The DOI matches its Crossref record; 36 of the 36 references it cites were found in a registry or an index.
Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices
Open accessAbstract
We propose a formal test of the hypothesis that energy prices are predetermined with respect to U.S. macroeconomic aggregates. The test is based on regressing changes in daily energy prices on daily news from U.S. macroeconomic data releases. Using a wide range of macroeconomic news, we find no compelling evidence of feedback at daily or monthly horizons, contradicting the view that energy prices respond instantaneously to macroeconomic news and consistent with the commonly used identifying assumption that there is no feedback from U.S. macroeconomic aggregates to monthly innovations in energy prices.
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Cites
Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market
Kilian, L. (2009) · American Economic Review · doi:10.1257/aer.99.3.1053 · Cited by 4,608
Self-citationA Survey of Weak Instruments and Weak Identification in Generalized Method of Moments
Stock, J. H., Wright, J. H., & Yogo, M. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102288618658 · Cited by 4,274
What explains the stock market’s reaction to federal reserve policy?
BERNANKE, B. S., & KUTTNER, K. N. (2005) · The Journal of Finance · doi:10.1111/j.1540-6261.2005.00760.x · Cited by 2,384
Hamilton, J. D. (2003) · Journal of Econometrics · doi:10.1016/s0304-4076(02)00207-5 · Cited by 2,136
A Reality Check for Data Snooping
White, H. (2000) · Econometrica · doi:10.1111/1468-0262.00152 · Cited by 1,851
THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*
Kilian, L., & Park, C. (2009) · International Economic Review · doi:10.1111/j.1468-2354.2009.00568.x · Cited by 1,836
Self-citationSystematic 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
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
Anderson, T. G., Bollerslev, T., Diebold, F. X., & Vega, C. (2003) · American Economic Review · doi:10.1257/000282803321455151 · Cited by 1,375
Self-citationThe 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-citationAndersen, T. G., & Bollerslev, T. (1998) · The Journal of Finance · doi:10.1111/0022-1082.85732 · Cited by 1,185
Cited by
How sensitive are consumer expenditures to retail energy prices?
Edelstein, P., & Kilian, L. (2009) · Journal of Monetary Economics · doi:10.1016/j.jmoneco.2009.06.001 · Cited by 579
Self-citationKilian, L., & Vigfusson, R. J. (2011) · Quantitative Economics · doi:10.3982/qe99 · Cited by 572
Self-citationOil shocks, policy uncertainty and stock market return
Kang, W., & Ratti, R. A. (2013) · Journal of International Financial Markets, Institutions and Money · doi:10.1016/j.intfin.2013.07.001 · Cited by 503
Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003–2008?
Kilian, L., & Hicks, B. (2013) · Journal of Forecasting · doi:10.1002/for.2243 · Cited by 371
Self-citationReal-Time Forecasts of the Real Price of Oil
Baumeister, C., & Kilian, L. (2012) · Journal of Business & Economic Statistics · doi:10.1080/07350015.2011.648859 · Cited by 353
Self-citation
Metadata
- Authors
- Kilian, L., & Vega, C.
- Venue
- Review of Economics and Statistics
- Publisher
- MIT Press - Journals
- Published
- 2011-05
- Volume
- 93
- Issue
- 2
- Pages
- 660-671
- ISSN
- 0034-6535 (ISSN-L)
- 1530-9142
- OpenAlex
- W2110623779
- Cited by
- 403
- References
- 36
- FWCI
- 53.05
- Type
- journal article
- Language
- en
- Open access
- green
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
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.
