Research
Working Papers
Risky Oil: It's All in the Tails (with Florian Huber and Massimiliano Marcellino), May 2024.
Uncovering Disaggregated Oil Market Dynamics: A Full-Information Approach to Granular Instrumental Variables (with James D. Hamilton), June 2024.
Pandemic, War, Inflation: Oil Markets at a Crossroads?, prepared for the panel discussion on "Structural Change in Energy Markets and Implications for Inflation" at the ECB Forum on Central Banking, Sintra, June 26-28, 2023.
Structural Interpretation of Vector Autoregressions with Incomplete Identification: Setting the Record Straight (with James D. Hamilton), April 2020.
Publications
Advances in Using Vector Autoregressions to Estimate Structural Magnitudes (with James D. Hamilton), Econometric Theory, 40(3), June 2024, 472-510.
Tracking Weekly State-Level Economic Conditions (with Danilo Leiva-León and Eric Sims), Review of Economics and Statistics, 106(2), March 2024, 483-504.
Data Dashboard (state-level ECIs: April 4, 1987 - June 29, 2024; national ECI: April 4, 1987 - July 13, 2024)
Heatmap (January 18, 2020 - December 30, 2023)
Economic Weakness Index (April 4, 1987 - October 29, 2022)
Measuring Market Expectations, in: Bachmann, R., Topa, G., and van der Klaauw, W. (eds.), Handbook of Economic Expectations, Academic Press, 2023, 413-442.
Data on WTI Oil Price Expectations (January 1986 - March 2023)
Data on Market-Based Oil Price Shocks (January 1986 - April 2023)
Energy Markets and Global Economic Conditions (with Dimitris Korobilis and Thomas K. Lee), Review of Economics and Statistics, 104(4), July 2022, 828-844.
Data for Monthly Global Economic Conditions (GECON) indicator (February 1973 - June 2024)
Data for Quarterly Global Economic Conditions (GECON) indicator (1973Q1 - 2020Q4)
Structural Vector Autoregressions with Imperfect Identifying Information (with James D. Hamilton), AEA Papers and Proceedings, 112, May 2022, 466-470.
A Comparison of Monthly Global Indicators for Forecasting Growth (with Pierre Guérin), International Journal of Forecasting, 37(3), July-September 2021, 1276-1295.
Data for Monthly Global Indicators (February 1973-March 2020)
Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions (with James D. Hamilton), Journal of International Money and Finance, 109, December 2020, article 102250.
Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks (with James D. Hamilton), American Economic Review, 109(5), May 2019, 1873-1910.
Matlab codes for
R code kindly provided by Paul Richardson with documentation
Data (January 1958 - December 2016)
Updated dataset with links to data sources (January 1958 - December 2019)
Data for World Industrial Production Index (January 1958 - April 2024) -- next update: July 31, 2024
Updated series of Structural Oil Supply Shocks and Structural Oil Demand Shocks (February 1975 - March 2024)
Video of keynote lecture at the 8th Atlantic Workshop on Energy and Environmental Economics
Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations (with James D. Hamilton), Journal of Monetary Economics, 100, December 2018, 48-65.
Winner of the inaugural 2020 Journal of Monetary Economics Best Paper Award
R code kindly provided by Paul Richardson with documentation
Is the Discretionary Income Effect of Oil Price Shocks a Hoax? (with Lutz Kilian and Xiaoqing Zhou), Energy Journal, 39(SI2), September 2018, 117-137.
Are Product Spreads Useful for Forecasting Oil Prices? An Empirical Evaluation of the Verleger Hypothesis (with Lutz Kilian and Xiaoqing Zhou), Macroeconomic Dynamics, 22(3), April 2018, 562-580.
Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump (with Lutz Kilian and Thomas K. Lee), Journal of Applied Econometrics, 32(2), March 2017, 275-295.
Lower Oil Prices and the U.S. Economy: Is This Time Different? (with Lutz Kilian), Brookings Papers on Economic Activity, Fall 2016, 287-336.
Understanding the Decline in the Price of Oil Since June 2014 (with Lutz Kilian), Journal of the Association of Environmental and Resource Economists, 3(1), March 2016, 131-158.
Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us (with Lutz Kilian), Journal of Economic Perspectives, 30(1), Winter 2016, 139-160.
Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information (with James D. Hamilton), Econometrica, 83(5), September 2015, 1963-1999.
R code kindly provided by Paul Richardson with documentation
Video of Jim's lecture at the Distinguished Speaker Seminar at Aarhus University
Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach (with Lutz Kilian), Journal of Business and Economic Statistics, 33(3), July 2015, 338-351.
Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work (with Pierre Guérin and Lutz Kilian), International Journal of Forecasting, 31(2), April 2015, 238-252.
Are There Gains from Pooling Real-Time Oil Price Forecasts? (with Lutz Kilian and Thomas K. Lee), Energy Economics, 46, December 2014, S33-S43.
Do Oil Price Increases Cause Higher Food Prices? (with Lutz Kilian), Economic Policy, 29(80), October 2014, 691-747.
What Central Bankers Need to Know about Forecasting Oil Prices (with Lutz Kilian), International Economic Review, 55(3), August 2014, 869-889.
Real-Time Analysis of Oil Price Risks Using Forecast Scenarios (with Lutz Kilian), IMF Economic Review, 62(1), April 2014, 119-145.
The Role of Time-Varying Price Elasticities in Accounting for Volatility Changes in the Crude Oil Market (with Gert Peersman), Journal of Applied Econometrics, 28(7), November/December 2013, 1087-1109.
Time-Varying Effects of Oil Supply Shocks on the US Economy (with Gert Peersman), American Economic Journal: Macroeconomics, 5(4), October 2013, 1-28.
Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound (with Luca Benati), International Journal of Central Banking, 9(2), June 2013, 165-212.
Series for Structural Pure Spread Shocks for the US (1965Q4 - 2011Q4)
ECB Working Paper (contains additional results for the Euro area and Japan)
Changes in the Effects of Monetary Policy on Disaggregate Price Dynamics (with Philip Liu and Haroon Mumtaz), Journal of Economic Dynamics and Control, 37(3), March 2013, 543-560.
Real-Time Forecasts of the Real Price of Oil (with Lutz Kilian), Journal of Business and Economic Statistics, 30(2), April 2012, 326-336.
The Economic Consequences of Oil Shocks: Differences across Countries and Time (with Gert Peersman and Ine van Robays), in: Fry, R., Jones, C., and Kent, C. (eds.), Inflation in an Era of Relative Price Shocks, Sydney, May 2010, 91-128.
Resting Papers
A General Approach to Recovering Market Expectations from Futures Prices With an Application to Crude Oil (with Lutz Kilian), September 2017.
Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol? (with Reinhard Ellwanger and Lutz Kilian), NBER Working Paper 23752, August 2017.
Liquidity, Inflation and Asset Prices in a Time-Varying Framework for the Euro Area (with Eveline Durinck and Gert Peersman), National Bank of Belgium Working Paper 142, October 2008.