Maynard, Alex & Pesavento, Elena, 2011. "Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(4), pages 455-467.
    204. Tomislav Globan, 2015. "Financial integration, push factors and volatility of capital flows: evidence from EU new member states," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(3), pages 643-672, August.
    205. Giuseppe Travaglini, 2010. "The dynamic effects of technological and non technological shocks in the energy sector: a case study for Italy," Working Papers 1001, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2010.
    206. Lovcha, Yuliya & Pérez Laborda, Àlex, 2013. "Hours worked - Productivity puzzle: identification in fractional integration settings," Working Papers 2072/211796, Universitat Rovira i Virgili, Department of Economics.
    207. Zheng Liu, 2009. "Sources of the Great Moderation: Shocks, Frictions, or Monetary Policy?," 2009 Meeting Papers 379, Society for Economic Dynamics.
    208. Melissa A. Schilling, 2015. "Technology Shocks, Technological Collaboration, and Innovation Outcomes," Organization Science, INFORMS, vol. 26(3), pages 668-686, June.
    209. Ryan Chahrour & Robert Ulbricht, 2023. "Robust Predictions for DSGE Models with Incomplete Information," American Economic Journal: Macroeconomics, American Economic Association, vol. 15(1), pages 173-208, January.
    210. Kashif Zaheer Malik & Syed Zahid Ali, 2020. "Is the empirical relationship between hours and productivity effected by corporate profits?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(1), pages 99-119, January.
    211. Fuentes-Albero, Cristina, 2007. "Technology Shocks, Statistical Models, and The Great Moderation," MPRA Paper 3589, University Library of Munich, Germany.
    212. Dupaigne, Martial & Feve, Patrick & Matheron, Julien, 2007. "Some analytics on bias in DSVARs," Economics Letters, Elsevier, vol. 97(1), pages 32-38, October.
    213. V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2008. "New Keynesian models: not yet useful for policy analysis," Staff Report 409, Federal Reserve Bank of Minneapolis.
    214. Nikolaos Charalampidis, 2020. "The U.S. Labor Income Share And Automation Shocks," Economic Inquiry, Western Economic Association International, vol. 58(1), pages 294-318, January.
    215. Balleer, Almut & van Rens, Thijs, 2009. "Cyclical Skill-Biased Technological Change," IZA Discussion Papers 4258, Institute of Labor Economics (IZA).
    216. Vladimir Arčabić, 2016. "Technology, employment and the business cycle in post-transition countries of the EU," Post-Communist Economies, Taylor & Francis Journals, vol. 28(4), pages 537-560, October.
    217. Hafedh Bouakez & Laurent Kemoe, 2023. "News Shocks, Business Cycles, and the Disinflation Puzzle," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(8), pages 2115-2151, December.
    218. Marianna Riggi & Massimiliano Tancioni, 2008. "Nominal v. Real Wage Rigidities in New Keynesian Models with Hiring Costs," Working Papers in Public Economics 107, Department of Economics and Law, Sapienza University of Roma.
    219. Malik, Kashif Zaheer & Ali, Syed Zahid & Khalid, Ahmed M., 2014. "Intangible capital in a real business cycle model," Economic Modelling, Elsevier, vol. 39(C), pages 32-48.
    220. Claudio, João C. & von Schweinitz, Gregor, 2020. "On the international dissemination of technology news shocks," IWH Discussion Papers 25/2020, Halle Institute for Economic Research (IWH).
    221. Lindé, J. & Smets, F. & Wouters, R., 2016. "Challenges for Central Banks’ Macro Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 2185-2262, Elsevier.
    222. Mr. Nooman Rebei, 2012. "What (Really) Accounts for the Fall in Hours After a Technology Shock?," IMF Working Papers 2012/211, International Monetary Fund.
    223. Fabio Canova & David Lopez-Salido & Claudio Michelacci, 2010. "The effects of technology shocks on hours and output: a robustness analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(5), pages 755-773.
    224. Fernald, John G., 2007. "Trend breaks, long-run restrictions, and contractionary technology improvements," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2467-2485, November.
    225. Magalhães, Matheus Albergaria de & Picchetti, Paulo, 2005. "Regress and Progress! An Econometric Characterization of the Short-Run Relationship between Productivity and Labor Input in Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 25(2), November.
    226. Nadav Ben Zeev, 2019. "Is There A Single Shock That Drives The Majority Of Business Cycle Fluctuations?," Working Papers 1906, Ben-Gurion University of the Negev, Department of Economics.
    227. Neville Francis & Michael T. Owyang & Jennifer E. Roush & Riccardo DiCecio, 2014. "A Flexible Finite-Horizon Alternative to Long-Run Restrictions with an Application to Technology Shocks," The Review of Economics and Statistics, MIT Press, vol. 96(4), pages 638-647, October.
    228. Alho, Kari & Nikula, Nuutti, 2007. "Productivity, Employment and Taxes - A SVAR Analysis of Trade-offs and Impacts," Discussion Papers 1074, The Research Institute of the Finnish Economy.
    229. Weiske, Sebastian, 2019. "Population growth, the natural rate of interest, and inflation," Working Papers 03/2019, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung.
    230. Barnichon, Regis, 2010. "Productivity and unemployment over the business cycle," Journal of Monetary Economics, Elsevier, vol. 57(8), pages 1013-1025, November.
    231. Avouyi-Dovi, S. & Matheron, J., 2005. "Technology Shocks and Monetary Policy in an Estimated Sticky Price Model of the US Economy," Working papers 123, Banque de France.
    232. James Costain & Beatriz de-Blas-Perez, 2006. "Productivity Shocks and the Business Cycle: Reconciling Recent VAR Evidence," 2006 Meeting Papers 698, Society for Economic Dynamics.
    233. Louis Phaneuf & Nooman Rebei, 2008. "Production Stages and the Transmission of Technological Progress," Cahiers de recherche 0802, CIRPEE.
    234. Christopher A. Sims, 2005. "Commentary on \\"trends in hours, balanced growth, and the role of technology in the business cycle\\"," Review, Federal Reserve Bank of St. Louis, vol. 87(Jul), pages 487-492.
    235. Zanetti, Francesco, 2007. "A non-Walrasian labor market in a monetary model of the business cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2413-2437, July.
    236. Martial Dupaigne & Patrick Feve & Julien Matheron, 2007. "Technology Shocks, Non-stationary Hours and DSVAR," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 10(2), pages 238-255, April.
    237. Neville Francis & Michael T. Owyang & Athena T. Theodorou, 2003. "The use of long-run restrictions for the identification of technology shocks," Review, Federal Reserve Bank of St. Louis, vol. 85(Nov), pages 53-66.
    238. Lawrence J. Christiano & Martin S. Eichenbaum & Robert J. Vigfusson, 2003. "How do Canadian hours worked respond to a technology shock?," International Finance Discussion Papers 774, Board of Governors of the Federal Reserve System (U.S.).
    239. Guo, Zi-Yi, 2017. "International Real Business Cycle Models with Incomplete Information," EconStor Preprints 168432, ZBW - Leibniz Information Centre for Economics.
    240. Graham, Liam & Wright, Stephen, 2010. "Information, heterogeneity and market incompleteness," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 164-174, March.
    241. Fève, Patrick & Matheron, Julien & Sahuc, Jean-Guillaume, 2007. "Optimal Monetary Policy and Technological Shocks in the Post-War US Business Cycle," IDEI Working Papers 484, Institut d'Économie Industrielle (IDEI), Toulouse.
    242. Ross Doppelt & Keith O'Hara, 2018. "Bayesian Estimation of Fractionally Integrated Vector Autoregressions and an Application to Identified Technology Shocks," 2018 Meeting Papers 1212, Society for Economic Dynamics.
    243. Sevgi Coskun, 2020. "Technology Shocks and Non-stationary Hours in Emerging Countries and DSVAR," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 14(2), pages 129-163, May.
    244. Nucci, Francesco & Riggi, Marianna, 2013. "Performance pay and changes in U.S. labor market dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2796-2813.
    245. Miyagawa, Tsutomu & Sakuragawa, Yukie & Takizawa, Miho, 2006. "The impact of technology shocks on the Japanese business cycle--An empirical analysis based on Japanese industry data," Japan and the World Economy, Elsevier, vol. 18(4), pages 401-417, December.
    246. Elmar Mertens, 2010. "Structural shocks and the comovements between output and interest rates," Finance and Economics Discussion Series 2010-21, Board of Governors of the Federal Reserve System (U.S.).
    247. de la Croix, David & de Walque, Gregory & Wouters, Rafael, 2009. "A Note On Inflation Persistence In A Fair Wage Model Of The Business Cycle," Macroeconomic Dynamics, Cambridge University Press, vol. 13(5), pages 673-684, November.
    248. Rossi, Lorenza & Mattesini, Fabrizio, 2007. "Productivity Shock and Optimal Monetary Policy in a Unionized Labor Market. Forthcoming: The Manchester School," MPRA Paper 8414, University Library of Munich, Germany, revised 2008.
    249. Beyer, Andreas & Farmer, Roger E. A., 2006. "A method to generate structural impulse-responses for measuring the effects of shocks in structural macro models," Working Paper Series 586, European Central Bank.
    250. Ossama Mikhail, 2005. "What Happens After A Technology Shock? A Bayesian Perspective," Macroeconomics 0510016, University Library of Munich, Germany.
    251. Kim, Sangho & Lim, Hyunjoon & Park, Donghyun, 2010. "Productivity and Employment in a Developing Country: Some Evidence from Korea," World Development, Elsevier, vol. 38(4), pages 514-522, April.
    252. V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2007. "Are structural VARs with long-run restrictions useful in developing business cycle theory?," Staff Report 364, Federal Reserve Bank of Minneapolis.
    253. Charles L. Evans & David A. Marshall, 2009. "Fundamental Economic Shocks and the Macroeconomy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(8), pages 1515-1555, December.
    254. Fabio Canova & David López-Salido & Claudio Michelacci, 2006. "On the robust effects of technology shocks on hours worked and output," Economics Working Papers 1013, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2008.
    255. Ibrahim ARISOY, 2012. "Structural breaks and nonlinearities in hours worked: are they really nonstationary?," Economics Bulletin, AccessEcon, vol. 32(3), pages 2670-2677.
    256. Zeno Enders & Gernot J. Mueller, 2006. "S-Curve Redux: On the International Transmission of Technology Shocks," Economics Working Papers ECO2006/36, European University Institute.
    257. Burkhard Heer & Alfred Maussner, 2006. "Business Cycle Dynamics of a New Keynesian Overlapping Generations Model with Progressive Income Taxation," CESifo Working Paper Series 1692, CESifo.
    258. Kaddour Hadri & Eiji Kurozumi & Daisuke Yamazaki, 2015. "Synergy between an Improved Covariate Unit Root Test and Cross-sectionally Dependent Panel Data Unit Root Tests," Manchester School, University of Manchester, vol. 83(6), pages 676-700, December.
    259. Alexopoulos, Michelle, 2007. "A monetary business cycle model with unemployment," Journal of Economic Dynamics and Control, Elsevier, vol. 31(12), pages 3904-3940, December.
    260. Meenagh, David & Minford, Patrick & Oyekola, Olayinka, 2015. "Oil Prices and the Dynamics of Output and Real Exchange Rate," Cardiff Economics Working Papers E2015/18, Cardiff University, Cardiff Business School, Economics Section.
    261. Riccardo DiCecio & Michael T. Owyang, 2010. "Identifying technology shocks in the frequency domain," Working Papers 2010-025, Federal Reserve Bank of St. Louis.
    262. David O Lucca, 2007. "Resuscitating Time-to-Build," 2007 Meeting Papers 909, Society for Economic Dynamics.
    263. Lindé, Jesper, 2009. "The effects of permanent technology shocks on hours: Can the RBC-model fit the VAR evidence?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 597-613, March.
    264. Alexiadis, Stilianos & Eleftheriou, Konstantinos & Nijkamp, Peter, 2013. "Technology adoption within a search model: Evidence from OECD countries," Economic Modelling, Elsevier, vol. 33(C), pages 137-148.
    265. Charles A. Fleischman & John M. Roberts, 2011. "From many series, one cycle: improved estimates of the business cycle from a multivariate unobserved components model," Finance and Economics Discussion Series 2011-46, Board of Governors of the Federal Reserve System (U.S.).
    266. Domenico Giannone & Lucrezia Reichlin, 2005. "Does information help recovering fundamental structural shocks from past observations?," Macroeconomics 0511017, University Library of Munich, Germany.
    267. Rujin, Svetlana, 2019. "What are the effects of technology shocks on international labor markets?," Ruhr Economic Papers 806, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    268. Yi Wen & Pengfei Wang, 2008. "A Defense of RBC:Understanding the Puzzling Effects of Technology Shocks," 2008 Meeting Papers 7, Society for Economic Dynamics.
    269. Yadav, Jayant, 2020. "Flight to Safety in Business cycles," MPRA Paper 104093, University Library of Munich, Germany.
    270. Antonio Acconcia & Saverio Simonelli, 2005. "Revisiting the one type permanent shocks hypothesis: Aggregate fluctuations in a multi-sector economy," CSEF Working Papers 137, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 01 Sep 2006.
    271. Shingo Watanabe, 2006. "Roles of Technology and Nontechnology Shocks in the Business Cycles," Bank of Japan Working Paper Series 06-E-11, Bank of Japan.
    272. Francis Neville, 2009. "The Source of UK Historical Economic Fluctuations: An Analysis Using Long-Run Restrictions," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-20, July.
    273. Ko, Jun-Hyung & Murase, Koichi, 2013. "Great Moderation in the Japanese economy," Japan and the World Economy, Elsevier, vol. 27(C), pages 10-24.
    274. Consolo, Agostino & Hertweck, Matthias S., 2010. "Shocks and frictions under right-to-manage wage bargaining: a transatlantic perspective," Working papers 2010/01, Faculty of Business and Economics - University of Basel.
    275. Angeletos, G.-M. & Lian, C., 2016. "Incomplete Information in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1065-1240, Elsevier.
    276. Weiske, Sebastian, 2019. "On the macroeconomic effects of immigration: A VAR analysis for the US," Working Papers 02/2019, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung.

  29. Lawrence J. Christiano & Robert J. Vigfusson, 2001. "Maximum likelihood in the frequency domain: the importance of time-to-plan," Working Papers (Old Series) 0106, Federal Reserve Bank of Cleveland.

    Cited by:

    1. Tan, Fei, 2018. "A Frequency-Domain Approach to Dynamic Macroeconomic Models," MPRA Paper 90487, University Library of Munich, Germany.
    2. Sacht, Stephen & Franke, Reiner & Jang, Tae-Seok, 2013. "Moment Matching versus Bayesian Estimation: Backward-Looking Behaviour in a New-Keynesian Baseline Model," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79694, Verein für Socialpolitik / German Economic Association.
    3. Canova, Fabio, 2014. "Bridging DSGE models and the raw data," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 1-15.
    4. Gianfreda, Angelica & Maranzano, Paolo & Parisio, Lucia & Pelagatti, Matteo, 2023. "Testing for integration and cointegration when time series are observed with noise," Economic Modelling, Elsevier, vol. 125(C).
    5. Elmar Mertens, 2005. "Puzzling Comovements between Output and Interest Rates? Multiple Shocks are the Answer," Working Papers 05.05, Swiss National Bank, Study Center Gerzensee.
    6. Lars-Alexander Kuehn, 2007. "Time-to-Build and Asset Prices," 2007 Meeting Papers 1015, Society for Economic Dynamics.
    7. Christopher J. Gust & Robert J. Vigfusson, 2009. "The power of long-run structural VARs," International Finance Discussion Papers 978, Board of Governors of the Federal Reserve System (U.S.).
    8. Patrick Francois & Huw Lloyd-Ellis, 2005. "I - Q Cycles," Working Paper 1040, Economics Department, Queen's University.
    9. Santos Monteiro, Paulo, 2008. "Testing Full Consumption Insurance in the Frequency Domain," The Warwick Economics Research Paper Series (TWERPS) 874, University of Warwick, Department of Economics.
    10. Gianluca Moretti & Giulio Nicoletti, 2010. "Estimating DSGE models with unknown data persistence," Temi di discussione (Economic working papers) 750, Bank of Italy, Economic Research and International Relations Area.
    11. Khorunzhina, Natalia, 2015. "Real business-cycle model with habits: Empirical investigation," Economic Modelling, Elsevier, vol. 46(C), pages 61-69.
    12. Luca Sala, 2015. "Dsge Models in the Frequency Domains," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 219-240, March.
    13. Jesus Fernandez-Villaverde & Juan Rubio-Ramírez & Frank Schorfheide, 2015. "Solution and Estimation Methods for DSGE Models," PIER Working Paper Archive 15-042, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 09 Dec 2015.
    14. Rots, Eyno, 2017. "Imperfect information and the house price in a general-equilibrium model," Journal of Economic Dynamics and Control, Elsevier, vol. 83(C), pages 215-231.
    15. Fujiwara, Ippei & Teranishi, Yuki, 2011. "Real exchange rate dynamics revisited: A case with financial market imperfections," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1562-1589.
    16. Candelon, B. & Cubadda, G., 2005. "Testing for parameter stability in dynamic models across frequencies," Research Memorandum 021, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    17. Lawrence J. Christiano & Robert J. Vigfusson, 2001. "Maximum likelihood in the frequency domain: the importance of time-to-plan," Working Papers (Old Series) 0106, Federal Reserve Bank of Cleveland.
    18. Lovcha, Yuliya & Pérez Laborda, Alejandro, 2016. "Frequency-Domain Estimation as an Alternative to Pre-Filtering External Cycles in Structural VAR Analysis," Working Papers 2072/290743, Universitat Rovira i Virgili, Department of Economics.
    19. Zhongjun Qu, 2015. "A Composite Likelihood Framework for Analyzing Singular DSGE Models," Boston University - Department of Economics - Working Papers Series wp2015-002, Boston University - Department of Economics.
    20. Saijo, Hikaru, 2013. "Estimating DSGE models using seasonally adjusted and unadjusted data," Journal of Econometrics, Elsevier, vol. 173(1), pages 22-35.
    21. Berger, Allen N. & Bouwman, Christa H.S., 2017. "Bank liquidity creation, monetary policy, and financial crises," Journal of Financial Stability, Elsevier, vol. 30(C), pages 139-155.
    22. Nalan Basturk & Cem Cakmakli & Pinar Ceyhan & Herman K. van Dijk, 2013. "Posterior-Predictive Evidence on US Inflation using Extended Phillips Curve Models with non-filtered Data," Koç University-TUSIAD Economic Research Forum Working Papers 1321, Koc University-TUSIAD Economic Research Forum.
    23. James M. Nason & Takashi Kano, 2004. "Business Cycle Implications of Habit Formation," Computing in Economics and Finance 2004 175, Society for Computational Economics.
    24. Ippei Fujiwara & Yuki Teranishi, 2008. "Real Exchange Rate Dynamics under Staggered Loan Contracts," IMES Discussion Paper Series 08-E-11, Institute for Monetary and Economic Studies, Bank of Japan.
    25. Chen, Zhanhui, 2016. "Time-to-produce, inventory, and asset prices," Journal of Financial Economics, Elsevier, vol. 120(2), pages 330-345.
    26. Stephen D. Oliner & Daniel E. Sichel & Jonathan N. Millar, 2012. "Time-to-plan lags for commercial construction projects," AEI Economics Working Papers 10343, American Enterprise Institute.
    27. Rhys M. Bidder, 2013. "Frequency shifting," Working Paper Series 2013-29, Federal Reserve Bank of San Francisco.
    28. Tommaso Proietti, 2007. "Band Spectral Estimation for Signal Extraction," CEIS Research Paper 104, Tor Vergata University, CEIS.
    29. Zhongjun Qu & Denis Tkachenko, 2010. "Identification and Frequency Domain QML Estimation of Linearized DSGE Models," Boston University - Department of Economics - Working Papers Series WP2010-053, Boston University - Department of Economics.
    30. Bruinshoofd, W.A. & Candelon, B. & Raabe, K., 2005. "Banking sector strength and the transmission of currency crises," Research Memorandum 022, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    31. Majid M. Al-Sadoon, 2020. "The Spectral Approach to Linear Rational Expectations Models," Papers 2007.13804, arXiv.org, revised Aug 2024.
    32. Nalan Basturk & Cem Cakmakli & Pinar Ceyhan & Herman K. van Dijk, 2013. "Posterior-Predictive Evidence on US Inflation using Extended New Keynesian Phillips Curve Models with Non-filtered Data," Tinbergen Institute Discussion Papers 13-090/III, Tinbergen Institute.
    33. Monteiro, Paulo Santos, 2008. "Testing Full Consumption Insurance in the Frequency Domain," Economic Research Papers 269910, University of Warwick - Department of Economics.
    34. Jonas D. M. Fisher, 2001. "A real explanation for heterogeneous investment dynamics," Working Paper Series WP-01-14, Federal Reserve Bank of Chicago.
    35. Elmar Mertens, 2010. "Structural shocks and the comovements between output and interest rates," Finance and Economics Discussion Series 2010-21, Board of Governors of the Federal Reserve System (U.S.).
    36. Tan, Fei, 2017. "An analytical approach to new Keynesian models under the fiscal theory," Economics Letters, Elsevier, vol. 156(C), pages 133-137.
    37. Zhongjun Qu, 2011. "Inference and Speci?cation Testing in DSGE Models with Possible Weak Identification," Boston University - Department of Economics - Working Papers Series WP2011-058, Boston University - Department of Economics.
    38. Edge, Rochelle M., 2007. "Time-to-build, time-to-plan, habit-persistence, and the liquidity effect," Journal of Monetary Economics, Elsevier, vol. 54(6), pages 1644-1669, September.
    39. Nikolay Iskrev, 2013. "On the distribution of information in the moment structure of DSGE models," 2013 Meeting Papers 339, Society for Economic Dynamics.
    40. Jung, Yong-Gook, 2013. "An inference about the length of the time-to-build period," Economic Modelling, Elsevier, vol. 33(C), pages 42-54.
    41. Kevin E. Beaubrun-Diant, 2005. "Can a Time-to-Plan Model explain the Equity Premium Puzzle," Economics Bulletin, AccessEcon, vol. 7(2), pages 1-8.

  30. Lawrence J. Christiano & Robert J. Vigfusson, 1999. "Maximum likelihood in the frequency domain: a time to build example," Working Papers (Old Series) 9901, Federal Reserve Bank of Cleveland.

    Cited by:

    1. Lars E. O. Svensson & Michael Woodford, 2004. "Implementing Optimal Policy through Inflation-Forecast Targeting," NBER Chapters, in: The Inflation-Targeting Debate, National Bureau of Economic Research, Inc.
    2. Michael Reiter & Ulrich Woitek, 1999. "Are these classical business cycles?," Economics Working Papers 398, Department of Economics and Business, Universitat Pompeu Fabra.
    3. Lars Jonung, 2005. "Proceedings of the 2004 first annual DG ECFIN research conference on “Business Cycles and Growth in Europeâ€," European Economy - Economic Papers 2008 - 2015 227, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    4. Michele Boldrin & Lawrence J. Christiano & Jonas D. M. Fisher, 1999. "Habit persistence, asset returns and the business cycles," Working Paper Series WP-99-14, Federal Reserve Bank of Chicago.
    5. Patrick Francois & Huw Lloyd-Ellis, 2004. "Investment Cycles," Macroeconomics 0405005, University Library of Munich, Germany, revised 05 May 2004.
    6. Yong-gook Jung, 2013. "A new strategy to estimate time-to-build completion rates," Economics Bulletin, AccessEcon, vol. 33(2), pages 1073-1081.

  31. Simon van Norden & Robert Vigfusson, 1996. "Regime-Switching Models, A guide to the Bank of Canada Gauss Procedures," Staff Working Papers 96-3, Bank of Canada.

    Cited by:

    1. Isabelle Weberpals, 1997. "The Liquidity Trap: Evidence from Japan," Staff Working Papers 97-4, Bank of Canada.
    2. Simon van Norden & Robert Vigfusson, 1996. "Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?," Meeting papers 9603001, University Library of Munich, Germany.
    3. Maurice J. Roche, 1999. "Irish house prices: will the roof fall in?," Economics Department Working Paper Series n890699, Department of Economics, National University of Ireland - Maynooth.
    4. Roche, Maurice J., 2001. "The rise in house prices in Dublin: bubble, fad or just fundamentals," Economic Modelling, Elsevier, vol. 18(2), pages 281-295, April.
    5. Maurice J. Roche, 1999. "Irish House Prices - Will the Roof Cave In?," The Economic and Social Review, Economic and Social Studies, vol. 30(4), pages 343-362.
    6. Ryan Lemand, 2003. "New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach," Econometrics 0307003, University Library of Munich, Germany, revised 07 Dec 2020.
    7. Peixin (Payton) Liu & Kuan Xu & Yonggan Zhao, 2011. "Market regimes, sectorial investments, and time‐varying risk premiums," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 7(2), pages 107-133, April.
    8. David Bolder, 2002. "Towards a More Complete Debt Strategy Simulation Framework," Staff Working Papers 02-13, Bank of Canada.
    9. Jeanne, Olivier & Masson, Paul, 2000. "Currency crises, sunspots and Markov-switching regimes," Journal of International Economics, Elsevier, vol. 50(2), pages 327-350, April.
    10. Ryan Lemand, 2003. "The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach," Econometrics 0307002, University Library of Munich, Germany, revised 07 Dec 2020.
    11. Ryan Lemand, 2003. "Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach," Econometrics 0307004, University Library of Munich, Germany, revised 07 Dec 2020.
    12. T. -W. Ho, 2003. "Regime-switching properties of the optimal seigniorage hypothesis: the case of Taiwan," Applied Economics, Taylor & Francis Journals, vol. 35(4), pages 485-494.
    13. Tsung-wu Ho, 2001. "Analyzing the Crowding-out Problems of Taiwan," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 26(1), pages 115-131, June.
    14. Zhang, Yue-Jun & Li, Zhao-Chen, 2021. "Forecasting the stock returns of Chinese oil companies: Can investor attention help?," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 531-555.

  32. Robert Vigfusson & Simon van Norden, 1996. "Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?," Staff Working Papers 96-11, Bank of Canada.

    Cited by:

    1. Roche, Maurice J., 2001. "The rise in house prices in Dublin: bubble, fad or just fundamentals," Economic Modelling, Elsevier, vol. 18(2), pages 281-295, April.
    2. Maurice J. Roche, 1999. "Irish House Prices - Will the Roof Cave In?," The Economic and Social Review, Economic and Social Studies, vol. 30(4), pages 343-362.
    3. Al-Anaswah, Nael & Wilfling, Bernd, 2011. "Identification of speculative bubbles using state-space models with Markov-switching," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1073-1086, May.
    4. Maurice J. Roche & Kieran McQuinn, 2000. "Speculation in agricultural land," Economics Department Working Paper Series n1010700, Department of Economics, National University of Ireland - Maynooth.
    5. Catherine Araujo Bonjean & Catherine Simonet, 2016. "Are grain markets in Niger driven by speculation?," Post-Print hal-01687417, HAL.
    6. Mc Quinn, Kieran, 2004. "A Model of the Irish Housing Sector," Research Technical Papers 1/RT/04, Central Bank of Ireland.
    7. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2012_047, July.
    8. Kim, Bong Han & Min, Hong-Ghi, 2011. "Household lending, interest rates and housing price bubbles in Korea: Regime switching model and Kalman filter approach," Economic Modelling, Elsevier, vol. 28(3), pages 1415-1423, May.
    9. Catherine Araujo Bonjean & Catherine Simonet, 2012. "Are grain markets in Niger driven by speculation?," CERDI Working papers halshs-00626409, HAL.
    10. Byron J. Idrovo-Aguirre & Francisco J. Lozano & Javier E. Contreras-Reyes, 2021. "Prosperity or Real Estate Bubble? Exuberance Probability Index of Real Housing Prices in Chile," IJFS, MDPI, vol. 9(3), pages 1-24, September.

  33. Robert Vigfusson, 1996. "Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach," Staff Working Papers 96-1, Bank of Canada.

    Cited by:

    1. Isabelle Weberpals, 1997. "The Liquidity Trap: Evidence from Japan," Staff Working Papers 97-4, Bank of Canada.
    2. Georges Prat & Remzi Uctum, 2014. "Expectation formation in the foreign exchange market: a time-varying heterogeneity approach using survey data," Working Papers 2014-235, Department of Research, Ipag Business School.
    3. Antoine Bouveret, 2010. "Economic policies, long run equilibrium and exchange rate dynamics [Politiques économiques, dynamique et équilibre de long terme du taux de change]," SciencePo Working papers Main tel-04097866, HAL.
    4. Lee, Hwa-Taek & Yoon, Gawon, 2007. "Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates," Economics Working Papers 2007-24, Christian-Albrechts-University of Kiel, Department of Economics.
    5. Manamba Epaphra & Khatibu Kazungu, 2021. "Efficiency of Tanzania's foreign exchange market," African Development Review, African Development Bank, vol. 33(2), pages 368-381, June.
    6. Klein, A. & Urbig, D. & Kirn, S., 2008. "Who Drives the Market? Estimating a Heterogeneous Agent-based Financial Market Model Using a Neural Network Approach," MPRA Paper 14433, University Library of Munich, Germany.
    7. Efstathios Panayi & Gareth Peters, 2015. "Stochastic simulation framework for the Limit Order Book using liquidity motivated agents," Papers 1501.02447, arXiv.org, revised Jan 2015.
    8. Efstathios Panayi & Gareth W. Peters, 2015. "Stochastic simulation framework for the limit order book using liquidity-motivated agents," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(02), pages 1-52.
    9. de Zwart, Gerben & Markwat, Thijs & Swinkels, Laurens & van Dijk, Dick, 2009. "The economic value of fundamental and technical information in emerging currency markets," Journal of International Money and Finance, Elsevier, vol. 28(4), pages 581-604, June.
    10. Ferry Syarifuddin & Noer Azam Achsani & Dedi Budiman Hakim & Toni Bakhtiar, 2014. "Foreign Exchange Expectations in Indonesia: Regime Switching Chartists & Fundamentalists Approach," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 17(2), pages 1-24, October.
    11. Christian Bauer & Paul De Grauwe & Stefan Reitz, 2007. "Exchange Rates Dynamics in a Target Zone – A Heterogeneous Expectations Approach," CESifo Working Paper Series 2080, CESifo.
    12. Michel Beine & Paul De Grauwe & Marianna Grimaldi, 2008. "The impact of FX Central Bank Intervention in a Noise Trading Framework," DEM Discussion Paper Series 08-15, Department of Economics at the University of Luxembourg.
    13. Uctum, Remzi, 2007. "Économétrie des modèles à changement de régimes : un essai de synthèse," L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(4), pages 447-482, décembre.
    14. Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE, 2011. "Stable Mixture GARCH Models," Swiss Finance Institute Research Paper Series 11-39, Swiss Finance Institute.
    15. John Murray & Mark Zelmer & Zahir Antia, 2000. "International Financial Crises and Flexible Exchange Rates: Some Policy Lessons from Canada," Technical Reports 88, Bank of Canada.
    16. Christopher F. Baum & Mustafa Caglayan & John T. Barkoulas, 1999. "Exchange Rate Uncertainty and Firm Profitability," Boston College Working Papers in Economics 422, Boston College Department of Economics, revised 16 Feb 2000.
    17. Xing Gao & Daniel Ladley, 2022. "Noise trading and market stability," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1283-1301, October.
    18. Gao, Xing & Ladley, Daniel, 2022. "Statistical arbitrage and risk contagion," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
    19. Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis," The Warwick Economics Research Paper Series (TWERPS) 769, University of Warwick, Department of Economics.
    20. Laurence Lasselle & Serge Svizzero & Clement Allan Tisdell, 2002. "Heterogeneous Beliefs and Instability Heterogeneous Beliefs and Instability," Working Papers hal-02164340, HAL.
    21. Caglayan, M. & Baum, C.F. & Barkoulas, J.T., 1998. "Exchange Rate Effects on the Volume and Variability of Trade Flows," Papers 1998/05, Koc University.
    22. Xue-Zhong He & Youwei Li, 2015. "The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30," Research Paper Series 364, Quantitative Finance Research Centre, University of Technology, Sydney.
    23. Amilon, Henrik, 2008. "Estimation of an adaptive stock market model with heterogeneous agents," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 342-362, March.
    24. Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2012. "The bull and bear market model of Huang and Day : Some extensions and new results," BERG Working Paper Series 89, Bamberg University, Bamberg Economic Research Group.
    25. Gehrig, Thomas & Menkhoff, Lukas, 2003. "Technical Analysis in Foreign Exchange - The Workhorse Gains Further Ground," Hannover Economic Papers (HEP) dp-278, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    26. Roberta Colavecchio & Michael Funke, 2007. "Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets," Quantitative Macroeconomics Working Papers 20708, Hamburg University, Department of Economics.
    27. Oreste Napolitano, 2009. "Is the impact of the ECB Monetary Policy on EMU stock market returns asymmetric?," STUDI ECONOMICI, FrancoAngeli Editore, vol. 0(97), pages 145-180.
    28. H. Kent Baker & Satish Kumar & Kirti Goyal & Prashant Gupta, 2023. "International journal of finance and economics: A bibliometric overview," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 9-46, January.
    29. Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.
    30. Demary Markus, 2008. "Who Does a Currency Transaction Tax Harm More: Short-Term Speculators or Long-Term Investors?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(2-3), pages 228-250, April.
    31. Ahrens, Ralf & Reitz, Stefan, 2003. "Heterogeneous Expectations in the Foreign Exchange Market Evidence from the Daily Dollar/DM Exchange Rate," CFS Working Paper Series 2003/11, Center for Financial Studies (CFS).
    32. Domenico Delli Gatti & Filippo Gusella & Giorgio Ricchiuti, 2024. "Endogenous vs Exogenous Instability: An Out-of-Sample Comparison," CESifo Working Paper Series 11082, CESifo.
    33. Caginalp, G. & Ilieva, V., 2008. "The dynamics of trader motivations in asset bubbles," Journal of Economic Behavior & Organization, Elsevier, vol. 66(3-4), pages 641-656, June.
    34. Taylor, Mark, 2003. "Is Official Exchange Rate Intervention Effective?," CEPR Discussion Papers 3758, C.E.P.R. Discussion Papers.
    35. Gunduz Caginalp & Vladimira Ilieva, 2006. "The dynamics of trader motivations in asset bubbles," Labsi Experimental Economics Laboratory University of Siena 008, University of Siena.
    36. Stefan Reitz, 2005. "Central Bank Intervention and Heterogeneous Exchange Rate Expectations: Evidence from the Daily DEM/US-Dollar Exchange Rate," Open Economies Review, Springer, vol. 16(1), pages 33-50, January.
    37. Kukacka, Jiri & Barunik, Jozef, 2017. "Estimation of financial agent-based models with simulated maximum likelihood," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 21-45.
    38. Olivier Damette & Stéphane Goutte, 2015. "Tobin tax and trading volume tightening: a reassessment," Post-Print hal-01203841, HAL.
    39. LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233, Elsevier.
    40. Reitz, Stefan, 2006. "On the predictive content of technical analysis," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 121-137, August.
    41. Ralf Ahrens & Stefan Reitz, 2000. "Chartist Prediction in the Foreign Exchange Market. Evidence from the Daily Dollar/DM Exchange Rate," Econometric Society World Congress 2000 Contributed Papers 1683, Econometric Society.
    42. Lux, Thomas, 2012. "Estimation of an agent-based model of investor sentiment formation in financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1284-1302.
    43. Afanasyev, Dmitriy O. & Fedorova, Elena & Ledyaeva, Svetlana, 2021. "Strength of words: Donald Trump's tweets, sanctions and Russia's ruble," Journal of Economic Behavior & Organization, Elsevier, vol. 184(C), pages 253-277.
    44. Saskia ter Ellen & Willem F. C. Verschoor, 2018. "Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence," Dynamic Modeling and Econometrics in Economics and Finance, in: Fredj Jawadi (ed.), Uncertainty, Expectations and Asset Price Dynamics, pages 53-79, Springer.
    45. Lee, Hsiu-Yun & Chang, Wen-Ya, 2007. "Central bank intervention and exchange rate dynamics: A rationale for the regime-switching process of exchange rates," Journal of the Japanese and International Economies, Elsevier, vol. 21(1), pages 64-77, March.
    46. Richard D. F. Harris & Murat Mazibas, 2022. "A component Markov regime‐switching autoregressive conditional range model," Bulletin of Economic Research, Wiley Blackwell, vol. 74(2), pages 650-683, April.
    47. Ferry Syarifuddin & Noer Azam Achsani & Dedi Budiman Hakim & Toni Bakhtiar, 2014. "Foreign Exchange Expectations In Indonesia: Regime Switching Chartists And Fundamentalists Approach," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 17(2), pages 197-220, October.
    48. de Jong, Eelke & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2009. "Behavioural heterogeneity and shift-contagion: Evidence from the Asian crisis," Journal of Economic Dynamics and Control, Elsevier, vol. 33(11), pages 1929-1944, November.
    49. Thomas Gehrig & Lukas Menkhoff, 2006. "Extended evidence on the use of technical analysis in foreign exchange," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(4), pages 327-338.
    50. John Murray & Simon van Norden & Robert Vigfusson, 1996. "Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real of Imagined?," Technical Reports 76, Bank of Canada.
    51. Carl Chiarella & Xue-Zhong He & Weihong Huang & Huanhuan Zheng, 2011. "Estimating Behavioural Heterogeneity Under Regime Switching," Research Paper Series 290, Quantitative Finance Research Centre, University of Technology, Sydney.
    52. Georges Prat & Remzi Uctum, 2014. "Expectation formation in the foreign exchange market: a time-varying heterogeneity approach using survey data," Working Papers hal-04141348, HAL.
    53. Gardini, Laura & Radi, Davide & Schmitt, Noemi & Sushko, Iryna & Westerhoff, Frank, 2022. "Currency manipulation and currency wars: Analyzing the dynamics of competitive central bank interventions," Journal of Economic Dynamics and Control, Elsevier, vol. 145(C).
    54. Olivier Damette & Beum-Jo Park, 2015. "Tobin Tax and Volatility: A Threshold Quantile Autoregressive Regression Framework," Review of International Economics, Wiley Blackwell, vol. 23(5), pages 996-1022, November.
    55. Dammak, Wael & Boutouria, Nahla & Ben Hamad, Salah & de Peretti, Christian, 2023. "Investor behavior in the currency option market during the COVID-19 pandemic," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
    56. de Jong, Eelke & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2010. "Heterogeneity of agents and exchange rate dynamics: Evidence from the EMS," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1652-1669, December.
    57. Carl Chiarella & Xue-Zhong He & Remco C.J. Zwinkels, 2014. "Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500," Research Paper Series 344, Quantitative Finance Research Centre, University of Technology, Sydney.
    58. Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Springer;Society for Computational Economics, vol. 26(1), pages 19-49, August.
    59. Reitz, Stefan, 2002. "Central Bank Intervention and Exchange Rate Expectations: Evidence from the Daily DM/US-Dollar Exchange Rate," Discussion Paper Series 1: Economic Studies 2002,17, Deutsche Bundesbank.
    60. Baur, Dirk G. & Glover, Kristoffer J., 2014. "Heterogeneous expectations in the gold market: Specification and estimation," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 116-133.
    61. Seddha-udom, Thanaporn, 2014. "Daily Exchange Rate Determination: Short-Term Speculation And Longerterm Expectation," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 10(1-2), January.

  34. John Murray & Simon van Norden & Robert Vigfusson, 1996. "Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real of Imagined?," Technical Reports 76, Bank of Canada.

    Cited by:

    1. Murray, John, 2000. "Why Canada needs a flexible exchange rate," The North American Journal of Economics and Finance, Elsevier, vol. 11(1), pages 41-60, August.
    2. John Murray & Mark Zelmer & Zahir Antia, 2000. "International Financial Crises and Flexible Exchange Rates: Some Policy Lessons from Canada," Technical Reports 88, Bank of Canada.
    3. David Laidler, 1999. "Canada's Exchange Rate Options," Canadian Public Policy, University of Toronto Press, vol. 25(3), pages 324-332, September.
    4. William R. White, 2000. "What have we learned from recent financial crises and policy responses?," BIS Working Papers 84, Bank for International Settlements.
    5. David Laidler, 1999. "The Exchange Rate Regime and Canada's Monetary Order," Staff Working Papers 99-7, Bank of Canada.
    6. Corrinne Ho & Robert N. McCauley, 2003. "Living with flexible exchange rates: issues and recent experience in inflation targeting emerging market economies," BIS Working Papers 130, Bank for International Settlements.
    7. Neil Beattie & Jean-François Fillion, 1999. "An Intraday Analysis of the Effectiveness of Foreign Exchange Intervention," Staff Working Papers 99-4, Bank of Canada.
    8. Jeff M. Rogers & Pierre Siklos, 2001. "Foreign Exchange Market Intervention in Two Small Open Economies: The Canadian and Australian Experience," Research Paper Series 57, Quantitative Finance Research Centre, University of Technology, Sydney.
    9. corrinne ho & robert n mccauley, 2004. "Living with flexible exchange rates:," International Finance 0411003, University Library of Munich, Germany.
    10. Binyam Solomon, 2003. "Defence specific inflation: A Canadian perspective," Defence and Peace Economics, Taylor & Francis Journals, vol. 14(1), pages 19-36.
    11. William R. White, 1999. "Evolving international financial markets: some implications for Central Banks," BIS Working Papers 66, Bank for International Settlements.

  35. Jeff Gable & Simon van Norden & Robert Vigfusson, "undated". "Analytical Derivatives for Markov Switching Models," Staff Working Papers 95-7, Bank of Canada.

    Cited by:

    1. Maddalena Cavicchioli, 2021. "Statistical inference for mixture GARCH models with financial application," Computational Statistics, Springer, vol. 36(4), pages 2615-2642, December.
    2. Ryan Lemand, 2003. "New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach," Econometrics 0307003, University Library of Munich, Germany, revised 07 Dec 2020.
    3. Simon van Norden & Robert Vigfusson, 1996. "Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures," Econometrics 9603004, University Library of Munich, Germany.
    4. Ryan Lemand, 2003. "The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach," Econometrics 0307002, University Library of Munich, Germany, revised 07 Dec 2020.
    5. John Murray & Simon van Norden & Robert Vigfusson, 1996. "Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real of Imagined?," Technical Reports 76, Bank of Canada.
    6. Yang, Minxian, 2001. "Closed-form likelihood function of Markov-switching models," Economics Letters, Elsevier, vol. 70(3), pages 319-326, March.
    7. Ryan Lemand, 2003. "Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach," Econometrics 0307004, University Library of Munich, Germany, revised 07 Dec 2020.
    8. Andrew P. Blake, 2004. "Analytic Derivatives for Linear Rational Expectations Models," Computational Economics, Springer;Society for Computational Economics, vol. 24(1), pages 77-96, August.

Articles

  1. Sylvain Leduc & Kevin Moran & Robert J. Vigfusson, 2023. "Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications," The Review of Economics and Statistics, MIT Press, vol. 105(2), pages 392-407, March.
    See citations under working paper version above.
  2. Deepa D. Datta & Benjamin K. Johannsen & Hannah Kwon & Robert J. Vigfusson, 2021. "Oil, Equities, and the Zero Lower Bound," American Economic Journal: Macroeconomics, American Economic Association, vol. 13(2), pages 214-253, April.
    See citations under working paper version above.
  3. Nida Çakır Melek & Robert J. Vigfusson, 2021. "The Evolving Link between Oil Prices and U.S. Consumer Spending," Economic Review, Federal Reserve Bank of Kansas City, vol. 0(no.1), pages 41-55, April.

    Cited by:

    1. Clerides, Sofronis & Krokida, Styliani-Iris & Lambertides, Neophytos & Tsouknidis, Dimitris, 2022. "What matters for consumer sentiment in the euro area? World crude oil price or retail gasoline price?," Energy Economics, Elsevier, vol. 105(C).
    2. Moussa, Richard K. & Ousseini, Bouba & Taha, Cyrille K., 2024. "Asymmetric effects of oil prices on inflation in Côte d’Ivoire," Resources Policy, Elsevier, vol. 90(C).

  4. Gruber, Joseph W. & Vigfusson, Robert J., 2018. "Interest Rates And The Volatility And Correlation Of Commodity Prices," Macroeconomic Dynamics, Cambridge University Press, vol. 22(3), pages 600-619, April.
    See citations under working paper version above.
  5. Deepa Dhume Datta & Robert J. Vigfusson, 2017. "Forecasting China's Role in World Oil Demand," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Cheema, Muhammad A. & Scrimgeour, Frank, 2019. "Oil prices and stock market anomalies," Energy Economics, Elsevier, vol. 83(C), pages 578-587.

  6. 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.
    See citations under working paper version above.
  7. Sylvain Leduc & Kevin Moran & Robert J. Vigfusson, 2016. "The elusive boost from cheap oil," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Knotek, Edward S. & Zaman, Saeed, 2021. "Asymmetric responses of consumer spending to energy prices: A threshold VAR approach," Energy Economics, Elsevier, vol. 95(C).

  8. Etienne Gagnon & Benjamin R. Mandel & Robert J. Vigfusson, 2014. "Missing Import Price Changes and Low Exchange Rate Pass-Through," American Economic Journal: Macroeconomics, American Economic Association, vol. 6(2), pages 156-206, April.
    See citations under working paper version above.
  9. 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, vol. 31(1), pages 78-93, January.
    See citations under working paper version above.
  10. 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, vol. 2(3), pages 419-453, November.

    Cited by:

    1. Ciola, Emanuele & Turco, Enrico & Gurgone, Andrea & Bazzana, Davide & Vergalli, Sergio & Menoncin, Francesco, 2023. "Enter the MATRIX model:a Multi-Agent model for Transition Risks with application to energy shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    2. Moshiri, Saeed & Bakhshi Moghaddam, Mohsen, 2018. "The effects of oil price shocks in a federation; The case of interregional trade and labour migration," Energy Economics, Elsevier, vol. 75(C), pages 206-221.
    3. Caggiano, Giovanni & Castelnuovo, Efrem & Damette, Olivier & Parent, Antoine & Pellegrino, Giovanni, 2017. "Liquidity traps and large-scale financial crises," Journal of Economic Dynamics and Control, Elsevier, vol. 81(C), pages 99-114.
    4. Caggiano, Giovanni & Castelnuovo, Efrem & Pellegrino, Giovanni, 2017. "Estimating the real effects of uncertainty shocks at the zero lower bound," Bank of Finland Research Discussion Papers 6/2017, Bank of Finland.
    5. Solarin, Sakiru Adebola & Shahbaz, Muhammad & Hammoudeh, Shawkat, 2019. "Sustainable economic development in China: Modelling the role of hydroelectricity consumption in a multivariate framework," Energy, Elsevier, vol. 168(C), pages 516-531.
    6. Lee, Chi-Chuan & Lee, Chien-Chiang, 2019. "Oil price shocks and Chinese banking performance: Do country risks matter?," Energy Economics, Elsevier, vol. 77(C), pages 46-53.
    7. Chen, Shiu-Sheng, 2013. "Forecasting Crude Oil Price Movements with Oil-Sensitive Stocks," MPRA Paper 49240, University Library of Munich, Germany.
    8. Kamyabi, Najmeh & Chidmi, Benaissa, 2022. "Gasoline demand in the United States: An asymmetric economic analysis," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    9. Zhang, Wenbei & Qiu, Feng, 2024. "Rockets and Feathers in the Oil and Gasoline Markets: In-Depth Analysis of Three Asymmetries," 2024 Annual Meeting, July 28-30, New Orleans, LA 344062, Agricultural and Applied Economics Association.
    10. Khandokar Istiak & Apostolos Serletis, "undated". "A Note on Leverage and the Macroeconomy," Working Papers 2014-45, Department of Economics, University of Calgary, revised 01 Apr 2014.
    11. Śmiech, Sławomir & Papież, Monika & Rubaszek, Michał & Snarska, Małgorzata, 2021. "The role of oil price uncertainty shocks on oil-exporting countries," Energy Economics, Elsevier, vol. 93(C).
    12. Benkraiem, Ramzi & Lahiani, Amine & Miloudi, Anthony & Shahbaz, Muhammad, 2018. "New insights into the US stock market reactions to energy price shocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 169-187.
    13. Emmanouil Gkiourkas, Theodore Panagiotidis, Gianluigi Pelloni, 2017. "Revisiting the Macroeconomic Effects of Labor Reallocation," LCERPA Working Papers 0102, Laurier Centre for Economic Research and Policy Analysis, revised 01 Jun 2017.
    14. Scott M. R. Mahadeo & Reinhold Heinlein & Gabriella Deborah Legrenzi, 2018. "Energy Contagion Analysis: A New Perspective with Application to a Small Petroleum Economy," CESifo Working Paper Series 7279, CESifo.
    15. Lutz Kilian, 2016. "The Impact of the Shale Oil Revolution on U.S. Oil and Gasoline Prices," CESifo Working Paper Series 5723, CESifo.
    16. Apostolos Serletis & Libo Xu, "undated". "Markov Switching Oil Price Uncertainty," Working Papers 2019-02, Department of Economics, University of Calgary, revised 02 Jan 2019.
    17. Zhang, Yanfang & Shi, Xunpeng & Qian, Xiangyan & Chen, Sai & Nie, Rui, 2021. "Macroeconomic effect of energy transition to carbon neutrality: Evidence from China's coal capacity cut policy," Energy Policy, Elsevier, vol. 155(C).
    18. Hernández Vega Marco A. & Hernández del Valle Gerardo & Guerrero Santiago, 2018. "Do heterogeneous countries respond differently to oil price shocks?," Working Papers 2018-09, Banco de México.
    19. Apostolos Serletis & Khandokar Istiak & Periklis Gogas, 2013. "Interest Rates, Leverage, and Money," Open Economies Review, Springer, vol. 24(1), pages 51-78, February.
    20. Syed Abul, Basher & Alfred A, Haug & Perry, Sadorsky, 2015. "The impact of oil shocks on exchange rates: A Markov-switching approach," MPRA Paper 68232, University Library of Munich, Germany.
    21. Ms. Era Dabla-Norris & Frederico Lima, 2018. "Macroeconomic Effects of Tax Rate and Base Changes: Evidence from Fiscal Consolidations," IMF Working Papers 2018/220, International Monetary Fund.
    22. Mehmet Balcilar & Zeynel Abidin Ozdemir, 2017. "The nexus between the oil price and its volatility in a stochastic volatility in mean model with time-varying parameters," Working Papers 15-33, Eastern Mediterranean University, Department of Economics.
    23. Benjamin Born & Francesco D’Ascanio & Gernot J. Müller & Johannes Pfeifer, 2024. "Mr. Keynes Meets the Classics: Government Spending and the Real Exchange Rate," Journal of Political Economy, University of Chicago Press, vol. 132(5), pages 1642-1683.
    24. Hamilton, James D., 2011. "Nonlinearities And The Macroeconomic Effects Of Oil Prices," Macroeconomic Dynamics, Cambridge University Press, vol. 15(S3), pages 364-378, November.
    25. D. O. Olayungbo & Chisom Umechukwu, 2022. "Asymmetric oil price shocks and the economies of selected oil-exporting African countries: a global VAR approach," Economic Change and Restructuring, Springer, vol. 55(4), pages 2137-2170, November.
    26. Benjamin Wong, 2015. "Do Inflation Expectations Propagate the Inflationary Impact of Real Oil Price Shocks?: Evidence from the Michigan Survey," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(8), pages 1673-1689, December.
    27. 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.
    28. Cheng, Zishu & Li, Mingchen & Sun, Yuying & Hong, Yongmiao & Wang, Shouyang, 2024. "Climate change and crude oil prices: An interval forecast model with interval-valued textual data," Energy Economics, Elsevier, vol. 134(C).
    29. Baek, Jungho & Yoon, Jee Hee, 2022. "Do macroeconomic activities respond differently to oil price shocks? New evidence from Indonesia," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 852-862.
    30. Troster, Victor & Shahbaz, Muhammad & Uddin, Gazi Salah, 2018. "Renewable Energy, Oil Prices, and Economic Activity: A Granger-causality in Quantiles Analysis," MPRA Paper 84194, University Library of Munich, Germany, revised 19 Jan 2018.
    31. Jihoon Lee & Hong Chong Cho, 2021. "Impact of Structural Oil Price Shock Factors on the Gasoline Market and Macroeconomy in South Korea," Sustainability, MDPI, vol. 13(4), pages 1-23, February.
    32. Boroumand, Raphaël Homayoun & Goutte, Stéphane & Porcher, Simon & Porcher, Thomas, 2016. "Asymmetric evidence of gasoline price responses in France: A Markov-switching approach," Economic Modelling, Elsevier, vol. 52(PB), pages 467-476.
    33. Dobronravova, Elizaveta (Добронравова, Елизавета), 2018. "Monetary Policy Peculiarities in Countries with Natural Resources, with Significant Changes in Terms of Trade [Особенности Монетарной Политики В Странах, Наделенных Природными Ресурсами, При Значит," Working Papers 031811, Russian Presidential Academy of National Economy and Public Administration.
    34. Kang, Wensheng & Ratti, Ronald. A. & Vespignani, Joaquin, 2017. "Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production," Working Papers 2017-02, University of Tasmania, Tasmanian School of Business and Economics.
    35. Chen, Wei & Huang, Zhuo & Yi, Yanping, 2015. "Is there a structural change in the persistence of WTI–Brent oil price spreads in the post-2010 period?," Economic Modelling, Elsevier, vol. 50(C), pages 64-71.
    36. De Santis, Roberto A. & Tornese, Tommaso, 2023. "Energy supply shocks’ nonlinearities on output and prices," Working Paper Series 2834, European Central Bank.
    37. Hussain, Syed M. & Malik, Samreen, 2016. "Asymmetric Effects of Exogenous Tax Changes," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 268-300.
    38. Chen, Peng & Miao, Xinru, 2024. "Understanding the role of China's factors in international commodity price fluctuations: A perspective of monetary-fiscal policy interaction," Economic Analysis and Policy, Elsevier, vol. 81(C), pages 1464-1483.
    39. Maheu, John M & Yang, Qiao & Song, Yong, 2018. "Oil Price Shocks and Economic Growth: The Volatility Link," MPRA Paper 83779, University Library of Munich, Germany.
    40. Pozo, Veronica F. & Bejan, Vladimir & Bachmeier, Lance, 2017. "Are Price Transmissions between U.S. Energy and Corn Markets Asymmetric?," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258232, Agricultural and Applied Economics Association.
    41. Narayan, Paresh Kumar & Sharma, Susan Sunila & Poon, Wai Ching & Westerlund, Joakim, 2014. "Do oil prices predict economic growth? New global evidence," Working Papers fe_2014_09, Deakin University, Department of Economics.
    42. Wang, Zanxin & Wei, Wei & Luo, Junwen & Calderon, Margaret, 2019. "The effects of petroleum product price regulation on macroeconomic stability in China," Energy Policy, Elsevier, vol. 132(C), pages 96-105.
    43. Jonathon Hazell & Bledi Taska, 2020. "Downward Rigidity in the Wage for New Hires," Discussion Papers 2028, Centre for Macroeconomics (CFM).
    44. Jammazi, Rania & Lahiani, Amine & Nguyen, Duc Khuong, 2015. "A wavelet-based nonlinear ARDL model for assessing the exchange rate pass-through to crude oil prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 173-187.
    45. Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2021. "Uncertainty and Monetary Policy during the Great Recession," Economics Working Papers 2021-05, Department of Economics and Business Economics, Aarhus University.
    46. Dr. 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.
    47. Dongfeng Chang & Apostolos Serletis, "undated". "Oil, Uncertainty, and Gasoline Prices," Working Papers 2015-02, Department of Economics, University of Calgary, revised 20 Jan 2015.
    48. 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.
    49. Ahmed Jamal Pirzada, 2017. "Energy Price Uncertainty and Decreasing Pass-through to Core Inflation," Bristol Economics Discussion Papers 17/681, School of Economics, University of Bristol, UK, revised 30 May 2017.
    50. Güntner, Jochen & Öhlinger, Peter, 2022. "Oil price shocks and the hedging benefit of airline investments," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
    51. Claudio Morana, 2012. "The Oil price-Macroeconomy Relationship since the Mid- 1980s: A global perspective," Working Papers 2012.28, Fondazione Eni Enrico Mattei.
    52. Efrem Castelnuovo & Giovanni Pellegrino, 2018. "Uncertainty-dependent Effects of Monetary Policy Shocks: A New Keynesian Interpretation," Melbourne Institute Working Paper Series wp2018n02, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    53. Helmut Herwartz & Helmut Luetkepohl, 2011. "Structural Vector Autoregressions with Markov Switching: Combining Conventional with Statistical Identification of Shocks," Economics Working Papers ECO2011/11, European University Institute.
    54. Kyritsis, Evangelos & Serletis, Apostolos, 2017. "Oil Prices and the Renewable Energy Sector," Discussion Papers 2017/15, Norwegian School of Economics, Department of Business and Management Science.
    55. Mohamad B. Karaki, 2018. "Asymmetries In The Responses Of Regional Job Flows To Oil Price Shocks," Economic Inquiry, Western Economic Association International, vol. 56(3), pages 1827-1845, July.
    56. Zheng, Tingguo & Gong, Lu & Ye, Shiqi, 2023. "Global energy market connectedness and inflation at risk," Energy Economics, Elsevier, vol. 126(C).
    57. Qin, Xiao & Zhou, Chunyang & Wu, Chongfeng, 2016. "Revisiting asymmetric price transmission in the U.S. oil-gasoline markets: A multiple threshold error-correction analysis," Economic Modelling, Elsevier, vol. 52(PB), pages 583-591.
    58. Charfeddine, Lanouar & Klein, Tony & Walther, Thomas, 2020. "Reviewing the oil price–GDP growth relationship: A replication study," Energy Economics, Elsevier, vol. 88(C).
    59. Huang, Dayong & Li, Jay Y. & Wu, Kai, 2021. "The effect of oil supply shocks on industry returns," Journal of Commodity Markets, Elsevier, vol. 24(C).
    60. Kilian, Lutz & Alquist, Ron & Vigfusson, Robert J., 2011. "Forecasting the Price of Oil," CEPR Discussion Papers 8388, C.E.P.R. Discussion Papers.
    61. Alam, Md Rafayet & Istiak, Khandokar, 2020. "Impact of US policy uncertainty on Mexico: Evidence from linear and nonlinear tests," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 355-366.
    62. Mario di Serio & Matteo Fragetta & Mr. Giovanni Melina, 2021. "The Impact of r-g on the Euro-Area Government Spending Multiplier," IMF Working Papers 2021/039, International Monetary Fund.
    63. Gerlach, Jeffrey R. & Mora, Nada & Uysal, Pinar, 2018. "Bank funding costs in a rising interest rate environment," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 164-186.
    64. Basel Awartani & Aktham Maghyereh & Julie Ayton, 2019. "Oil Price Changes And Industrial Output In The Mena Region: Nonlinearities And Asymmetries," Working Papers 1342, Economic Research Forum, revised 20 Sep 2019.
    65. Kilian, Lutz & Zhou, Xiaoqing, 2023. "Oil Price Shocks and Inflation," CEPR Discussion Papers 18416, C.E.P.R. Discussion Papers.
    66. Pozo, Veronica F. & Bejan, Vladimir, 2016. "Identification in Structural Models Linking Energy and Corn Commodity Markets," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 236055, Agricultural and Applied Economics Association.
    67. Giovanni Pellegrino, 2020. "Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory," Economics Working Papers 2020-05, Department of Economics and Business Economics, Aarhus University.
    68. Zhang, Chuanguo & Shang, Hongli, 2023. "Asymmetry effect of oil price shocks and the lagging effect of oil price jumps: Evidence from China's automobile markets," Energy Policy, Elsevier, vol. 172(C).
    69. Abdullah Sultan Al Shammre & Benaissa Chidmi, 2023. "Oil Price Forecasting Using FRED Data: A Comparison between Some Alternative Models," Energies, MDPI, vol. 16(11), pages 1-24, May.
    70. 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.
    71. Kapur, Muneesh & Behera, Harendra, 2012. "Monetary Transmission Mechanism in India: A Quarterly Model," MPRA Paper 70631, University Library of Munich, Germany.
    72. Victor Song & Libo Xu, 2023. "Do Monetary Policy Shocks Have Asymmetric Effects on Stock Market?," Open Economies Review, Springer, vol. 34(5), pages 1063-1078, November.
    73. Pérez, Fernando & Vega, Marco, 2015. "Asymmetric exchange rate pass-through: Evidence from Peru," Working Papers 2015-011, Banco Central de Reserva del Perú.
    74. Evgenidis, Anastasios, 2016. "Do all oil price shocks have the same impact? Evidence from the Euro Area," Economic Letters 07/EL/16, Central Bank of Ireland.
    75. Martin M. Andreasen & Giovanni Caggiano & Efrem Castelnuovo & Giovanni Pellegrino, 2021. "Why Does Risk Matter More in Recessions than in Expansions?," Economics Working Papers 2021-12, Department of Economics and Business Economics, Aarhus University.
    76. Bondia, Ripsy & Ghosh, Sajal & Kanjilal, Kakali, 2016. "International crude oil prices and the stock prices of clean energy and technology companies: Evidence from non-linear cointegration tests with unknown structural breaks," Energy, Elsevier, vol. 101(C), pages 558-565.
    77. Malikov, Emir, 2015. "Dynamic Responses to Oil Price Shocks: Conditional vs Unconditional (A)symmetry," MPRA Paper 68453, University Library of Munich, Germany.
    78. Kilian, Lutz, 2023. "How to Construct Monthly VAR Proxies Based on Daily Futures Market Surprises," CEPR Discussion Papers 18348, C.E.P.R. Discussion Papers.
    79. Wang, Yudong & Pan, Zhiyuan & Liu, Li & Wu, Chongfeng, 2019. "Oil price increases and the predictability of equity premium," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 43-58.
    80. 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.
    81. Logan T. Lewis, 2014. "Menu Costs, Trade Flows, and Exchange Rate Volatility," International Finance Discussion Papers 1102, Board of Governors of the Federal Reserve System (U.S.).
    82. Gonçalves, Sílvia & Herrera, Ana María & Kilian, Lutz & Pesavento, Elena, 2021. "Impulse response analysis for structural dynamic models with nonlinear regressors," Journal of Econometrics, Elsevier, vol. 225(1), pages 107-130.
    83. 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.
    84. Benjamin Wong, 2017. "Historical decompositions for nonlinear vector autoregression models," CAMA Working Papers 2017-62, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    85. Bachmeier, Lance, 2013. "Identification in models of gasoline pricing," Economics Letters, Elsevier, vol. 120(1), pages 71-73.
    86. Liu, Donghui & Meng, Lingjie & Wang, Yudong, 2020. "Oil price shocks and Chinese economy revisited: New evidence from SVAR model with sign restrictions," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 20-32.
    87. Hwang, Inwook & Zhu, Xiaoyang, 2024. "State-dependent oil price shocks on inflation and the efficacy of inflation targeting regime," Journal of International Money and Finance, Elsevier, vol. 144(C).
    88. Svetlana Balashova & Apostolos Serletis, 2021. "Oil Price Uncertainty, Globalization, and Total Factor Productivity: Evidence from the European Union," Energies, MDPI, vol. 14(12), pages 1-11, June.
    89. Kilian, Lutz & Vigfusson, Robert J., 2011. "Nonlinearities In The Oil Price–Output Relationship," Macroeconomic Dynamics, Cambridge University Press, vol. 15(S3), pages 337-363, November.
    90. Mikkel Plagborg‐Møller & Christian K. Wolf, 2021. "Local Projections and VARs Estimate the Same Impulse Responses," Econometrica, Econometric Society, vol. 89(2), pages 955-980, March.
    91. Valerie A. Ramey, 2016. "Macroeconomic Shocks and Their Propagation," NBER Working Papers 21978, National Bureau of Economic Research, Inc.
    92. Lutz Kilian & Xiaoqing Zhou, 2019. "Does Drawing Down the U.S. Strategic Petroleum Reserve Help Stabilize Oil Prices?," Working Papers 1916, Federal Reserve Bank of Dallas.
    93. Josué Diwambuena & Jean-Paul K. Tsasa, 2021. "The Real Effects of Uncertainty Shocks: New Evidence from Linear and Nonlinear SVAR Models," BEMPS - Bozen Economics & Management Paper Series BEMPS87, Faculty of Economics and Management at the Free University of Bozen.
    94. Salisu, Afees A. & Adekunle, Wasiu & Alimi, Wasiu A. & Emmanuel, Zachariah, 2019. "Predicting exchange rate with commodity prices: New evidence from Westerlund and Narayan (2015) estimator with structural breaks and asymmetries," Resources Policy, Elsevier, vol. 62(C), pages 33-56.
    95. Ravenna, Federico & Pellegrino, Giovanni & Züllig, Gabriel, 2020. "The Impact of Pessimistic Expectations on the Effects of COVID-19-Induced Uncertainty in the Euro Area," CEPR Discussion Papers 15321, C.E.P.R. Discussion Papers.
    96. Dongfeng Chang & Apostolos Serletis, 2014. "The Demand For Gasoline: Evidence From Household Survey Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(2), pages 291-313, March.
    97. Afees A. Salisu & Umar B. Ndako, 2017. "Modelling stock price-exchange rate nexus in OECD countries - A new perspective," Working Papers 038, Centre for Econometric and Allied Research, University of Ibadan.
    98. Łukasz Marć, 2017. "The Impact of Aid on Total Government Expenditures: New Evidence on Fungibility," Review of Development Economics, Wiley Blackwell, vol. 21(3), pages 627-663, August.
    99. Carlo Favero & Francesco Giavazzi & Jacopo Perego, 2011. "Country Heterogeneity and the International Evidence on the Effects of Fiscal Policy," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 59(4), pages 652-682, November.
    100. Abdhut Deheri & Stefy Carmel, 2024. "Do fluctuations in global crude oil prices have an asymmetric effect on oil product pricing in India?," Economic Change and Restructuring, Springer, vol. 57(1), pages 1-22, February.
    101. Romero-Meza, Rafael & Coronado, Semei & Serletis, Apostolos, 2014. "Oil and the economy: A cross bicorrelation perspective," The Journal of Economic Asymmetries, Elsevier, vol. 11(C), pages 91-95.
    102. Amélie Charles & Chew Lian Chua & Olivier Darné & Sandy Suardi, 2021. "Oil Price Shocks, Real Economic Activity and Uncertainty," Post-Print hal-03284089, HAL.
    103. Wang, Yudong & Liu, Li & Wu, Chongfeng, 2017. "Forecasting the real prices of crude oil using forecast combinations over time-varying parameter models," Energy Economics, Elsevier, vol. 66(C), pages 337-348.
    104. Oguzhan Ozcelebi & Kaya Tokmakcioglu, 2022. "Assessment of the asymmetric impacts of the geopolitical risk on oil market dynamics," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 275-289, January.
    105. Nadav Ben Zeev, 2019. "Asymmetric Business Cycles In Emerging Market Economies," Working Papers 1909, Ben-Gurion University of the Negev, Department of Economics.
    106. Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2020. "Uncertainty and Monetary Policy during Extreme Events," Economics Working Papers 2020-11, Department of Economics and Business Economics, Aarhus University.
    107. Ha Nguyen, Huong Nguyen, and Anh Pham, 2020. "Oil Price Declines Could Hurt U.S. Financial Markets: The Role of Oil Price Level," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5), pages 1-22.
    108. Charfeddine, Lanouar & Klein, Tony & Walther, Thomas, 2018. "Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?," QBS Working Paper Series 2018/03, Queen's University Belfast, Queen's Business School.
    109. Nasir, Muhammad Ali & Al-Emadi, Ahmed Abdulsalam & Shahbaz, Muhammad & Hammoudeh, Shawkat, 2019. "Importance of oil shocks and the GCC macroeconomy: A structural VAR analysis," Resources Policy, Elsevier, vol. 61(C), pages 166-179.
    110. Kilian, Lutz & Baumeister, Christiane, 2013. "Do Oil Price Increases Cause Higher Food Prices?," CEPR Discussion Papers 9689, C.E.P.R. Discussion Papers.
    111. Verbrugge, Randal & Zaman, Saeed, 2023. "The hard road to a soft landing: Evidence from a (modestly) nonlinear structural model," Energy Economics, Elsevier, vol. 123(C).
    112. Dennis Nsafoah & Apostolos Serletis, 2019. "International Monetary Policy Spillovers," Open Economies Review, Springer, vol. 30(1), pages 87-104, February.
    113. Dennis Bonam & Paul Konietschke, 2020. "Tax multipliers across the business cycle," Working Papers 699, DNB.
    114. 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, vol. 50(C), pages 108-133.
    115. Kilian, Lutz & Zhou, Xiaoqing, 2023. "Heterogeneity in the pass-through from oil to gasoline prices: A new instrument for estimating the price elasticity of gasoline demand," CFS Working Paper Series 685, Center for Financial Studies (CFS).
    116. Rajesh H. Acharya & Anver C. Sadath, 2018. "Revisiting the relationship between oil price and macro economy: Evidence from India," ECONOMICS AND POLICY OF ENERGY AND THE ENVIRONMENT, FrancoAngeli Editore, vol. 2018(1), pages 173-190.
    117. Matthias Kehrig & Nicolas Vincent, 2013. "Disentangling Labor Supply and Demand Shifts Using Spatial Wage Dispersion: The Case of Oil Price Shocks," Working Papers 13-57, Center for Economic Studies, U.S. Census Bureau.
    118. Pal, Debdatta & Mitra, Subrata Kumar, 2019. "Asymmetric oil price transmission to the purchasing power of the U.S. dollar: A multiple threshold NARDL modelling approach," Resources Policy, Elsevier, vol. 64(C).
    119. Goncalves, Silvia & Herrera, Ana Maria & Kilian, Lutz & Pesavento, Elena, 2022. "When do state-dependent local projections work?," CEPR Discussion Papers 17265, C.E.P.R. Discussion Papers.
    120. Knotek, Edward S. & Zaman, Saeed, 2021. "Asymmetric responses of consumer spending to energy prices: A threshold VAR approach," Energy Economics, Elsevier, vol. 95(C).
    121. Belke, Ansgar & Goemans, Pascal, 2019. "Uncertainty and non-linear macroeconomic effects of fiscal policy in the US: A SEIVAR-based analysis," Ruhr Economic Papers 826, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    122. Martin Fukac, 2011. "Have rising oil prices become a greater threat to price stability?," Economic Review, Federal Reserve Bank of Kansas City, vol. 96(Q IV), pages 27-53.
    123. Alfred A. Haug & Syed Abul Basher, 2019. "Exchange rates of oil exporting countries and global oil price shocks: a nonlinear smooth-transition approach," Applied Economics, Taylor & Francis Journals, vol. 51(48), pages 5282-5296, October.
    124. Nusair, Salah A. & Olson, Dennis, 2021. "Asymmetric oil price and Asian economies: A nonlinear ARDL approach," Energy, Elsevier, vol. 219(C).
    125. Ratti, Ronald A. & Vespignani, Joaquin L., 2013. "Liquidity and crude oil prices: China's influence over 1996–2011," Economic Modelling, Elsevier, vol. 33(C), pages 517-525.
    126. Alexeev, Michael & Chih, Yao-Yu, 2021. "Energy price shocks and economic growth in the US: A state-level analysis," Energy Economics, Elsevier, vol. 98(C).
    127. Engemann, Kristie & Owyang, Michael T. & Wall, Howard J., 2011. "Where is an oil shock?," MPRA Paper 31383, University Library of Munich, Germany.
    128. Pozo, Veronica F. & Bachmeier, Lance J. & Schroeder, Ted C., 2021. "Are there price asymmetries in the U.S. beef market?," Journal of Commodity Markets, Elsevier, vol. 21(C).
    129. Chen, Hongtao & Liu, Li & Wang, Yudong & Zhu, Yingming, 2016. "Oil price shocks and U.S. dollar exchange rates," Energy, Elsevier, vol. 112(C), pages 1036-1048.
    130. Nguyen, Bao H. & Okimoto, Tatsuyoshi & Tran, Trung Duc, 2022. "Uncertainty-dependent and sign-dependent effects of oil market shocks," Journal of Commodity Markets, Elsevier, vol. 26(C).
    131. Jo, Soojin & Karnizova, Lilia & Reza, Abeer, 2019. "Industry effects of oil price shocks: A re-examination," Energy Economics, Elsevier, vol. 82(C), pages 179-190.
    132. Adekoya, Oluwasegun B. & Oliyide, Johnson A. & Akinseye, Ademola B. & Ogunbowale, Gideon O., 2022. "Oil and multinational technology stocks: Predicting fear with fear at the first and higher order moments," Finance Research Letters, Elsevier, vol. 46(PA).
    133. Karaki, Mohamad B., 2017. "Nonlinearities in the response of real GDP to oil price shocks," Economics Letters, Elsevier, vol. 161(C), pages 146-148.
    134. Ozcelebi, Oguzhan, 2020. "Assessing the impacts of financial stress index of developed countries on the exchange market pressure index of emerging countries," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 288-302.
    135. Virbickaitė, Audronė & Nguyen, Hoang & Tran, Minh-Ngoc, 2023. "Bayesian predictive distributions of oil returns using mixed data sampling volatility models," Resources Policy, Elsevier, vol. 86(PA).
    136. Valadkhani, Abbas & Smyth, Russell, 2017. "How do daily changes in oil prices affect US monthly industrial output?," Energy Economics, Elsevier, vol. 67(C), pages 83-90.
    137. Ozcelebi, Oguzhan, 2019. "Assessment of asymmetric effects on exchange market pressure: Empirical evidence from emerging countries," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 498-513.
    138. Fernando J. Pérez Forero & Marco Vega, 2016. "Asymmetric Exchange Rate Pass-through: Evidence from Nonlinear SVARs," Working Papers 63, Peruvian Economic Association.
    139. Conny Olovsson, 2018. "Online Appendix to Oil prices in a general equilibrium model with precautionary demand for oil"," Online Appendices 18-15, Review of Economic Dynamics.
    140. Ghazani, Majid Mirzaee & Khosravi, Reza, 2020. "Multifractal detrended cross-correlation analysis on benchmark cryptocurrencies and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
    141. Samuel D. Barrows & Magnus Blomkvist & Nebojsa Dimic & Milos Vulanovic, 2023. "Oil Price Uncertainty and M&A Activity," The Energy Journal, , vol. 44(4), pages 1-20, July.
    142. Badeeb, Ramez Abubakr & Szulczyk, Kenneth R. & Lean, Hooi Hooi, 2021. "Asymmetries in the effect of oil rent shocks on economic growth: A sectoral analysis from the perspective of the oil curse," Resources Policy, Elsevier, vol. 74(C).
    143. Nathan Audu & Titus Obiezue, 2022. "Exchange Rate and Trade in Services Nexus in Nigeria: A Non-Linear ARDL Approach," Athens Journal of Business & Economics, Athens Institute for Education and Research (ATINER), vol. 8(1), pages 79-96, January.
    144. Brown, Stephen P.A., 2018. "New estimates of the security costs of U.S. oil consumption," Energy Policy, Elsevier, vol. 113(C), pages 171-192.
    145. James D. Hamilton, 2012. "Import Prices and Inflation," International Journal of Central Banking, International Journal of Central Banking, vol. 8(1), pages 271-279, March.
    146. Zhang, Qi & Hu, Yi & Jiao, Jianbin & Wang, Shouyang, 2023. "Is refined oil price regulation a “shock absorber” for crude oil price shocks?," Energy Policy, Elsevier, vol. 173(C).
    147. Abiad, Abdul & Qureshi, Irfan A., 2023. "The macroeconomic effects of oil price uncertainty," Energy Economics, Elsevier, vol. 125(C).
    148. Haykaz Igityan, 2019. "Asymmetric Effects of Monetary Policy in Different Phases of Armenia's Business Cycle," Working Papers 11, Central Bank of the Republic of Armenia.
    149. Ratti, Ronald A & Vespignani, Joaquin L., 2012. "Crude Oil Prices: China’s Influence Over 1996-2011," Working Papers 15728, University of Tasmania, Tasmanian School of Business and Economics, revised 17 Dec 2012.
    150. Jungho Baek & Taylor B. Young, 2021. "A new look at the crude oil prices and economic growth nexus: asymmetric evidence from Alaska," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 34(3), pages 339-344, October.
    151. Syed Ali Raza & Muhammad Shahbaz & Rafi Amir-Ud-Din & Rashid Sbia & Nida Shah, 2018. "Testing for wavelet based time-frequency relationship between oil prices and US economic activity," Post-Print hal-01982294, HAL.
    152. Deheri, Abdhut & Ramachandran, M., 2023. "Does Indian economy asymmetrically respond to oil price shocks?," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    153. Chang, Yoosoon & Kim, Chang Sik & Miller, J. Isaac & Park, Joon Y. & Park, Sungkeun, 2014. "Time-varying Long-run Income and Output Elasticities of Electricity Demand with an Application to Korea," Energy Economics, Elsevier, vol. 46(C), pages 334-347.
    154. Muhammad Zeshan & Wasim Shahid Malik & Muhammad Nasir, 2019. "Oil Price Shocks, Systematic Monetary Policy and Economic Activity," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 58(1), pages 65-81.
    155. Kandemir Kocaaslan, Ozge, 2019. "Oil price uncertainty and unemployment," Energy Economics, Elsevier, vol. 81(C), pages 577-583.
    156. Jungho Baek & Guimin Lu & Soojoong Nam, 2021. "On the asymmetric effects of changes in crude oil prices on economic growth: New evidence from China's 31 provinces," Australian Economic Papers, Wiley Blackwell, vol. 60(2), pages 328-360, June.
    157. Randal Verbrugge & Saeed Zaman, 2024. "Post‐COVID inflation dynamics: Higher for longer," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(4), pages 871-893, July.
    158. Timilsina, Govinda R., 2015. "Oil prices and the global economy: A general equilibrium analysis," Energy Economics, Elsevier, vol. 49(C), pages 669-675.
    159. Oguzhan Ozcelebi & Nurtac Yildirim, 2017. "Interrelations Between External and Internal Macroeconomic Factors: Empirical Evidence on Some OECD Countries," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 15(2), pages 147-174.
    160. Goemans, Pascal & Belke, Ansgar, 2019. "Uncertainty and non-linear macroeconomic effects of fiscal policy in the US: A SEIVAR-based analysis," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203538, Verein für Socialpolitik / German Economic Association.
    161. Balcilar, Mehmet & Ozdemir, Zeynel Abidin, 2019. "The nexus between the oil price and its volatility risk in a stochastic volatility in the mean model with time-varying parameters," Resources Policy, Elsevier, vol. 61(C), pages 572-584.
    162. Rosen Azad Chowdhury & Dilshad Jahan & Tapas Mishra & Mamata Parhi, 2024. "Monetary policy shock and impact asymmetry in bank lending channel: Evidence from the UK housing sector," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 511-530, January.
    163. Bebonchu Atems & Jason Jones, 2015. "Income inequality and economic growth: a panel VAR approach," Empirical Economics, Springer, vol. 48(4), pages 1541-1561, June.
    164. Luca Eduardo Fierro & Mario Martinoli, 2024. "An Empirical Inquiry into the Distributional Consequences of Energy Price Shocks," LEM Papers Series 2024/30, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    165. Njindan Iyke, Bernard, 2016. "Real Output and Oil Price Uncertainty: Evidence from an Oil Producing Country," MPRA Paper 71307, University Library of Munich, Germany, revised 01 Apr 2016.
    166. Serletis, Apostolos & Istiak, Khandokar, 2013. "Is the oil price–output relation asymmetric?," The Journal of Economic Asymmetries, Elsevier, vol. 10(1), pages 10-20.
    167. Bosupeng, Mpho & Naranpanawa, Athula & Su, Jen-Je, 2024. "Does exchange rate volatility affect the impact of appreciation and depreciation on the trade balance? A nonlinear bivariate approach," Economic Modelling, Elsevier, vol. 130(C).
    168. Steven Fazzari & James Morley & Irina Panovska, 2014. "State-Dependent Effects of Fiscal Policy," Discussion Papers 2012-27C, School of Economics, The University of New South Wales.
    169. Degiannakis, Stavros & Filis, George & Arora, Vipin, 2018. "Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence," MPRA Paper 96270, University Library of Munich, Germany.
    170. 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.
    171. Silvia Delrio, 2016. "Estimating the effects of global uncertainty in open economies," Working Papers 2016:19, Department of Economics, University of Venice "Ca' Foscari".
    172. Rahman, Sajjadur, 2016. "Another perspective on gasoline price responses to crude oil price changes," Energy Economics, Elsevier, vol. 55(C), pages 10-18.
    173. Rahman, Syarifah & Masih, Mansur, 2018. "The vulnerability of Islamic bank’s credit risk to oil price shocks: evidence from Malaysia based on ARDL approach," MPRA Paper 106776, University Library of Munich, Germany.
    174. Born, Benjamin & Müller, Gernot & Pfeifer, Johannes, 2014. "Does austerity pay off?," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100301, Verein für Socialpolitik / German Economic Association.
    175. Maghyereh Aktham & Sweidan Osama & Awartani Basel, 2020. "Asymmetric Responses of Economic Growth to Daily Oil Price Changes: New Global Evidence from Mixed-data Sampling Approach," Review of Economics, De Gruyter, vol. 71(2), pages 81-99, August.
    176. Aviral K. Tiwari & Claudiu T. Albulescu & Rangan Gupta, 2015. "Time-Frequency Relationship between U.S. Output with Commodity and Asset Prices," Working Papers 201523, University of Pretoria, Department of Economics.
    177. Iwaisako, Tokuo & Nakata, Hayato, 2017. "Impact of exchange rate shocks on Japanese exports: Quantitative assessment using a structural VAR model," Journal of the Japanese and International Economies, Elsevier, vol. 46(C), pages 1-16.
    178. Shahbaz, Muhammad & Sarwar, Suleman & Chen, Wei & Malik, Muhammad Nasir, 2017. "Dynamics of electricity consumption, oil price and economic growth: Global perspective," Energy Policy, Elsevier, vol. 108(C), pages 256-270.
    179. Rehman, Mobeen Ur & Vo, Xuan Vinh & McIver, Ron & Kang, Sang Hoon, 2022. "Sensitivity of US sectoral returns to energy commodities under different investment horizons and market conditions," Energy Economics, Elsevier, vol. 108(C).
    180. Rehman, Mobeen Ur, 2018. "Do oil shocks predict economic policy uncertainty?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 498(C), pages 123-136.
    181. Fretheim, Torun, 2019. "An empirical analysis of the correlation between large daily changes in grain and oil futures prices," Journal of Commodity Markets, Elsevier, vol. 14(C), pages 66-75.
    182. Elder, John & Payne, James E., 2024. "Oil price uncertainty shocks and the gender gap in U.S. unemployment," Energy Economics, Elsevier, vol. 131(C).
    183. Manera, Matteo & Serletis, Apostolos, 2018. "Introduction To Macroeconomic Dynamics Special Issue On Dynamics Of Oil And Commodities Prices," Macroeconomic Dynamics, Cambridge University Press, vol. 22(3), pages 541-545, April.
    184. Alsalman, Zeina, 2016. "Oil price uncertainty and the U.S. stock market analysis based on a GARCH-in-mean VAR model," Energy Economics, Elsevier, vol. 59(C), pages 251-260.
    185. Christopher L. Foote & Jane Sneddon Little, 2011. "Oil and the macroeconomy in a changing world: a conference summary," Public Policy Discussion Paper 11-3, Federal Reserve Bank of Boston.
    186. Adalgiso Amendola & Mario di Serio & Matteo Fragetta & Mr. Giovanni Melina, 2019. "The Euro-Area Government Spending Multiplier at the Effective Lower Bound," IMF Working Papers 2019/133, International Monetary Fund.
    187. Khandokar Istiak & Apostolos Serletis, 2017. "Monetary policy and leverage shocks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(2), pages 115-128, April.
    188. Daniel , Betty C & Hafner, Christian & Manner, Hans & Simar, Leopold, 2011. "Asymmetries in Business Cycles and the Role of Oil Production," LIDAM Discussion Papers ISBA 2011032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    189. Benjamin Born & Francesco D'Ascanio & Gernot Müller & Johannes Pfeifer, 2019. "The Worst of Both Worlds: Fiscal Policy and Fixed Exchange Rates," CESifo Working Paper Series 7922, CESifo.
    190. Pan, Zhiyuan & Wang, Qing & Wang, Yudong & Yang, Li, 2018. "Forecasting U.S. real GDP using oil prices: A time-varying parameter MIDAS model," Energy Economics, Elsevier, vol. 72(C), pages 177-187.
    191. Elstner, Steffen, 2012. "Uncertainty, heterogeneous expectation errors and economic activity: evidence from business survey data," Munich Dissertations in Economics 14037, University of Munich, Department of Economics.
    192. Vatsa, Puneet & Baek, Jungho, 2023. "Asymmetric influence of oil demand and supply shocks on meat commodities," Energy Economics, Elsevier, vol. 128(C).
    193. Baek, Jungho, 2023. "Dynamic linkage between oil shocks and economic growth: New evidence from Alaska," Resources Policy, Elsevier, vol. 85(PB).
    194. Nasir, Muhammad Ali & Naidoo, Lutchmee & Shahbaz, Muhammad & Amoo, Nii, 2018. "Implications of oil prices shocks for the major emerging economies: A comparative analysis of BRICS," Energy Economics, Elsevier, vol. 76(C), pages 76-88.
    195. Taiwo Akinlo, 2024. "Oil price and real sector in oil-importing countries: an asymmetric analysis of sub-Saharan Africa," Economic Change and Restructuring, Springer, vol. 57(1), pages 1-27, February.
    196. Omotosho, Babatunde S. & Yang, Bo, 2024. "Oil price shocks and macroeconomic dynamics in resource-rich emerging economies under regime shifts," Journal of International Money and Finance, Elsevier, vol. 144(C).
    197. David E. Allen & Michael McAleer, 2020. "A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index," Energies, MDPI, vol. 13(15), pages 1-11, August.
    198. Akif Musayev & Khatai Aliyev, 2017. "Modelling Oil-Sector Dependency of Tax Revenues in a Resource Rich Country: Evidence from Azerbaijan," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 65(3), pages 1023-1029.
    199. Diab, Sara & Karaki, Mohamad B., 2023. "Do increases in gasoline prices cause higher food prices?," Energy Economics, Elsevier, vol. 127(PB).
    200. Magnus Reif, 2018. "Macroeconomic Uncertainty and Forecasting Macroeconomic Aggregates," ifo Working Paper Series 265, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    201. Venditti, Fabrizio, 2013. "From oil to consumer energy prices: How much asymmetry along the way?," Energy Economics, Elsevier, vol. 40(C), pages 468-473.
    202. Chou, Kuo-Wei & Tseng, Yi-Heng, 2016. "Oil prices, exchange rate, and the price asymmetry in the Taiwanese retail gasoline market," Economic Modelling, Elsevier, vol. 52(PB), pages 733-741.
    203. Zhang, Dayong & Broadstock, David C. & Cao, Hong, 2014. "International oil shocks and household consumption in China," Energy Policy, Elsevier, vol. 75(C), pages 146-156.
    204. George Kapetanios & Massimiliano Marcellino & Fabrizio Venditti, 2017. "Large time-varying parameter VARs: a non-parametric approach," Temi di discussione (Economic working papers) 1122, Bank of Italy, Economic Research and International Relations Area.
    205. Ederington, Louis H. & Fernando, Chitru S. & Hoelscher, Seth A. & Lee, Thomas K. & Linn, Scott C., 2019. "A review of the evidence on the relation between crude oil prices and petroleum product prices," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 1-15.
    206. Nasim, Asma & Downing, Gareth, 2023. "Energy shocks and bank performance in the advanced economies," Energy Economics, Elsevier, vol. 118(C).
    207. Bejan, Vladimir & Parkin, William S., 2015. "Examining the effect of repressive and conciliatory government actions on terrorism activity in Israel," Economics Letters, Elsevier, vol. 133(C), pages 55-58.
    208. Nonejad, Nima, 2020. "Crude oil price changes and the United Kingdom real gross domestic product growth rate: An out-of-sample investigation," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    209. Ratti, Ronald A. & Seol, Youn & Yoon, Kyung Hwan, 2011. "Relative energy price and investment by European firms," Energy Economics, Elsevier, vol. 33(5), pages 721-731, September.
    210. Omoke Philip Chimobi & Uche Emmanuel, 2020. "Asymmetric impact of oil price shocks on selected macroeconomic variables: NARDL exposition," ECONOMICS AND POLICY OF ENERGY AND THE ENVIRONMENT, FrancoAngeli Editore, vol. 0(1), pages 171-189.
    211. Kang, Wensheng & de Gracia, Fernando Perez & Ratti, Ronald A., 2019. "The asymmetric response of gasoline prices to oil price shocks and policy uncertainty," Energy Economics, Elsevier, vol. 77(C), pages 66-79.
    212. Pal, Debdatta & Mitra, Subrata Kumar, 2015. "Asymmetric impact of crude price on oil product pricing in the United States: An application of multiple threshold nonlinear autoregressive distributed lag model," Economic Modelling, Elsevier, vol. 51(C), pages 436-443.
    213. Łukasz Marć, 2015. "The impact of aid on total government expenditures: New evidence on fungibility," WIDER Working Paper Series wp-2015-010, World Institute for Development Economic Research (UNU-WIDER).
    214. Erkal Ersoy, 2020. "The Crude Oil Market and US Economic Activity: Revisiting the Empirical Evidence," CEERP Working Paper Series 009, Centre for Energy Economics Research and Policy, Heriot-Watt University.
    215. Kırca, Mustafa & Canbay, Şerif & Pirali, Kerem, 2020. "Is the relationship between oil-gas prices index and economic growth in Turkey permanent?," Resources Policy, Elsevier, vol. 69(C).
    216. Agboola, Emmanuel & Chowdhury, Rosen & Yang, Bo, 2024. "Oil price fluctuations and their impact on oil-exporting emerging economies," Economic Modelling, Elsevier, vol. 132(C).
    217. Elder, John, 2021. "Canadian industry level production and energy prices," Energy Economics, Elsevier, vol. 99(C).
    218. Cheng, Xian & Wu, Peng & Liao, Stephen Shaoyi & Wang, Xuelian, 2023. "An integrated model for crude oil forecasting: Causality assessment and technical efficiency," Energy Economics, Elsevier, vol. 117(C).
    219. Bunce, Alan & Carrillo-Maldonado, Paul, 2023. "Asymmetric effect of the oil price in the ecuadorian economy," Energy Economics, Elsevier, vol. 124(C).
    220. Kilian, Lutz & Vigfusson, Robert J., 2012. "Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries," CEPR Discussion Papers 8980, C.E.P.R. Discussion Papers.
    221. Amélie Charles & Chew Lian Chua & Olivier Darné & Sandy Suardi, 2020. "On the pernicious effects of oil price uncertainty on US real economic activities," Empirical Economics, Springer, vol. 59(6), pages 2689-2715, December.
    222. Li, Zehao, 2022. "Financial intermediary leverage and monetary policy transmission," European Economic Review, Elsevier, vol. 144(C).
    223. Nunes, Inês Carrilho & Catalão-Lopes, Margarida, 2020. "The impact of oil shocks on innovation for alternative sources of energy: Is there an asymmetric response when oil prices go up or down?," Journal of Commodity Markets, Elsevier, vol. 19(C).
    224. Mamdouh Abdelmoula M. Abdelsalam, 2018. "Asymmetric Effect of Monetary Policy in Emerging Countries: The Case of Egypt," Applied Economics and Finance, Redfame publishing, vol. 5(4), pages 1-11, July.
    225. Lucidi, Francesco Simone & Pisa, Marta Maria & Tancioni, Massimiliano, 2024. "The effects of temperature shocks on energy prices and inflation in the Euro Area," European Economic Review, Elsevier, vol. 166(C).
    226. Maghyereh, Aktham & Abdoh, Hussein, 2021. "The impact of extreme structural oil-price shocks on clean energy and oil stocks," Energy, Elsevier, vol. 225(C).
    227. 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.
    228. Uğur Akkoç & Anıl Akçağlayan & Gamze Kargın Akkoç, 2021. "The impacts of oil price shocks in Turkey: sectoral evidence from the FAVAR approach," Economic Change and Restructuring, Springer, vol. 54(4), pages 1147-1171, November.
    229. Thomas Theobald & Peter Hohlfeld, 2017. "Why have the recent oil price declines not stimulated global economic growth?," IMK Working Paper 185-2017, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    230. Yoosoon Chang & Chang Sik Kim & J. Isaac Miller & Joon Y. Park & Sungkeun Park, 2014. "Time-varying Long-run Income and Output Elasticities of Electricity Demand," Working Papers 1409, Department of Economics, University of Missouri.
    231. Yeliz Yalcin & Cengiz Arikan & Furkan Emirmahmutoglu, 2015. "Determining the asymmetric effects of oil price changes on macroeconomic variables: a case study of Turkey," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(4), pages 737-746, November.
    232. Byeong-il, Ahn & Lee, Hyunok, 2015. "Vertical Price Transmission of Perishable Products: The Case of Fresh Fruits in the Western United States," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 40(3), pages 1-20, September.
    233. Steven Fazzari & James Morley & Irina Panovska, 2013. "State-Dependent Effects of Fiscal Policy," Discussion Papers 2012-27B, School of Economics, The University of New South Wales.
    234. Libo Yin, 2016. "Does oil price respond to macroeconomic uncertainty? New evidence," Empirical Economics, Springer, vol. 51(3), pages 921-938, November.
    235. Bachmeier, Lance J. & Nadimi, Soheil R., 2018. "Oil shocks and stock return volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 1-9.
    236. Herrera, Ana María & Karaki, Mohamad B., 2015. "The effects of oil price shocks on job reallocation," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 95-113.
    237. Mohamad B. Karaki, 2020. "Monetary shocks and job flows: evidence from disaggregated data," Empirical Economics, Springer, vol. 58(6), pages 2911-2936, June.
    238. Jung Hun HAN & Byeong-Il AHN, 2015. "Multiple-regime price transmission between wheat and wheat flour prices in Korea," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 61(12), pages 552-563.
    239. James D. Hamilton, 2013. "Oil prices, exhaustible resources and economic growth," Chapters, in: Roger Fouquet (ed.), Handbook on Energy and Climate Change, chapter 1, pages 29-63, Edward Elgar Publishing.
    240. Francesca Rondina, 2017. "The Impact of Oil Price Changes in a New Keynesian Model of the U.S. Economy," Working Papers 1709E, University of Ottawa, Department of Economics.
    241. Ahmed, M. Iqbal & Farah, Quazi Fidia & Kishan, Ruby P., 2023. "Oil price uncertainty and unemployment dynamics: Nonlinearities matter," Energy Economics, Elsevier, vol. 125(C).
    242. Atems, Bebonchu & Mette, Jehu & Lin, Guoyu & Madraki, Golshan, 2023. "Estimating and forecasting the impact of nonrenewable energy prices on US renewable energy consumption," Energy Policy, Elsevier, vol. 173(C).
    243. Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    244. Dabla-Norris, Era & Lima, Frederico, 2023. "Macroeconomic effects of tax rate and base changes: Evidence from fiscal consolidations," European Economic Review, Elsevier, vol. 153(C).
    245. Magnus Reif, 2020. "Macroeconomics, Nonlinearities, and the Business Cycle," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 87.
    246. Xue, Wenjun & Zhang, Liwen, 2019. "Revisiting the asymmetric effects of bank credit on the business cycle: A panel quantile regression approach," The Journal of Economic Asymmetries, Elsevier, vol. 20(C).
    247. Valadkhani, Abbas & Smyth, Russell & Vahid, Farshid, 2015. "Asymmetric pricing of diesel at its source," Energy Economics, Elsevier, vol. 52(PA), pages 183-194.
    248. Juan Manuel Candelo-Viafara & Andrés Oviedo-Gómez, 2021. "La tasa de cambio y sus impactos en los agregados económicos colombianos: una aproximación FAVAR," Revista Facultad de Ciencias Económicas, Universidad Militar Nueva Granada, vol. 29(2), pages 121-142, October.
    249. Chen, Yufeng & Qu, Fang, 2019. "Leverage effect and dynamics correlation between international crude oil and China’s precious metals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    250. Gong, Xu & Lin, Boqiang, 2018. "Time-varying effects of oil supply and demand shocks on China's macro-economy," Energy, Elsevier, vol. 149(C), pages 424-437.
    251. Raúl J. Crespo & José A. Zambrano, 2018. "Macroeconomic Impacts of Oil Price Shocks in Venezuela," Bristol Economics Discussion Papers 18/703, School of Economics, University of Bristol, UK.
    252. Mr. Tao Wu & Mr. Michele Cavallo, 2012. "Measuring Oil-Price Shocks Using Market-Based Information," IMF Working Papers 2012/019, International Monetary Fund.
    253. Apostolos Serletis & Khandokar Istiak, "undated". "Are the Responses of the U.S. Economy Asymmetric to Positive and Negative Money Supply Shocks?," Working Papers 2015-17, Department of Economics, University of Calgary, revised 10 Aug 2015.
    254. Soojin Jo, 2014. "The Effects of Oil Price Uncertainty on Global Real Economic Activity," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(6), pages 1113-1135, September.
    255. Ralf Brüggemann & Markus Glaser & Stefan Schaarschmidt & Sandra Stankiewicz, 2014. "The Stock Return - Trading Volume Relationship in European Countries: Evidence from Asymmetric Impulse Responses," Working Paper Series of the Department of Economics, University of Konstanz 2014-24, Department of Economics, University of Konstanz.
    256. Herrera, Ana María & Karaki, Mohamad B. & Rangaraju, Sandeep Kumar, 2019. "Oil price shocks and U.S. economic activity," Energy Policy, Elsevier, vol. 129(C), pages 89-99.
    257. Dai, Zhifeng & Zhou, Huiting & Kang, Jie & Wen, Fenghua, 2021. "The skewness of oil price returns and equity premium predictability," Energy Economics, Elsevier, vol. 94(C).
    258. Oguzhan Ozcelebi & Kaya Tokmakcioglu & Emre Su, 2021. "Revisiting the asymmetric impacts of the exchange market pressure on the inflation, interest rate and foreign trade balance in Eastern Europe," Empirical Economics, Springer, vol. 61(5), pages 2517-2538, November.
    259. Koirala, Niraj Prasad & Ma, Xiaohan, 2020. "Oil price uncertainty and U.S. employment growth," Energy Economics, Elsevier, vol. 91(C).
    260. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2022. "Geopolitical risk trends and crude oil price predictability," Energy, Elsevier, vol. 258(C).
    261. Kilian, Lutz, 2011. "Structural Vector Autoregressions," CEPR Discussion Papers 8515, C.E.P.R. Discussion Papers.
    262. Moghaddam, Mohsen Bakhshi & Lloyd-Ellis, Huw, 2022. "Heterogeneous effects of oil price fluctuations: Evidence from a nonparametric panel data model in Canada," Energy Economics, Elsevier, vol. 110(C).
    263. Valcarcel, Victor J. & Wohar, Mark E., 2013. "Changes in the oil price-inflation pass-through," Journal of Economics and Business, Elsevier, vol. 68(C), pages 24-42.
    264. Logan T. Lewis, 2017. "How Important Are Trade Prices for Trade Flows?," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 65(3), pages 471-497, August.
    265. Nonejad, Nima, 2022. "Equity premium prediction using the price of crude oil: Uncovering the nonlinear predictive impact," Energy Economics, Elsevier, vol. 115(C).
    266. Nicholas Apergis & Alper Aslan & Goodness C. Aye & Rangan Gupta, 2014. "The Asymmetric Effect of Oil Price on Growth across US States," Working Papers 201459, University of Pretoria, Department of Economics.
    267. Steven Fazzari & James Morley & Irina Panovska, 2013. "State-Dependent Effects of Fiscal Policy," Discussion Papers 2012-27A, School of Economics, The University of New South Wales.
    268. Zulfigarov, Farid & Neuenkirch, Matthias, 2020. "The impact of oil price changes on selected macroeconomic indicators in Azerbaijan," Economic Systems, Elsevier, vol. 44(4).
    269. Gürkan Bozma & Murat Akadg & Rahman Aydin, 2021. "Dynamic Relationships between Oil Price, Inflation and Economic Growth: A VARMA, GARCH-in-mean, asymmetric BEKK Model for Turkey," Economics Bulletin, AccessEcon, vol. 41(3), pages 1266-1281.
    270. Herrera, Ana María & Karaki, Mohamad B. & Rangaraju, Sandeep Kumar, 2017. "Where do jobs go when oil prices drop?," Energy Economics, Elsevier, vol. 64(C), pages 469-482.
    271. Quelhas, João, 2022. "Monetary Policy Uncertainty and its impact on the real economy: Empirical Evidence from the Euro area," MPRA Paper 113621, University Library of Munich, Germany, revised May 2022.
    272. Balke, Nathan S. & Brown, Stephen P.A., 2018. "Oil supply shocks and the U.S. economy: An estimated DSGE model," Energy Policy, Elsevier, vol. 116(C), pages 357-372.
    273. Berk, Istemi & Yetkiner, Hakan, 2014. "Energy prices and economic growth in the long run: Theory and evidence," Renewable and Sustainable Energy Reviews, Elsevier, vol. 36(C), pages 228-235.
    274. Naser, Hanan, 2016. "Estimating and forecasting the real prices of crude oil: A data rich model using a dynamic model averaging (DMA) approach," Energy Economics, Elsevier, vol. 56(C), pages 75-87.
    275. Giovanni Ballarin, 2023. "Impulse Response Analysis of Structural Nonlinear Time Series Models," Papers 2305.19089, arXiv.org, revised Jun 2024.
    276. Dbouk, Wassim & Jamali, Ibrahim, 2018. "Predicting daily oil prices: Linear and non-linear models," Research in International Business and Finance, Elsevier, vol. 46(C), pages 149-165.
    277. Balashova, Svetlana & Serletis, Apostolos, 2020. "Oil prices shocks and the Russian economy," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    278. Nektarios A. Michail & Christos S. Savva, 2021. "Electricity consumption and economic activity in Cyprus using an asymmetric cointegration technique," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 15(2), pages 26-41, December.
    279. Radosław Puka & Bartosz Łamasz & Marek Michalski, 2021. "Effectiveness of Artificial Neural Networks in Hedging against WTI Crude Oil Price Risk," Energies, MDPI, vol. 14(11), pages 1-26, June.
    280. Chen, Peng & Miao, Xinru & Tee, Kai-Hong, 2023. "Do gold prices respond more to uncertainty shocks at the zero lower bound?," Resources Policy, Elsevier, vol. 86(PA).
    281. Nadav Ben Zeev, 2019. "Identification of Sign-Dependency of Impulse Responses," Working Papers 1907, Ben-Gurion University of the Negev, Department of Economics.
    282. Kaya Tokmakcioglu & Oguzhan Ozcelebi & Ali Sezin Ozdemir, 2019. "The role of asymmetry in the interplay between internal and external factors: Empirical evidence from the US, Brazil, Canada and Mexico," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 37(1), pages 55-75.
    283. Adekoya, Oluwasegun B. & Ogunbowale, Gideon O. & Akinseye, Ademola B. & Oduyemi, Gabriel O., 2021. "Improving the predictability of stock returns with global financial cycle and oil price in oil-exporting African countries," International Economics, Elsevier, vol. 168(C), pages 166-181.
    284. Zanxin Wang & Rui Wang & Yaqing Liu, 2024. "The macroeconomic effect of petroleum product price regulation in alleviating the crude oil price volatility," Economic Change and Restructuring, Springer, vol. 57(2), pages 1-22, April.
    285. Aastveit, Knut Are, 2014. "Oil price shocks in a data-rich environment," Energy Economics, Elsevier, vol. 45(C), pages 268-279.
    286. Scott M. R. Mahadeo & Reinhold Heinlein & Gabriella Deborah Legrenzi, 2019. "Tracing the Genesis of Contagion in the Oil-Finance Nexus," CESifo Working Paper Series 7925, CESifo.
    287. Rahman, Sajjadur, 2022. "The asymmetric effects of oil price shocks on the U.S. stock market," Energy Economics, Elsevier, vol. 105(C).
    288. Abdhut Deheri & Stefy Carmel, 2024. "Are the Responses of Oil Products Prices Asymmetrical to Global Crude Oil Price Shocks? Evidence from India," Working Papers 2024-265, Madras School of Economics,Chennai,India.

  11. Kilian, Lutz & Vigfusson, Robert J., 2011. "Nonlinearities In The Oil Price–Output Relationship," Macroeconomic Dynamics, Cambridge University Press, vol. 15(S3), pages 337-363, November.
    See citations under working paper version above.
  12. Gust, Christopher & Leduc, Sylvain & Vigfusson, Robert, 2010. "Trade integration, competition, and the decline in exchange-rate pass-through," Journal of Monetary Economics, Elsevier, vol. 57(3), pages 309-324, April.
    See citations under working paper version above.
  13. Robert J. Vigfusson & Nathan Sheets & Joseph Gagnon, 2009. "Exchange Rate Passthrough to Export Prices: Assessing Cross‐Country Evidence," Review of International Economics, Wiley Blackwell, vol. 17(1), pages 17-33, February.

    Cited by:

    1. Chi Wei Su & Heng-Guo Zhang & Hsu-Ling Chang & Rui Nian, 2016. "Is exchange rate stability beneficial for stabilizing consumer prices in China?," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 25(6), pages 857-879, September.
    2. Auer, Raphael, 2015. "Exchange Rate Pass-Through, Domestic Competition, and Inflation: Evidence from the 2005/08 Revaluation of the Renminbi," CEPR Discussion Papers 10344, C.E.P.R. Discussion Papers.
    3. Bouvet, Florence & Ma, Alyson C. & Van Assche, Ari, 2017. "Tariff and exchange rate pass-through for Chinese exports: A firm-level analysis across customs regimes," China Economic Review, Elsevier, vol. 46(C), pages 87-96.
    4. Thierry Mayer & Walter Steingress, 2019. "Estimating the Effect of Exchange Rate Changes on Total Exports," Staff Working Papers 19-17, Bank of Canada.
    5. Yushi Yoshida, 2009. "Market Share and Exchange Rate Pass-through:Competition among Exporters of the Same Nationality," Discussion Papers 37, Kyushu Sangyo University, Faculty of Economics.
    6. Strasser, Georg, 2013. "Exchange rate pass-through and credit constraints," Journal of Monetary Economics, Elsevier, vol. 60(1), pages 25-38.
    7. Gust, Christopher & Leduc, Sylvain & Vigfusson, Robert, 2010. "Trade integration, competition, and the decline in exchange-rate pass-through," Journal of Monetary Economics, Elsevier, vol. 57(3), pages 309-324, April.
    8. Mohamed Tidjane Kinda & Hamidou Barry, 2021. "Exchange rate pass‐through to import prices: Evidence from a heterogeneous panel of West African countries," Review of Development Economics, Wiley Blackwell, vol. 25(4), pages 2454-2472, November.
    9. Md Deluair Hossen, 2023. "Exchange Rate Pass-Through and Data Frequency: Firm-Level Evidence from Bangladesh," Papers 2303.04101, arXiv.org.
    10. Rabe, Collin & Waddle, Andrea, 2020. "The evolution of purchasing power parity," Journal of International Money and Finance, Elsevier, vol. 109(C).
    11. Georgiadis, Georgios & Gräb, Johannes & Khalil, Makram, 2019. "Global value chain participation and exchange rate pass-through," Working Paper Series 2327, European Central Bank.
    12. Konopczak, Karolina, 2019. "Can inaction account for the incomplete exchangerate pass-through? Evidence from threshold ARDL model," MF Working Papers 37, Ministry of Finance in Poland.

  14. Robert Vigfusson, 2008. "How Does the Border Affect Productivity? Evidence from American and Canadian Manufacturing Industries," The Review of Economics and Statistics, MIT Press, vol. 90(1), pages 49-64, February.
    See citations under working paper version above.
  15. Lawrence J. Christiano & Martin Eichenbaum & Robert Vigfusson, 2006. "Alternative Procedures for Estimating Vector Autoregressions Identified with Long-Run Restrictions," Journal of the European Economic Association, MIT Press, vol. 4(2-3), pages 475-483, 04-05.
    See citations under working paper version above.
  16. Lawrence J. Christiano & Martin Eichenbaum & Robert Vigfusson, 2004. "The Response of Hours to a Technology Shock: Evidence Based on Direct Measures of Technology," Journal of the European Economic Association, MIT Press, vol. 2(2-3), pages 381-395, 04/05.
    See citations under working paper version above.
  17. Christiano, Lawrence J. & Vigfusson, Robert J., 2003. "Maximum likelihood in the frequency domain: the importance of time-to-plan," Journal of Monetary Economics, Elsevier, vol. 50(4), pages 789-815, May.
    See citations under working paper version above.
  18. van Norden Simon & Vigfusson Robert, 1998. "Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(1), pages 1-24, April.

    Cited by:

    1. Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2011. "Testing for Multiple Bubbles," Working Papers 09-2011, Singapore Management University, School of Economics.
    2. Ma, Richie Ruchuan & Xiong, Tao, 2021. "Price explosiveness in nonferrous metal futures markets," Economic Modelling, Elsevier, vol. 94(C), pages 75-90.
    3. Refet Gurkaynak, 2005. "Econometric Tests of Asset Price Bubbles: Taking Stock," Finance 0504008, University Library of Munich, Germany.
    4. Maximilian Brauers & Matthias Thomas & Joachim Zietz, 2014. "Are There Rational Bubbles in REITs? New Evidence from a Complex Systems Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 49(2), pages 165-184, August.
    5. McMillan, David G., 2009. "Revisiting dividend yield dynamics and returns predictability: Evidence from a time-varying ESTR model," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 870-883, August.
    6. Esteban Gómez & Sandra Rozo, 2008. "Beyond Bubbles: The Role of Asset Prices in Early-Warning Indicators," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 26(56), pages 114-148, June.
    7. Shuping Shi & Peter C.B. Phillips, 2020. "Diagnosing Housing Fever with an Econometric Thermometer," Cowles Foundation Discussion Papers 2248, Cowles Foundation for Research in Economics, Yale University.
    8. Renne, Jean-Paul, 2013. "Regime switching in bond yield and spread dynamics," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/13651 edited by Monfort, Alain.
    9. Psaradakis, Zacharias & Sola, Martin & Spagnolo, Fabio, 2001. "A simple procedure for detecting periodically collapsing rational bubbles," Economics Letters, Elsevier, vol. 72(3), pages 317-323, September.
    10. David G. McMillan, 2010. "Present Value Model, Bubbles and Returns Predictability: Sector‐Level Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5‐6), pages 668-686, June.
    11. McMillan, David G., 2009. "Are share prices still too high?," Research in International Business and Finance, Elsevier, vol. 23(3), pages 223-232, September.
    12. McMillan, David G., 2007. "Bubbles in the dividend-price ratio? Evidence from an asymmetric exponential smooth-transition model," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 787-804, March.
    13. Uribe, Jorge & Fernández, Julián, 2014. "Burbujas financieras y comportamiento reciente de los mercados de acciones en América Latina," Revista Lecturas de Economía, Universidad de Antioquia, CIE, issue 81, pages 57-90, April.
    14. Hess, Martin K., 2003. "What drives Markov regime-switching behavior of stock markets? The Swiss case," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 527-543.
    15. Ghysels, Eric & Plazzi, Alberto & Valkanov, Rossen & Torous, Walter, 2013. "Forecasting Real Estate Prices," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 509-580, Elsevier.
    16. Harvey, David I. & Leybourne, Stephen J. & Sollis, Robert, 2017. "Improving the accuracy of asset price bubble start and end date estimators," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 121-138.
    17. Al-Anaswah, Nael & Wilfling, Bernd, 2011. "Identification of speculative bubbles using state-space models with Markov-switching," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1073-1086, May.
    18. Leone, Vitor & de Medeiros, Otavio Ribeiro, 2015. "Signalling the Dotcom bubble: A multiple changes in persistence approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 77-86.
    19. Peter C. B. Phillips & Shuping Shi & Jun Yu, 2015. "Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse In The S&P 500," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(4), pages 1043-1078, November.
    20. Nunes, Maurício Simiano & da Silva, Sérgio, 2009. "Bolhas Racionais no Índice Bovespa," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 63(2), June.
    21. Shu-Ping Shi, 2013. "Specification sensitivities in the Markov-switching unit root test for bubbles," Empirical Economics, Springer, vol. 45(2), pages 697-713, October.
    22. Ozan Hatipoglu & Onur Uyar, 2012. "Do Bubbles Spill Over? Estimating Financial Bubbles in Emerging Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(S5), pages 64-75, November.
    23. Michaelides, Panayotis G. & Tsionas, Efthymios & Konstantakis, Konstantinos, 2016. "Financial Bubble Detection : A Non-Linear Method with Application to S&P 500," MPRA Paper 74477, University Library of Munich, Germany.
    24. Matthew L. Higgins & Frank Ofori-Acheampong, 2018. "A Markov Regime-Switching Model with Time-Varying Transition Probabilities for Identifying Asset Price Bubbles," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(4), pages 1-14, April.
    25. Frank J. Fabozzi & Iason Kynigakis & Ekaterini Panopoulou & Radu S. Tunaru, 2020. "Detecting Bubbles in the US and UK Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 60(4), pages 469-513, May.
    26. Luboš Komárek & Martin Motl, 2012. "Behaviorální a fundamentální rovnovážný měnový kurz české koruny [Behavioural and Fundamental Equilibrium Exchange Rate of the Czech Koruna]," Politická ekonomie, Prague University of Economics and Business, vol. 2012(2), pages 147-166.
    27. Michaelides, Panayotis G. & Tsionas, Efthymios G. & Konstantakis, Konstantinos N., 2016. "Non-linearities in financial bubbles: Theory and Bayesian evidence from S&P500," Journal of Financial Stability, Elsevier, vol. 24(C), pages 61-70.
    28. Siwar Mehri Helali, 2019. "Detecting and Date-Stamping Rational Bubbles in Asset Price: An Empirical Investigation in the Tunisian Stock Market," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(8), pages 1-91, August.
    29. Chen, Shyh-Wei & Xie, Zixiong, 2017. "Asymmetric adjustment and smooth breaks in dividend yields: Evidence from international stock markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 339-354.
    30. Yoon, Gawon, 2012. "Some properties of periodically collapsing bubbles," Economic Modelling, Elsevier, vol. 29(2), pages 299-302.
    31. John Goddard & David Mcmillan & John Wilson, 2008. "Dividends, prices and the present value model: firm-level evidence," The European Journal of Finance, Taylor & Francis Journals, vol. 14(3), pages 195-210.
    32. Su, Chi-Wei & Li, Zheng-Zheng & Chang, Hsu-Ling & Lobonţ, Oana-Ramona, 2017. "When Will Occur the Crude Oil Bubbles?," Energy Policy, Elsevier, vol. 102(C), pages 1-6.
    33. Mark J. Holmes & Ping Wang, 2008. "Real Convergence and Regime-Switching Among EU Accession Countries," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 6(1), pages 9-27.
    34. Xiaoliang Liu & Guenther Filler & Martin Odening, 2013. "Testing for speculative bubbles in agricultural commodity prices: a regime switching approach," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 73(1), pages 179-200, May.
    35. Chris Brooks & Apostolos Katsaris, 2002. "A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of Bubbles in the S&P 500 Composite Index," ICMA Centre Discussion Papers in Finance icma-dp2002-14, Henley Business School, University of Reading.
    36. Zhao, Yanping & Chang, Hsu-Ling & Su, Chi-Wei & Nian, Rui, 2015. "Gold bubbles: When are they most likely to occur?," Japan and the World Economy, Elsevier, vol. 34, pages 17-23.
    37. Uribe Gil, Jorge Mario, 2013. "Testing for multiple bubbles with daily data," Documentos de Trabajo 11028, Universidad del Valle, CIDSE.
    38. Kodjovi G. Assoe, 1998. "Regime-Switching in Emerging Stock Market Returns," Multinational Finance Journal, Multinational Finance Journal, vol. 2(2), pages 101-132, June.
    39. Etienne, Xiaoli L. & Irwin, Scott H. & Garcia, Philip, 2014. "Bubbles in food commodity markets: Four decades of evidence," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 129-155.
    40. Chris Brooks & Apostolos Katsaris, 2002. "Forecasting the Collapse of Speculative Bubbles: An Empirical Investigation of the S&P 500 Composite Index," ICMA Centre Discussion Papers in Finance icma-dp2002-04, Henley Business School, University of Reading.

  19. Vigfusson, Robert, 1997. "Switching between Chartists and Fundamentalists: A Markov Regime-Switching Approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(4), pages 291-305, October.
    See citations under working paper version above.
  20. Gable, Jeff & van Norden, Simon & Vigfusson, Robert, 1997. "Analytical Derivatives for Markov Switching Models," Computational Economics, Springer;Society for Computational Economics, vol. 10(2), pages 187-194, May.
    See citations under working paper version above.

Software components

    Sorry, no citations of software components recorded.

Chapters

  1. Alquist, Ron & Kilian, Lutz & Vigfusson, Robert J., 2013. "Forecasting the Price of Oil," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 427-507, Elsevier.
    See citations under working paper version above.
  2. Lawrence J. Christiano & Martin Eichenbaum & Robert Vigfusson, 2007. "Assessing Structural VARs," NBER Chapters, in: NBER Macroeconomics Annual 2006, Volume 21, pages 1-106, National Bureau of Economic Research, Inc.
    See citations under working paper version above.Sorry, no citations of chapters recorded.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.