NONLINEARITIES AND THE MACROECONOMIC EFFECTS OF OIL PRICES

By James D. Hamilton. Macroeconomic Dynamics, 2011

496 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/78057e2ab8cb66636a802cdd8398366bc3d28397

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Citations in the corpus

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).”
Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries (2013, unknown): “This asymmetric net change model allows for weaker forms of asymmetry, in conjunction with the behavioral assumptions invoked by Hamilton (2011).”
OIL PRICE SHOCKS AND INDUSTRIAL PRODUCTION: IS THE RELATIONSHIP LINEAR? (2011, unknown): “[18] Hamilton, James D.”
Has oil price predicted stock returns for over a century (2015, background): “…is motivated by two factors: First, consumer price index data at monthly frequency is only available from 1876 and, hence, by using real data we would have lost more than sixteen years of data, including the so-called first oil-shock over 1862-1864 due to the US civil war (Hamilton, 2011).”
The impact of oil shocks on exchange rates: A Markov-switching approach (2016, background): “See also the reply by Hamilton (2011). of exchange rates to a global economic demand shock reveals no particular pattern across oilexporting or oil-importing countries.”
Oil prices and financial stress: A volatility spillover analysis (2015, background): “…is well established in the literature that oil price shocks have detrimental effect on economic activity in developed and developing countries (i.e. Hamilton, 2011 for US; Cunado and de Gracia, 2003 for 15 European countries; Cunado and de Gracia, 2005 for 6 Asian countries), especially for…”
Oil Prices, Exchange Rates and Emerging Stock Markets (2011, unknown): “See also Hamilton (2010).”
Forecasting the Price of Oil (2010, methodology): “Column (1) shows that, for eight of ten model specifications, the one-quarter ahead nonlinear forecasting model proposed by Hamilton (2010) fails to outperform the AR(4) benchmark model for real GDP.”