The DOI matches its Crossref record; 35 of the 35 references it cites were found in a registry or an index.
NONLINEARITIES IN THE OIL PRICE–OUTPUT RELATIONSHIP
Open accessAbstract
It is customary to suggest that the asymmetry in the transmission of oil price shocks to real output is well established. Much of the empirical work cited as being in support of asymmetry, however, has not directly tested the hypothesis of an asymmetric transmission of oil price innovations. Moreover, many of the papers quantifying these asymmetric responses are based on censored oil price VAR models that have recently been shown to be invalid. Other studies are based on dynamic correlations in the data and do not distinguish between cause and effect. Recently, several new methods of testing and quantifying asymmetric responses of U.S. real economic activity to positive and negative oil price innovations have been developed. We put this literature into perspective, contrast it with more traditional approaches, highlight directions for further research, and reconcile some seemingly conflicting results reported in the literature.
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Cites
Impulse response analysis in nonlinear multivariate models
Koop, G., Pesaran, M. H., & Potter, S. M. (1996) · Journal of Econometrics · doi:10.1016/0304-4076(95)01753-4 · Cited by 5,049
Estimation and Inference of Impulse Responses by Local Projections
Jordà, Ò. (2005) · American Economic Review · doi:10.1257/0002828053828518 · Cited by 4,677
Irreversibility, Uncertainty, and Cyclical Investment
Bernanke, B. S. (1983) · The Quarterly Journal of Economics · doi:10.2307/1885568 · Cited by 4,112
Irreversibility, Uncertainty, and Investment
Pindyck, R. (1990) · National Bureau of Economic Research · doi:10.3386/w3307 · Cited by 2,403
Hamilton, J. D. (2003) · Journal of Econometrics · doi:10.1016/s0304-4076(02)00207-5 · Cited by 2,136
This is what happened to the oil price-macroeconomy relationship
Hamilton, J. D. (1996) · Journal of Monetary Economics · doi:10.1016/s0304-3932(96)01282-2 · Cited by 1,682
Systematic Monetary Policy and the Effects of Oil Price Shocks
Bernanke, B. S., Gertler, M., Watson, M., Sims, C. A., & Friedman, B. M. (1997) · Brookings Papers on Economic Activity · doi:10.2307/2534702 · Cited by 1,592
Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results
Mork, K. A. (1989) · Journal of Political Economy · doi:10.1086/261625 · Cited by 1,556
Forecasting Volatility in Financial Markets: A Review
Poon, S., & Granger, C. W. J. (2003) · Journal of Economic Literature · doi:10.1257/002205103765762743 · Cited by 1,315
The Economic Effects of Energy Price Shocks
Kilian, L. (2008) · Journal of Economic Literature · doi:10.1257/jel.46.4.871 · Cited by 1,281
Self-citation
Cited by
Simultaneous Confidence Regions for Impulse Responses
Jordà, Ò. (2009) · Review of Economics and Statistics · doi:10.1162/rest.91.3.629 · Cited by 121
Is Fertility a Leading Economic Indicator?
Buckles, K., Hungerman, D., & Lugauer, S. (2018) · doi:10.3386/w24355 · Cited by 14
Metadata
- Authors
- Kilian, L., & Vigfusson, R. J.
- Venue
- Macroeconomic Dynamics
- Publisher
- Cambridge University Press (CUP)
- Published
- 2011-11
- Volume
- 15
- Issue
- S3
- Pages
- 337-363
- ISSN
- 1365-1005 (ISSN-L)
- 1469-8056
- OpenAlex
- W1595367669
- Cited by
- 275
- References
- 35
- FWCI
- 42.67
- Type
- journal article
- Language
- en
- Open access
- green
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