OIL PRICE SHOCKS AND INDUSTRIAL PRODUCTION: IS THE RELATIONSHIP LINEAR?

By Ana MarÃa Herrera, L. Lagalo, Tatsuma Wada. Macroeconomic Dynamics, 2011

206 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/11c0abcc79e4d636c50e548c3c7f8558eb9f028b

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Citations in the corpus

Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression (2017, background): “Since then, scholars have performed much research on this issue (Jones et al., 2004; Hamilton, 2008; Herrera et al., 2011; Filis and Chatziantoniou, 2014; Salisu et al., 2017, among others).”
Can Oil Prices Forecast Exchange Rates (2011, unknown): “To further study the link between oil prices and exchange rates, in addition to a simple regression of exchange rates on oil prices, we consider the asymmetric model by Kilian and Vigfusson (2009) as well as a threshold model where the oil price has asymmetric e¤ects on the nominal exchange rate.”
Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries (2013, unknown): “Both the nonlinearity postulated in Edelstein and Kilian (2009) and that postulated in Ramey and Vine (2010) is incompatible with the specific nonlinearity embodied in the models of Mork (1989) and Hamilton (1996, 2003) in that these papers rely on linear regressions after adjusting the energy price”
Oil Price Shocks: Causes and Consequences (2014, methodology): “…uncertainty hypothesis imply different responses to oil price shocks across sectors, several studies have also investigated U.S. stock prices, industrial production, and job flows at the disaggregate level using sectoral or plant-level data (Alsalman and Herrera 2012, Herrera et al. 2011, 2012).”
Forecasting the Price of Oil (2010, methodology): “As shown in Hamilton (1983) using quarterly data and in Gillman and Nakov (2009) using monthly data, there is no significant Granger causality from U.”
Asymmetries in the response of economic activity to oil price increases and decreases (2015, unknown): “[28] Herrera, Ana María, Latika G.”
NONLINEARITIES IN THE OIL PRICE–OUTPUT RELATIONSHIP (2010, result): “This is why Kilian and Vigfusson (2009) specified their model in terms of the real price of oil, as have many other studies including Mork (1989), Lee, Ni and Ratti (1995), Elder and Serletis (2010), and Herrera, Lagalo and Wada (2010).”
The Role of Oil Price Shocks in Causing U.S. Recessions (2014, background): “As shown in Kilian (2009a) and Kilian and Murphy (2014), oil price shocks reflect a variety of demand and supply shocks in oil markets, the composition of which evolves over time.”
Oil price volatility and stock returns in the G7 economies (2016, background): “Numerous research papers indicate that there is a statistically significant and negative effect of oil price shocks on real economic activity (Hamilton, 1983, 2011; Cunado and Perez de Gracia, 2003, 2005; Herrera et al., 2011; Jo, 2014; Cunado et al., 2015).”