The DOI matches its Crossref record; 34 of the 34 references it cites were found in a registry or an index.
NONLINEARITIES AND THE MACROECONOMIC EFFECTS OF OIL PRICES
Abstract
This paper reviews some of the literature on the macroeconomic effects of oil price shocks with a particular focus on possible nonlinearities in the relation and recent new results obtained by Kilian and Vigfusson [http://www-personal.umich/~lkilian/kvsubmission.pdf (2009)].
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Cites
A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
White, H. (1980) · Econometrica · doi:10.2307/1912934 · Cited by 25,861
Newey, W. K., & West, K. D. (1987) · Econometrica · doi:10.2307/1913610 · Cited by 16,936
A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
Newey, W., & West, K. (1986) · National Bureau of Economic Research · doi:10.3386/t0055 · Cited by 12,278
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
Oil and the Macroeconomy since World War II
Hamilton, J. D. (1983) · Journal of Political Economy · doi:10.1086/261140 · Cited by 3,786
Self-citationApproximately normal tests for equal predictive accuracy in nested models
Clark, T. E., & West, K. D. (2007) · Journal of Econometrics · doi:10.1016/j.jeconom.2006.05.023 · Cited by 2,489
Hamilton, J. D. (2003) · Journal of Econometrics · doi:10.1016/s0304-4076(02)00207-5 · Cited by 2,136
Self-citationForward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis
Hansen, L. P., & Hodrick, R. J. (1980) · Journal of Political Economy · doi:10.1086/260910 · Cited by 2,111
Cited by
Kilian, L., & Vigfusson, R. J. (2011) · Quantitative Economics · doi:10.3982/qe99 · Cited by 572
Wang, Y., Wu, C., & Yang, L. (2013) · Journal of Comparative Economics · doi:10.1016/j.jce.2012.12.004 · Cited by 572
Oil Prices and the Stock Market
Ready, R. C. (2018) · Review of Finance · doi:10.1093/rof/rfw071 · Cited by 432
Has oil price predicted stock returns for over a century?
Narayan, P. K., & Gupta, R. (2015) · Energy Economics · doi:10.1016/j.eneco.2014.11.018 · Cited by 351
Alquist, R., Kilian, L., & Vigfusson, R. J. (2013) · Handbook of Economic Forecasting · doi:10.1016/b978-0-444-53683-9.00008-6 · Cited by 307
Metadata
- Authors
- Hamilton, J. D.
- Venue
- Macroeconomic Dynamics
- Publisher
- Cambridge University Press (CUP)
- Published
- 2011-11
- Volume
- 15
- Issue
- S3
- Pages
- 364-378
- ISSN
- 1365-1005 (ISSN-L)
- 1469-8056
- OpenAlex
- W2076847025
- Cited by
- 468
- References
- 34
- FWCI
- 67.62
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
