Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices

By Lutz Kilian, Clara Vega. Review of Economics and Statistics, 2008

400 citations recorded by the source corpus.

Abstract 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.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/36bfa74ae95ced6ef903f61120c45a268d5ea4fa

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Citations in the corpus

Real-Time Forecasts of the Real Price of Oil (2012, result): “Our findings are fully consistent, however, with recent work showing that the price of oil, most of the time, contains only a small asset price component (see Kilian and Murphy 2010; Kilian and Vega 2011).”
HOW DOES STOCK MARKET VOLATILITY REACT TO OIL PRICE SHOCKS? (2017, positive): “This working hypothesis has been used extensively in the literature (see Kilian 2008b and references therein, as well as Kilian and Park, 2009), and it is also empirically supported by the results of Kilian and Vega (2011). 3. Empirical results 3.1 The impact of oil price shocks on the volatility of”
NONLINEARITIES IN THE OIL PRICE–OUTPUT RELATIONSHIP (2010, background): “automobile sector is provided in Ramey and Vine (2010). Related evidence for the 2007/08 recession has also been presented in Hamilton (2009).”
Do Inflation Expectations Propagate the Inflationary Impact of Real Oil Price Shocks?: Evidence from the Michigan Survey (2015, neutral): “Kilian and Vega (2011) show that the oil price is insensitive to U.S. macroeconomic news, at least at monthly frequencies.”
Are the responses of the U.S. economy asymmetric in energy price increases and decreases (2011, methodology): “important because Mork (1989) merely failed to reject the null hypothesis that energy price decreases have no predictive power for real GDP growth.”
The Role of Oil Price Shocks in Causing U.S. Recessions (2014, result): “This assumption rules out instantaneous feedback from U.S. real GDP to the real price of crude oil imports, which is broadly consistent with empirical evidence in Kilian and Vega (2011).”
Do Oil Price Increases Cause Higher Food Prices (2014, positive): “11 Our approach is consistent with evidence in Kilian and Vega (2011) on the lack of instantaneous feedback from news about US macroeconomic aggregates to the price of oil and to the price of gasoline and has been widely used in the literature in related contexts (see, e.g., Edelstein and Kilian,…”
Impact of macroeconomic news on metal futures (2012, background): “, 2008), thus lending support to the argument that, unlike other assets, commodity prices are predetermined with respect to US macroeconomic aggregates such as real output, consumption and investment variables (Kilian and Vega, 2010).”
The impacts of oil price shocks on stock market volatility: Evidence from the G7 countries (2016, methodology): “This assumption has been used by several authors (see e.g. Kilian (2008b), Kilian and Park (2009), Degiannakis et al. (2014) and Güntner (2014)) and is supported by empirical evidence in Kilian and Vega (2011).”
Time-Varying Effect of Oil Market Shocks on the Stock Market (2015, neutral): “Recent 14 studies by Kilian and Vega (2011) and Kang and Ratti (2013) find that there is no significant evidence of feedback within a given month from U.S. aggregates to the price of crude oil.”