Advances in Using Vector Autoregressions to Estimate Structural Magnitudes, forthcoming, Econometric Theory. Coauthored with Christiane Baumeister. This paper surveys recent advances in drawing structural conclusions from vector autoregressions, providing a unified perspective on the role of prior knowledge. We describe the traditional approach to identification as a claim to have exact prior information about the structural model and propose Bayesian inference as a way to acknowledge that prior information is imperfect or subject to error. We raise concerns from both a frequentist and a Bayesian perspective about the way that results are typically reported for VARs that are set-identified using sign and other restrictions. We call attention to a common but previously unrecognized error in estimating structural elasticities and show how to correctly estimate elasticities even in the case when one only knows the effects of a single structural shock. Replication code.
Structural Interpretation of Vector Autoregressions with Incomplete Identification: Setting the Record Straight, coauthored with Christiane Baumeister. A recent paper by Kilian and Zhou (2019) mischaracterizes our 2019 paper in American Economic Review and much of the related literature. They misstate our contribution to the literature on identification, mischaracterize the role of prior information about supply elasticity in our analysis, inaccurately describe the relation between structural elasticities and the impacts of shocks, and mischaracterize the literature on supply elasticity. Our purpose in this paper is to set the record straight. Download data and code to replicate.
Measuring Global Economic Activity, Journal of Applied Econometrics, April/May 2021, 36(3), pp. 293-303. A number of economic studies have used a proxy for world real economic activity derived from shipping costs. This measure turns out to depend on a normalization that has substantive consequences of which users of the index had been unaware prior to this paper. This paper further evaluates this and alternative measures in terms of treatment of trends, coherence with world output, and ability to predict commodity prices. I conclude that measures derived from world industrial production offer a better indicator of global real economic activity. Nontechnical summary. Replication data and code. Presentation slides. Updated data on the world industrial production index developed by Baumeister and Hamilton, AER 2019 and on nominal and real shipping costs.
Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks, American Economic Review 109 (May 2019): 1873-1910. Coauthored with Christiane Baumeister. See Econbrowser for a short summary of the paper. Working paper version here. Data and code to replicate: results from baseline model, results from Kilian (AER, 2009), and results from Kilian and Murphy (2012). Updated data on: (1) world industrial production index; (2) series for oil supply shocks; (3) series for oil demand shocks; (4) full data set with links to original sources.
Comment on "Lower Oil Prices and the U.S. Economy: Is This Time Different?", Brookings Paper on Economic Activity, Fall 2016, 337-343.
Effects of index-fund investing on commodity futures prices, International Economic Review, 56 (February 2015): 187-205. Coauthored with Jing Cynthia Wu. Working paper version here.
Risk Premia in Crude Oil Futures Prices, Journal of International Money and Finance, 42 (April 2014): 9-37. Coauthored with Jing Cynthia Wu. Working paper version here, data and replication code here.
"Oil Prices, Exhaustible Resources, and Economic Growth," in Handbook of Energy and Climate Change, pp. 29-57, edited by Roger Fouquet. Cheltenham, United Kingdom: Edward Elgar Publishing, 2013. Working paper version here.
"Historical Oil Shocks," in Routledge Handbook of Major Events in Economic History, pp. 239-265, edited by Randall E. Parker and Robert Whaples, New York: Routledge Taylor and Francis Group, 2013. Working paper version here.
Commentary: Import Prices and Inflation, International Journal of Central Banking, March 2012, vol. 8, no. 1, pp. 271-279.
"Nonlinearities and the Macroeconomic Effects of Oil Prices," Macroeconomic Dynamics, 2011, vol. 15, Supplement 3, pp. 364-378. Working paper version here.
Causes and Consequences of the Oil Shock of 2007-08, Brookings Papers on Economic Activity, Spring 2009: 215-259. Articles summarizing this paper for a more general audience: [1] (causes); [2] (consequences). Working paper version here. Also available are data and software to reproduce any of the results in this paper.
Oil Prices and the Economic Downturn, testimony before the Joint Economic Committee of the United States Congress, May 20, 2009.
Understanding Crude Oil Prices, Energy Journal 2009, vol 30, no. 2, pp. 179-206. Working paper version here, slides for talk available here.
"Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy," Journal of Money, Credit, and Banking, April 2004, vol. 36, pp. 265-286. Co-authored with Anna Maria Herrera. Click here to see a copy of the paper or to download data and programs.
"Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices," Journal of Money, Credit and Banking, February 2004, vol. 36, pp. 17-37. Co-authored with Michael Davis. Paper can be downloaded as can the data and software used in the study.
What Is an Oil Shock? Journal of Econometrics, April 2003, vol. 113, pp. 363-398. A working paper version can be downloaded as can the data and software used in the study. Click here for updated estimation results and tests for coefficient stability using data through 2019.
"This Is What Happened to the Oil Price/Macroeconomy Relation," Journal of Monetary Economics, , Oct. 1996
"Was the Deflation During the Great Depression Anticipated? Evidence from the Commodity Futures Market," American Economic Review, March 1992. Click here to download data and software.
"A Neoclassical Model of Unemployment and the Business Cycle," Journal of Political Economy, June 1988
"The Role of the International Gold Standard in Propagating the Great Depression," Contemporary Policy Issues, April 1988
"Historical Causes of Postwar Oil Shocks and Recessions," Energy Journal, January 1985, pp. 97-116.
"Oil and the Macroeconomy Since World War II," Journal of Political Economy, April 1983, pp. 228-248.