Search Results
What Can Be Learned from the Persistent Electric Power Outages in Texas?
Kilian, Lutz
(2021-04-01)
Texas suffered massive power outages during unusually cold temperatures in February. Millions of households lost access not only to power but also to heat and water for days—a situation that was foreseeable and could have been avoided.
Dallas Fed Economics
Working Paper
When Do State-Dependent Local Projections Work?
Kilian, Lutz; Pesavento, Elena; Herrera, Ana María; Goncalves, Silvia
(2022-05-06)
Many empirical studies estimate impulse response functions that depend on the state of the economy. Most of these studies rely on a variant of the local projection (LP) approach to estimate the state-dependent impulse response functions. Despite its widespread application, the asymptotic validity of the LP approach to estimating state-dependent impulse responses has not been established to date. We formally derive this result for a structural state-dependent vector autoregressive process. The model only requires the structural shock of interest to be identified. A sufficient condition for the ...
Working Papers
, Paper 2205
Working Paper
Facts and Fiction in Oil Market Modeling
Kilian, Lutz
(2020-12-21)
A series of recent articles has called into question the validity of VAR models of the global market for crude oil. These studies seek to replace existing oil market models by structural VAR models of their own based on different data, different identifying assumptions, and a different econometric approach. Their main aim has been to revise the consensus in the literature that oil demand shocks are a more important determinant of oil price fluctuations than oil supply shocks. Substantial progress has been made in recent years in sorting out the pros and cons of the underlying econometric ...
Working Papers
, Paper 1907
Limited Impact of Rising Energy Prices on U.S. Inflation, Inflation Expectations in 2020–23
Kilian, Lutz; Zhou, Xiaoqing
(2021-11-23)
Predictions of $100 per barrel oil during the coming winter have raised fears of persistently high inflation and rising inflation expectations for years to come. However, quantitative analysis suggests that these concerns have been overstated.
Dallas Fed Economics
Working Paper
Forecasting the price of oil
Alquist, Ron; Kilian, Lutz; Vigfusson, Robert J.
(2011)
We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and about the tradeoffs between alternative oil price series and model specifications? Are real or nominal oil prices predictable based on macroeconomic aggregates? Does this predictability translate into gains in out-of-sample forecast accuracy compared with conventional no-change forecasts? How useful are oil futures markets in forecasting the price of oil? How useful are survey forecasts? How does one evaluate the sensitivity of a ...
International Finance Discussion Papers
, Paper 1022
Capacity Constraints Drive the OPEC+ Supply Gap
Kilian, Lutz; Plante, Michael D.; Patel, Kunal
(2022-04-19)
Assuming that the group increases production at the same pace it has in recent months, only a handful of countries in OPEC+ will have spare capacity left by the start of the summer, a number that will dwindle as year-end approaches.
Dallas Fed Economics
Working Paper
Jointly Estimating Macroeconomic News and Surprise Shocks
Kilian, Lutz; Plante, Michael D.; Richter, Alexander W.
(2023-04-20)
This paper clarifies the conditions under which the state-of-the-art approach to identifying TFP news shocks in Kurmann and Sims (2021, KS) identifies not only news shocks but also surprise shocks. We examine the ability of the KS procedure to recover responses to these shocks from data generated by a conventional New Keynesian DSGE model. Our analysis shows that the KS response estimator tends to be strongly biased even in the absence of measurement error. This bias worsens in realistically small samples, and the estimator becomes highly variable. Incorporating a direct measure of TFP news ...
Working Papers
, Paper 2304
The Russian Oil Supply Shock of 2022
Kilian, Lutz; Plante, Michael D.
(2022-03-22)
In the immediate aftermath of Russia’s invasion of Ukraine in late February, early estimates suggested that perhaps 3 million barrels a day (mb/d) of petroleum production had been effectively removed from the global oil market, constituting one of the largest supply shortfalls since the 1970s.
Dallas Fed Economics
Working Paper
Geopolitical Oil Price Risk and Economic Fluctuations
Richter, Alexander W.; Kilian, Lutz; Plante, Michael D.
(2024-11-12)
This paper studies the general equilibrium effects of time-varying geopolitical risk in the oil market by simultaneously modeling downside risk from disasters, oil storage and the endogenous determination of oil price and macroeconomic uncertainty in the global economy. Notwithstanding the attention geopolitical events in oil markets have attracted, we find that geopolitical oil price risk is not a major driver of global macroeconomic fluctuations. Even when allowing for the possibility of an unprecedented 20 percent drop in global oil production, it takes a large increase in the probability ...
Working Papers
, Paper 2403
Report
Is there a trend break in U.S. GNP? A macroeconomic perspective
Ohanian, Lee E.; Kilian, Lutz
(1998)
Unit root tests against trend break alternatives are based on the premise that the dating of the trend breaks coincides with major economic events with permanent effects on economic activity, such as wars and depressions. Standard economic theory, however, suggests that these events have large transitory, rather than permanent, effects on economic activity. Conventional unit root tests against trend break alternatives based on linear ARIMA models do not capture these transitory effects and can result in severely distorted inference. We quantify the size distortions for a simple model in which ...
Staff Report
, Paper 244
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