Working Papers

Current working papers available in Adobe Acrobat format. Click to download.

• The Impact of the 2022 Oil Embargo and Price Cap on Russian Oil Prices  (with David Rapson and Burkhard Schipper).

•  Oil Price Shocks and Inflation  (with Xiaoqing Zhou), forthcoming: Handbook of Inflation.

• How to Construct Monthly VAR Proxies Based on Daily Surprises in Futures Markets

• Estimating Macroeconomic News and Surprise Shocks  (with Michael D. Plante and Alexander W. Richter).

• A Broader Perspective on the Inflationary Impact of Energy Price Shocks  (with Xiaoqing Zhou), forthcoming: Energy Economics.

• Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings  (with Michael D. Plante and Alexander W. Richter)

• Heterogeneity in the Pass-Through from Oil to Gasoline Prices: A New Instrument for Estimating the Price Elasticity of Gasoline Demand  (with Xiaoqing Zhou), forthcoming: Journal of Public Economics.

• The Role of the Prior in Estimating VAR Models with Sign Restrictions (with Atsushi Inoue), Older version

• State-Dependent Local Projections (with Silvia Goncalves, Ana Maria Herrera and Elena Pesavento). An earlier version of this paper circulated under the title "When Do State-Dependent Local Projections Work?", forthcoming: Journal of Econometrics.

• The Econometrics of Oil Market VAR Models (with Xiaoqing Zhou), forthcoming: Advances in Econometrics.

Unpublished manuscripts available in Adobe Acrobat format. Click to download.

• The Effects of Real Gasoline Prices on Automobile Demand: A Structural Analysis Using Micro Data (with E. Sims)

  • Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol? (with C. Baumeister and R. Ellwanger)

  • A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil (with C. Baumeister)

  • Oil Supply Shock Redux? (with Xiaoqing Zhou)