Corrigendum to "Inference on Impulse Response Functions in Structural
VAR Models" [J. Econometrics 177 (2013), 1-13] (with Atsushi Inoue), forthcoming:
Journal of Econometrics.
Are Product Spreads Useful for Forecasting Oil Prices? An Empirical Evaluation of the Verleger Hypothesis
(with Christiane Baumeister and Xiaoqing Zhou), forthcoming: Macroeconomic Dynamics.
Structural Vector Autoregressive Analysis, (with Helmut Lütkepohl), Cambridge University Press, 2017.
The Role of Oil Price Shocks in Causing U.S. Recessions (with Robert J. Vigfusson), Journal of
Money, Credit, and Banking, 49(8), December 2017, 1747-1776.
The Impact of the Fracking Boom on Arab Oil Producers, Energy Journal, 38(6), 2017, 137-160.
How the Tight Oil Boom Has Changed Oil and Gasoline Markets, Papeles de Energia, 3, June 2017, 79-102.
Lower Oil Prices and the U.S. Economy: Is This Time Different? (with Christiane Baumeister),
Brookings Papers on Economic Activity, Fall 2016, March 2017, 287-336.
Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump
(with Christiane Baumeister and Thomas K. Lee), Journal of Applied Econometrics, 32(2), March 2017, 275-295.
Anticipation, Tax Avoidance, and the Price Elasticity of Gasoline Demand (with John Coglianese, Lucas W.
Davis and James H. Stock), Journal of Applied Econometrics, 32(1), January/February 2017, 1-15.
Impulse Response Matching Estimators for DSGE Models (with Pablo
Guerron-Quintana and Atsushi Inoue), Journal of Econometrics, 196(1),
January 2017, 144-155.
The Impact of the Shale Oil Revolution on U.S. Oil and Gasoline Prices,
Review of Environmental Economics and Policy, 10(2), 185-205, Summer 2016.
Joint Confidence Sets for Structural Impulse Responses (with A. Inoue),
Journal of Econometrics, 192(2), June 2016, 421-432.
Understanding the Decline in the Price of Oil since June 2014 (with Christiane Baumeister),
Journal of the Association of Environmental and Resource Economists, 3(1), March 2016, 131-158.
Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still
Surprise Us (with Christiane Baumeister), Journal of Economic Perspectives,
30(1), Winter 2016, 139-160.
Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach (with Christiane Baumeister), Journal of
Business and Economic Statistics, 33(3), July 2015, 338-351.
Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS
Touch at Work (with Christiane Baumeister and Pierre Guerin), International
Journal of Forecasting, 31(2), April 2015, 238-252.
Comment on Francis X. Diebold's 'Comparing Predictive Accuracy, Twenty
Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests',
Journal of Business and Economic Statistics, 33(1), January 2015, 13-17.
Are there Gains from Pooling Real-Time Oil Price Forecasts? (with
Christiane Baumeister and Thomas K. Lee), Energy Economics, 46, December 2014,
Oil Price Shocks: Causes and Consequences, Annual Review of
Resource Economics, 6, November 2014, 133-154.
Do Oil Price Increases Cause Higher Food Prices? (with Christiane Baumeister),
Economic Policy, 80, October 2014, 691-747.
What Central Bankers Need to Know about Forecasting Oil Prices (with Christiane Baumeister),
International Economic Review, 55(3), August 2014, 869-889.
Real-Time Analysis of Oil Price Risks Using Forecast Scenarios (with
Christiane Baumeister), IMF Economic Review, 62(1), 119-145, April 2014.
The Role of Inventories and Speculative Trading in the Global Market for Crude Oil (with
Daniel P. Murphy), Journal of Applied Econometrics, 29(3), April 2014,
Quantifying the Speculative Component in the Real Price of Oil: The Role of Global Oil Inventories (with
Thomas K. Lee), Journal of International Money and Finance, 42, April 2014,
Inference on Impulse Response Functions in Structural VAR Models (with Atsushi Inoue),
Journal of Econometrics, 177(1), November 2013, 1-13.
Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008? (with Bruce
Hicks), Journal of Forecasting, 32(5), August 2013, 385-394.
Forecasting the Price of Oil (with Ron Alquist and Robert J. Vigfusson), in: G.
Elliott and A. Timmermann (eds.), Handbook of Economic Forecasting, 2, Amsterdam:
North-Holland, 2013, 427-507.
Structural Vector Autoregressions, in: N. Hashimzade and M.A. Thornton (eds.),
Handbook of Research Methods and Applications in Empirical Macroeconomics, Cheltenham, UK:
Edward Elgar, 2013, 515-554.
Frequentist Inference in Weakly Identified DSGE Models (with Pablo Guerron-Quintana and
Atsushi Inoue), Quantitative Economics, 4(2), July 2013, 197-229.
The Role of Speculation in Oil Markets: What Have We Learned So Far? (with Bassam Fattouh
and Lavan Mahadeva), Energy Journal, 34(3), July 2013, 7-33.
Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries
(with Robert J. Vigfusson), Journal of Business and Economic Statistics,
31(1), January 2013, 78-93.
Monetary Policy Responses to Oil Price Fluctuations (with Martin Bodenstein and Luca
Guerrieri), IMF Economic Review, 60(4), November 2012, 470-504.
Why Agnostic Sign Restrictions Are Not Enough: Understanding the Dynamics of Oil Market VAR
Models (with Daniel P. Murphy), Journal of the European Economic Association,
10(5), October 2012, 1166-1188.
Real-Time Forecasts of the Real Price of Oil (with Christiane Baumeister),
Journal of Business and Economic Statistics, 30(2), April 2012, 326-336.
Nonlinearities in the Oil Price-Output Relationship (with Robert J.
Vigfusson), Macroeconomic Dynamics, 15(S3), December 2011, 337-363.
Estimating the Effect of a Gasoline Tax on Carbon Emissions (with Lucas W. Davis),
Journal of Applied Econometrics, 16(7), November 2011, 1187-1214.
Are the Responses of the U.S. Economy Asymmetric in Energy Price Increases and Decreases?
(with Robert J. Vigfusson), Quantitative Economics, 2(3), November 2011,
How Reliable Are Local Projection Estimators of Impulse Responses? (with Yun Jung Kim),
Review of Economics and Statistics, 93(4), November 2011, 1460-1466.
Does the Fed Respond to Oil Price Shocks? (with Logan T. Lewis), The
Economic Journal, 121(555), September 2011, 1047-1072.
Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices (with Clara Vega),
Review of Economics and Statistics, 93(2), May 2011, 660-671.
The Allocative Cost of Price Ceilings in the U.S. Residential Market for Natural Gas (with
Lucas W. Davis), Journal of Political Economy, 119(2), April 2011, 212-241. (Reprinted in
P. MacAvoy and R. Schmalensee (eds.), The Causes and Effects of Deregulation, Edward
What Do We Learn from the Price of Crude Oil Futures? (with Ron Alquist), Journal of Applied Econometrics,
25(4), June 2010, 539-573.
Oil Price Shocks, Monetary Policy and Stagflation, in: Fry, R., Jones, C., and C. Kent (eds), Inflation in an Era of Relative
Price Shocks, Sydney, May 2010, 60-84.
Explaining Fluctuations in Gasoline Prices: A Joint Model of the Global Crude
Oil Market and the U.S. Retail Gasoline Market, Energy Journal, 31(2), April
The Impact of Oil Price Shocks on the U.S. Stock Market (with Cheolbeom Park),
International Economic Review, 50(4), November 2009, 1267-1287.
Do Actions Speak Louder Than Words? Household
Expectations of Inflation Based on Micro Consumption Data (with Atsushi Inoue and Fatma Burcu Kiraz),
Journal of Money, Credit, and Banking, 41(7), October 2009, 1331-1363.
How Sensitive are Consumer Expenditures to Retail Energy Prices? (with Paul Edelstein),
Journal of Monetary Economics, 56(6), September 2009, 766-779
Comment on "Causes and Consequences of the Oil Shock of 2007-08" by James D. Hamilton,
Brookings Papers on Economic Activity, 1, Spring 2009, 267-278.
Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market,
American Economic Review, 99(3), June 2009, 1053-1069.
Oil Shocks and External Balances (with Alessandro Rebucci and
Nikola Spatafora), Journal of International Economics, 77(2), April 2009,
The Economic Effects of Energy Price Shocks, Journal of Economic Literature, 46(4),
December 2008, 871-909.
The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences
under Greenspan (with Simone Manganelli), Journal of Money, Credit, and Banking, 40(6), September 2008,
How Useful is Bagging in Forecasting Economic Time Series? A Case Study of U.S. CPI Inflation
(with Atsushi Inoue), Journal of the American Statistical Association,
103(482), June 2008, 511-522.
Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?
Review of Economics and Statistics, 90(2), 216-240, May 2008.
A Comparison of the Effects of Exogenous Oil Supply Shocks on Output and
Inflation in the G7 Countries. Journal of the European Economic Association,
6(1), 78-121, March 2008.
Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
(with Silvia Goncalves), Econometric Reviews, 26(6), 609-641, November
The Response of Business Fixed Investment to Changes in Energy
Prices: A Test of Some Hypotheses About the Transmission of Energy Price
Shocks (with Paul Edelstein), The B.E. Journal of Macroeconomics, 7(1)
(Contributions), November 2007. Available at:
Comment on 'On the Fit of New Keynesian Models' by Del Negro, Schorfheide, Smets and Wouters,
Journal of Business and Economic Statistics, 25(2), April 2007, 156-159.
Quantifying the Risk of Deflation (with Simone Manganelli),
Journal of Money, Credit and Banking, 39(2-3), March-April 2007, 561-590.
On the Selection of Forecasting Models (with Atsushi Inoue), Journal of Econometrics,
130(2), February 2006, 273-306.
A Practitioner's Guide to Lag Order Selection for VAR Impulse Response Analysis (with
V. Ivanov), Studies in Nonlinear Dynamics and Econometrics, 9(1), March 2005, Article 2.
Available at: http://www.bepress.com/snde/vol9/iss1/art2
Oil and the Macroeconomy since the 1970s (with R.B. Barsky),
Journal of Economic Perspectives, 18(4), Fall 2004, 115-134.
In-Sample or Out-of-Sample Tests of Predictability: Which One
Should We Use? (with A. Inoue), Econometric Reviews, 23(4), November 2004,
Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form
(with S. Goncalves), Journal of Econometrics, 123(1), November 2004,
The Continuity of the Limit Distribution in the Parameter of Interest is not
Essential for the Validity of the Bootstrap (with A. Inoue), Econometric Theory, 19(6),
December 2003, 944-961.
Why Is It so Difficult to Beat the Random Walk Forecast of Exchange Rates?
(with M.P. Taylor), Journal of International Economics,
60(1), May 2003, 85-107.
Data-Driven Nonparametric Spectral Density Estimators
for Economic Time Series: A Monte Carlo Study (with I. Birgean),
Econometric Reviews, 21(4), November 2002, 447-474.
Unit Roots, Trend Breaks and Transitory Dynamics: A
Macroeconomic Perspective (with L.E. Ohanian), Macroeconomic Dynamics,
6(5), November 2002, 641-632.
Do We Really Know that Oil Caused the Great Stagflation? A
Monetary Alternative (with R.B. Barsky), in B. Bernanke and K. Rogoff (eds.),
NBER Macroeconomics Annual 2001, May 2002, 137-183.
Bootstrapping Smooth Functions of Slope Parameters and
Innovation Variances in VAR(∞) Models (with A. Inoue),
International Economic Review, 43(2), May 2002, 309-332.
Quantifying the Uncertainty about the Half-Life of Deviations
from PPP (with T. Zha), Journal of Applied
Econometrics, 17(2), April 2002, 107-125.
Bootstrapping Autoregressive Processes with Possible Unit
Roots (with A. Inoue), Econometrica, 70(1), January 2002, 377-391.
Measuring Predictability: Theory and Macroeconomic
Applications (with F.X. Diebold), Journal of Applied
Econometrics, 16(6), December 2001, 657-669.
Size Distortions of Tests of the Null Hypothesis of
Stationarity: Evidence and Implications for the PPP Debate (with
M. Caner), Journal of International Money and
Finance, 20(5), October 2001, 639-657.
Impulse Response Analysis in Vector Autoregressions with
Unknown Lag Order, Journal of Forecasting, 20(3),
April 2001, 161-179.
How Accurate are Confidence Intervals for Impulse Responses
in Large VAR Models? (with P.-L. Chang), Economics
Letters, 69(3), December 2000, 299-307.
Unit Root Tests are Useful for Selecting Forecasting Models
(with F.X. Diebold), Journal of Business and
Economic Statistics, 18(3), July 2000, 265-273.
Recent Developments in Bootstrapping Time Series
(with J. Berkowitz), Econometric Reviews, 19(1), February 2000,
Residual-Based Tests for Normality in Autoregressions:
Asymptotic Theory and Simulation Evidence (with U. Demiroglu),
Journal of Business and Economic Statistics, 18(1), January 2000,
Finite-Sample Properties of Percentile and Percentile-t
Bootstrap Confidence Intervals for Impulse Responses, Review
of Economics and Statistics, 81(4), November 1999, 652-660.
Exchange Rates and Monetary Fundamentals: What Do We Learn
from Long- Horizon Regressions?, Journal of Applied
Econometrics, 14(5), September 1999, 491-510.
On the Finite-Sample Accuracy of Nonparametric Resampling
Algorithms for Economic Time Series (with J. Berkowitz and I.
Birgean), in T.B. Fomby and C. Hill (eds.): Advances in Econometrics:
Applying Kernel and Nonparametric Estimation to Economic Topics, vol.
14, 1999, JAI Press, Connecticut, 77-107.
Accounting for Lag Order Uncertainty in Autoregressions: The
Endogenous Lag Order Bootstrap Algorithm, Journal of Time
Series Analysis, 19(5), September 1998, 531-548.
Small-Sample Confidence Intervals for Impulse Response
Functions, Review of Economics and Statistics, 80(2), May
Confidence Intervals for Impulse Responses Under Departures
from Normality, Econometric Reviews, 17(1), February 1998,
The Effects of Real and Monetary Shocks in a Business Cycle
Model with some Sticky Prices (with L.E. Ohanian and A.C.
Stockman), Journal of Money, Credit and Banking, 27(4), Pt. 2,
November 1995, 1209-1234.