Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market

By Lutz Kilian. 2009

4,284 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/cd2fa5dd72f0747b172109d4f53f6f39470312fb

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Citations in the corpus

Macroeconomic impacts of oil price shocks in Asian economies (2015, background): “Using data between 1997Q2 and 2014Q3, we find that unanticipated oil price increases of the same magnitude conditional on the source of a shock can result in distinct responses of economic activity and CPIs, extending the findings in Kilian (2009) to Asian economies.”
The Impact of Oil Price Shocks on the U.S. Stock Market (2009, neutral): “Kling (1985), for example, concluded that crude oil price increases are associated with stock market declines. Chen, Roll and Ross (1986), in contrast, suggested that oil price changes have no effect on asset pricing.”
The Role of Time-Varying Price Elasticities in Accounting for Volatility Changes in the Crude Oil Market (2013, methodology): “This nding is in line with Kilian (2009) and Kilian and Murphy (2011) who conclude that oil demand shocks were important driving forces behind oil price uctuations throughout the 1974 to 2009 period.”
Oil price volatility and oil-related events: An Internet concern study perspective (2015, background): “According to Kilian [25], oil supply-side shocks are shocks to the current physical availability of crude oil; aggregate demand shocks are shocks to the current demand driven by fluctuations in the global business cycle; and precautionary demand shocks arise from the uncertainty about shortfalls in ”
The Financialization of Commodity Markets (2014, background): “As pointed out by Hamilton (2009a) and Kilian (2009), a key factor in explaining the commodity price boom in recent years is strong commodity demand from China and other emerging economies coupled with a stagnant commodity supply.”
Joint Confidence Sets for Structural Impulse Responses (2016, methodology): “As in Kilian (2009), we are interested in the responses of all three model variables to each of these shocks at horizons = 0 17.”
Oil Price Shocks: Causes and Consequences (2014, methodology): “The first block is the oil market block, which is identical to the model in Kilian (2009a), and the second block represents the U.S. gasoline market.”
The Response of Business Fixed Investment to Changes in Energy Prices: A Test of Some Hypotheses about the Transmission of Energy Price Shocks (2007, neutral): “[18] Kilian, L.”
Oil Prices, Exchange Rates and Interest Rates (2019, methodology): “Unlike earlier global oil market models such as Kilian (2009) or Kilian and Murphy (2012) this model explicitly incorporates shocks to the storage demand for oil reflecting shifts in oil price expectations.5 The baseline oil market model includes the percent change in the global production of crude…”
Oil Shocks and External Balances (2009, methodology): “13See Kilian (2006c) for further details on the response of U.S. macroeconomic aggregates.”
Modeling energy price dynamics: GARCH versus stochastic volatility (2016, methodology): “For a more detailed discussion of the Bayes factor, we refer the readers to Koop (2003) and Kroese and Chan (2014).”