The 108 references in paper Ron Alquist, Lutz Kilian, Robert J. Vigfusson (2011) “Forecasting the Price of Oil” / RePEc:bca:bocawp:11-15

1
Allcott, H., and N. Wozny (2010), “Gasoline Prices, Fuel Economy, and the Energy Paradox”, mimeo, MIT.
(check this in PDF content)
2
Almoguera, P.A., Douglas, C., and A.M. Herrera (2010), “Testing for the Cartel in OPEC: Noncooperative Collusion or Just Noncooperative?”, mimeo, Department of Economics, Michigan State University.
(check this in PDF content)
3
Alquist, R., and L. Kilian (2010), “What Do We Learn from the Price of Crude Oil Futures?” Journal of Applied Econometrics, 25, 539-573.
(check this in PDF content)
4
Anatolyev, S. (2007), “Inference about Predictive Ability When There Are Many Predictors,” mimeo, New Economic School, Moscow.
(check this in PDF content)
5
Anderson, S., Kellogg, R., and J. Sallee (2010), “What Do Consumers Know (or Think They Know) About the Price of Gasoline?” mimeo, Department of Economics, University of Michigan.
(check this in PDF content)
6
Artzner, P., F. Delbaen, J.-M. Eber, and D. Heath (1999), “Coherent Measures of Risk,” Mathematical Finance, 9, 203-228.
(check this in PDF content)
7
Bachmeier, L., Li, Q., and D. Liu (2008), “Should Oil Prices Receive So Much Attention? An Evaluation of the Predictive Power of Oil Prices for the US Economy,” Economic Inquiry, 46, 528-539.
(check this in PDF content)
8
Balke, N.S., Brown, S.P.A., and M.K. Yücel (2002), “Oil Price Shocks and the U.S. Economy: Where Does the Asymmetry Originate?” Energy Journal, 23, 27‐52.
(check this in PDF content)
9
Barsky, R.B., and L. Kilian (2002), “Do We Really Know that Oil Caused the Great Stagflation? A Monetary Alternative,” in: NBER Macroeconomics Annual 2001, B.S. Bernanke and K. Rogoff (eds.), MIT Press: Cambridge, MA, 137-183.
(check this in PDF content)
10
Basak, S., and A. Shapiro (2001), “Value-at-Risk Based Management: Optimal Policies and Asset Prices,” Review of Financial Studies, 14, 371–405.
(check this in PDF content)
11
Baumeister, C., and L. Kilian (2011), “Real-Time Forecasts of the Real Price of Oil,” mimeo, Department of Economics, University of Michigan.
(check this in PDF content)
12
Baumeister, C., and G. Peersman (2010), “Sources of the Volatility Puzzle in the Crude Oil Market,” mimeo, Department of Economics, Ghent University.
(check this in PDF content)
13
Bernanke, B.S. (1983), “Irreversibility, Uncertainty, and Cyclical Investment,” Quarterly Journal of Economics, 98, 85‐106.
(check this in PDF content)
14
Bernanke, B.S (2004), “Oil and the Economy,” Speech presented at Darton College, Albany, GA, http://www.federalreserve.gov/boarddocs/speeches/2004/20041021/default.htm
(check this in PDF content)
15
Beyer, A., Doornik, J.A. and Hendry, D.F. (2001), “Constructing Historical Euro-Zone Data,” Economic Journal, 111, 308-327.
(check this in PDF content)
16
Bollerslev, T., Chou, R.Y., and K.F. Kroner (1992), “ARCH Modeling in Finance,” Journal of Econometrics, 52, 5-59.
(check this in PDF content)
17
Busse, M., Knittel, C., and F. Zettelmeyer (2010), “Pain at the Pump: How Gasoline Prices Affect Automobile Purchasing,” mimeo, Northwestern University.
(check this in PDF content)
18
Calhoun, G. (2010), “Limit Theory for Comparing Overfit Models Out-of-Sample,” mimeo, Department of Economics, Iowa State University.
(check this in PDF content)
19
Carlton, A.B. (2010), “Oil Prices and Real-Time Output Growth,” mimeo, Department of Economics, University of Houston.
(check this in PDF content)
20
Chen, Y.-C., Rogoff, K., and B. Rossi (2010), “Can Exchange Rates Forecast Commodity Prices?” forthcoming: Quarterly Journal of Economics.
(check this in PDF content)
21
Clark, T.E., and M. McCracken (2001), “Tests of Equal Predictive Accuracy and Encompassing for Nested Models,” Journal of Econometrics, 105, 85-101.
(check this in PDF content)
22
Clark, T.E., and M. McCracken (2005), “Evaluating Direct Multistep Forecasts,” Econometric Reviews, 24, 369-404.
(check this in PDF content)
23
Clark, T.E., and M. McCracken (2010), “Nested Forecast Model Comparisons: A New Approach to Testing Equal Accuracy,” mimeo, Federal Reserve Bank of St. Louis.
(check this in PDF content)
24
Clark, T.E, and K.D. West (2006), “Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis,” Journal of Econometrics, 135, 155-186.
(check this in PDF content)
25
Clark, T.E., and K.D. West (2007), “Approximately Normal Tests for Equal Predictive Accuracy in Nested Models,” Journal of Econometrics, 138, 291-311.
(check this in PDF content)
26
Cooley, T.F., and S. LeRoy (1985), “Atheoretical Macroeconometrics: A Critique,” Journal of Monetary Economics, 16, 283-308.
(check this in PDF content)
27
Corradi, V., and N.R. Swanson (2002), “A Consistent Test for Nonlinear Out of Sample Predictive Accuracy,” Journal of Econometrics, 110, 353-381.
(check this in PDF content)
28
Corradi, V., and N.R. Swanson (2007), “Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes,” International Economic Review, 48, 67-109.
(check this in PDF content)
29
Dargay, J.M., and D. Gately (2010), “World Oil Demand’s Shift toward Faster Growing and Less Price-Responsive Products and Regions,” Energy Policy, 38, 6261-6277.
(check this in PDF content)
30
Davies, P. (2007), “What’s the Value of an Energy Economist?” Presentation at the 30th Annual Conference of the International Association for Energy Economics, Wellington, New Zealand, February 18.
(check this in PDF content)
31
Davis, L.W., and L. Kilian (2011), “The Allocative Cost of Price Ceilings in the U.S. Residential Market for Natural Gas”, forthcoming: Journal of Political Economy.
(check this in PDF content)
32
Diebold, F.X., and R.S. Mariano (1995), “Comparing Predictive Accuracy,” Journal of Business and Economic Statistics, 13, 253-263.
(check this in PDF content)
33
Dolado, J.J., and H. Lütkepohl (1996), “Making Wald Tests Work for Cointegrated VAR Systems,” Econometric Reviews, 15, 369-386.
(check this in PDF content)
34
Dvir, E., and K. Rogoff (2010), “Three Epochs of Oil,” mimeo, Harvard University.
(check this in PDF content)
35
Edelstein, P., and L. Kilian (2009), “How Sensitive are Consumer Expenditures to Retail Energy Prices?” Journal of Monetary Economics, 56, 766-779.
(check this in PDF content)
36
Elder, J., and A. Serletis (2010), “Oil Price Uncertainty,” Journal of Money, Credit and Banking, 42, 1138-1159
(check this in PDF content)
37
Elliott, G., and A. Timmermann (2008), “Economic Forecasting,” Journal of Economic Literature, 46, 3-56.
(check this in PDF content)
38
Engle, R.F., and C.T. Brownlees (2010), “Volatility, Correlation and Tails for Systemic Risk Measurement,” mimeo, Stern School of Business, New York University.
(check this in PDF content)
39
Farrell, A.E., and A.R. Brandt (2006), “Risks of the Oil Transition,” Environmental Research Letters, 1, 1-6.
(check this in PDF content)
40
Fishburn, P.C. (1977), “Mean-Risk Analysis with Risk Associated with Below-Target Returns,” American Economic Review, 67, 116–26.
(check this in PDF content)
41
Giannone, D., Lenza, M. and G. Primiceri (2010), “Prior Selection for Vector Autoregressions,” mimeo, Department of Economics, Free University of Brussels.
(check this in PDF content)
42
Gillman, M., and A. Nakov (2009), “Monetary Effects on Nominal Oil Prices,” North American Journal of Economics and Finance, 20, 239-254.
(check this in PDF content)
43
Goldberg, P. (1998), “The Effects of the Corporate Average Fuel Economy Standards in the U.S.,” Journal of Industrial Economics, 46, 1-33.
(check this in PDF content)
44
Gonçalves, S., and L. Kilian (2004), “Bootstrapping Autoregressions in the Presence of Conditional Heteroskedasticity of Unknown Form,” Journal of Econometrics, 123, 89- 120.
(check this in PDF content)
45
Gramlich, E.M. (2004), ”Oil Shocks and Monetary Policy,” Annual Economic Luncheon, Federal Reserve Bank of Kansas City, Kansas City, Missouri.
(check this in PDF content)
46
Green, E.J., and R.H. Porter (1984), “Noncooperative Collusion under Imperfect Price Information,” Econometrica, 52, 87-100.
(check this in PDF content)
47
Greenspan, A. (2004a), “Energy” Remarks by Chairman Alan Greenspan Before the Center for Strategic & International Studies, Washington, D.C. http://www.federalreserve.gov/boarddocs/speeches/2004/20040427/default.htm
(check this in PDF content)
48
Greenspan, A. (2004b), “Oil,” Speech presented at the National Italian American Foundation, Washington, DC. htttp://www.federalreserve.gov/boarddocs/speeches/2004/200410152/default.htm
(check this in PDF content)
49
Hamilton, J.D. (1983), “Oil and the Macroeconomy Since World War II,” Journal of Political Economy, 91, 228-248.
(check this in PDF content)
50
Hamilton, J.D. (1985), “Historical Causes of Postwar Oil Shocks and Recessions,” Energy Journal, 6, 97–116.
(check this in PDF content)
51
Hamilton, J.D. (1994), Time Series Analysis, Princeton, NJ: Princeton University Press.
(check this in PDF content)
52
Hamilton, J. D. (1996). “This is What Happened to the Oil Price–Macroeconomy Relationship,” Journal of Monetary Economics, 38, 215–220.
(check this in PDF content)
53
Hamilton, J. D. (2003) “What is an Oil Shock?” Journal of Econometrics, 113, 363–398.
(check this in PDF content)
54
Hamilton, J.D. (2009), “Causes and Consequences of the Oil Shock of 2007-08,” Brookings Papers on Economic Activity, 1, Spring, 215-261.
(check this in PDF content)
55
Hamilton, J.D. (2010), “Nonlinearities and the Macroeconomic Effects of Oil Prices,” forthcoming: Macroeconomic Dynamics.
(check this in PDF content)
56
Hamilton, J.D., and A.M. Herrera (2004), “Oil Shocks and Aggregate Economic Behavior: The Role of Monetary Policy,” Journal of Money, Credit and Banking, 36, 265-286.
(check this in PDF content)
57
Hendry, D. (2006), “Robustifying Forecasts from Equilibrium-Correction Systems,” Journal of Econometrics, 135, 399-426
(check this in PDF content)
58
Herrera, A.M., Lagalo, L.G., and T. Wada (2010), “Oil Price Shocks and Industrial Production: Is the Relationship Linear?” forthcoming: Macroeconomic Dynamics.
(check this in PDF content)
59
Holthausen, D.M. (1981), “A Risk-Return Model with Risk and Return Measured in Deviations from Target Return,” American Economic Review, 71, 182–88.
(check this in PDF content)
60
Hotelling, H. (1931), “The Economics of Exhaustible Resources,” Journal of Political Economy, 39, 137-175.
(check this in PDF content)
61
Inoue, A., and L. Kilian (2004a), “In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?” Econometric Reviews, 23, 371-402.
(check this in PDF content)
62
Inoue, A., and L. Kilian (2004b), “Bagging Time Series Models,” CEPR Discussion Paper No. 4333.
(check this in PDF content)
63
Inoue, A., and L. Kilian (2006), “On the Selection of Forecasting Models,” Journal of Econometrics, 130, 273-306.
(check this in PDF content)
64
Isserlis, L. (1938), “Tramp Shipping Cargoes and Freights,” Journal of the Royal Statistical Society, 101(1), 53-134.
(check this in PDF content)
65
International Monetary Fund 2005. World Economic Outlook, Washington, DC.
(check this in PDF content)
66
International Monetary Fund 2007. World Economic Outlook, Washington, DC.
(check this in PDF content)
67
Kahn, J.A. (1986), “Gasoline Prices and the Used Automobile Market: A Rational Expectations Asset Price Approach,” Quarterly Journal of Economics, 101, 323-340.
(check this in PDF content)
68
Kellogg, R. (2010), “The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling,” mimeo, Department of Economics, University of Michigan.
(check this in PDF content)
69
Kilian, L. (1999), “Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?” Journal of Applied Econometrics, 14, 491-510.
(check this in PDF content)
70
Kilian, L. (2008a), “The Economic Effects of Energy Price Shocks,” Journal of Economic Literature, 46(4), 871-909.
(check this in PDF content)
71
Kilian, L. (2008b), “Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?” Review of Economics and Statistics, 90, 216-240.
(check this in PDF content)
72
Kilian, L. (2009a), “Not all Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market,” American Economic Review, 99, 1053-1069.
(check this in PDF content)
73
Kilian, L. (2009b), ““Comment on ‘Causes and Consequences of the Oil Shock of 2007-08’ by James D. Hamilton,” Brookings Papers on Economic Activity, 1, Spring 2009, 267-278.
(check this in PDF content)
74
Kilian, L. (2010), “Explaining Fluctuations in U.S. Gasoline Prices: A Joint Model of the Global Crude Oil Market and the U.S. Retail Gasoline Market,” Energy Journal, 31, 87-104.
(check this in PDF content)
75
Kilian, L., and B. Hicks (2010), “Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?” mimeo, Department of Economics, University of Michigan.
(check this in PDF content)
76
Kilian, L., and S. Manganelli (2007), “Quantifying the Risk of Deflation,” Journal of Money, Credit and Banking, 39, 561-590.
(check this in PDF content)
77
Kilian, L., and S. Manganelli (2008), “The Central Banker as a Risk Manager: Estimating the Federal Reserve’s Preferences under Greenspan,” Journal of Money, Credit and Banking, 40, 1103-1129.
(check this in PDF content)
78
Kilian, L., and D. Murphy (2010), “The Role of Inventories and Speculative Trading in the Global Market for Crude Oil,” mimeo, University of Michigan.
(check this in PDF content)
79
Kilian, L., Rebucci, A., and N. Spatafora (2009), “Oil Shocks and External Balances,” Journal of International Economics, 77, 181-194.
(check this in PDF content)
80
Kilian, L., and C. Vega (2010), “Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices,” Review of Economics and Statistics, 93, 660-671.
(check this in PDF content)
81
Kilian, L., and R. Vigfusson (2010a), “Are the Responses of the U.S. Economy Asymmetric in Energy Price Increases and Decreases?” mimeo, Department of Economics, University of Michigan.
(check this in PDF content)
82
Kilian, L., and R. Vigfusson (2010b), “Nonlinearities in the Oil Price-Output Relationship,” forthcoming: Macroeconomic Dynamics.
(check this in PDF content)
83
Kilian, L., and R. Vigfusson (2010c), “Do Net Oil Price Increases Help Forecast U.S. Real GDP?” mimeo, Department of Economics, University of Michigan.
(check this in PDF content)
84
Knetsch, T.A. (2007), “Forecasting the Price of Oil via Convenience Yield Predictions,” Journal of Forecasting, 26, 527-549.
(check this in PDF content)
85
Koop, G., Pesaran M.H., and S.M. Potter (1996), “Impulse Response Analysis in Nonlinear Multivariate Models,” Journal of Econometrics, 74, 119‐147.
(check this in PDF content)
86
Leamer, E.E. (1978), Specification Searches: Ad hoc Inference with Nonexperimental Data, New York: Wiley-Interscience.
(check this in PDF content)
87
Lütkepohl, H. (1982), “Non-Causality due to Omitted Variables,” Journal of Econometrics, 19, 367-378.
(check this in PDF content)
88
Machina, M.J., and M. Rothschild (1987), “Risk,” in Eatwell, J., Millgate, M., and P. Newman (eds.), The New Palgrave Dictionary of Economics, London: MacMillan, 203-205.
(check this in PDF content)
89
Marcellino, M., Stock, J.H., and M.W. Watson (2006), “A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series,” Journal of Econometrics, 135, 499-526.
(check this in PDF content)
90
Mork, K.A. (1989), “Oil and the Macroeconomy. When Prices Go Up and Down: An Extension of Hamilton’s Results,” Journal of Political Economy, 97, 740‐744.
(check this in PDF content)
91
Peck, A.E. (1985), “Economic Role of Traditional Commodity Futures Markets,” in A.E. Peck (ed.): Futures Markets: Their Economic Role, Washington, DC: American Enterprise Institute for Public Policy Research, 1-81.
(check this in PDF content)
92
Pesaran, M.H., and A. Timmermann (2009), “Testing Dependence Among Serially Correlated Multicategory Variables," Journal of the American Statistical Association, 104, 325 337.
(check this in PDF content)
93
Pindyck, R.S. (1991), “Irreversibility, Uncertainty and Investment,” Journal of Economic Literature, 29, 1110‐1148.
(check this in PDF content)
94
Ramey, V.A., and D.J. Vine (2010), “Oil, Automobiles, and the U.S. Economy: How Much Have Things Really Changed,” forthcoming: NBER Macroeconomics Annual.
(check this in PDF content)
95
Ravazzolo, F., and P. Rothman (2010), “Oil and U.S. GDP: A Real Time Out-of-Sample Examination,” mimeo, Norges Bank.
(check this in PDF content)
96
Ravn, M.O., and H. Uhlig (2002), “On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations,” Review of Economics and Statistics, 84, 371-380.
(check this in PDF content)
97
Reichlin, L., Giannone, D., and D. Small (2008), “Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases,” Journal of Monetary Economics, 55, 665-676.
(check this in PDF content)
98
Sims, C.A., Stock, J.H., and M.W. Watson (1990), “Inference in Linear Time Series Models with Some Unit Roots,” Econometrica, 58, 113-144.
(check this in PDF content)
99
Skeet, I. (1988), OPEC: Twenty-Five Years of Prices and Politics. Cambridge: Cambridge University Press.
(check this in PDF content)
100
Smith, J.L. (2005), “Inscrutable OPEC? Behavioral Tests of the Cartel Hypothesis,” Energy Journal, 26, 51-82.
(check this in PDF content)
101
Stock, J.H., and M.W. Watson (1999), “Forecasting Inflation,” Journal of Monetary Economics, 44, 293-335.
(check this in PDF content)
102
Svensson, L.E.O. (2005), “Oil Prices and ECB Monetary Policy,” mimeo, Department of Economics, Princeton University. See: http://www.princeton.edu/svensson/
(check this in PDF content)
103
Tinbergen, J. (1959). “Tonnage and Freight” in: Jan Tinbergen Selected Papers, Amsterdam: North Holland, 93-111.
(check this in PDF content)
104
Waggoner, D.F., and T. Zha (1999), “Conditional Forecasts in Dynamic Multivariate Models,” Review of Economics and Statistics, 81, 639-651.
(check this in PDF content)
105
Working, H. (1942), “Quotations on Commodity Futures as Price Forecasts,” Econometrica, 16, 39-52.
(check this in PDF content)
106
Wu, T., and A. McCallum (2005), “Do Oil Futures Prices Help Predict Future Oil Prices?” Federal Reserve Bank of San Francisco Economic Letter, 2005-38.
(check this in PDF content)
107
Zagaglia, P. (2010), “Macroeconomic Factors and Oil Futures Prices: A Data-Rich Model,” Energy Economics, 32, 409-417.
(check this in PDF content)
108
U.S. Dollars/Barrel U.S. Dollars/Barrel 1982-84 U.S. Dollars/Barrel 1982-84 U.S. Dollars/Barrel Percent Change Percent Change U.S. Dollars/Barrel Ave. Number of Open ContractsAve. Number of Contracts Traded Dollar per BarrelDollar per Barrel PercentPercentPercent Log Deviations from Mean Percent at Annual RatesPercent at Annual Rates Percent at Annual RatesPercent at Annual Rates Percent (Annual Rates)Recursive MSPE Ratio Percent (Annual Rates)Recursive MSPE Ratio PercentPercentPercent
(check this in PDF content)