← All authors Lutz Kilian Federal Reserve Bank of Dallas (from arXiv:2606.13519, 2026) · OpenAlex
108 papers in scope · 107 published · 1 on the econ.EM arXiv · 23,354 citations · h-index 68 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Quinlan Lee Alexander Wehrli Giovanni Ballarin Christian Gouriéroux Daniele Ballinari Neil Shephard Ashesh Rambachan Iones Kelanemer Holban Elena Peavento Ana María Herrera Joann Jasiak Lyudmila Grigoryeva Francesco Giancaterini Aryan Manafi Neyazi Y. Li Alain Hecq Sophie van Huellen Juan-Pablo Ortega Πέτρος Δελλαπόρτας Marcel Hirt Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 108)
working paper 2026 · arXiv
When Is the Use of Gaussian-Inverse Wishart-Haar Priors Appropriate?
published 2025 · Journal of Political Economy · 3 citations · first circulated 2024
Impulse response diagnostics for priors on parameters in structural vector autoregressions
published 2025 · Economics Letters · 2 citations
Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings
published 2025 · Journal of Applied Econometrics · 10 citations · first circulated 2022
with Michael Plante, Alexander W. Richter
How to construct monthly VAR proxies based on daily surprises in futures markets
published 2024 · Journal of Economic Dynamics and Control · 16 citations
Heterogeneity in the pass-through from oil to gasoline prices: A new instrument for estimating the price elasticity of gasoline demand
published 2024 · Journal of Public Economics · 23 citations · first circulated 2023
with Xiaoqing Zhou
State-dependent local projections
published 2024 · Journal of Econometrics · 60 citations · first circulated 2023
A broader perspective on the inflationary effects of energy price shocks
published 2023 · Energy Economics · 63 citations · first circulated 2022
with Xiaoqing Zhou
Comment on Giacomini, Kitagawa, and Read’s “Narrative Restrictions and Proxies”
published 2022 · Journal of Business and Economic Statistics · 4 citations
The impact of rising oil prices on U.S. inflation and inflation expectations in 2020–23
published 2022 · Energy Economics · 169 citations · first circulated 2021
with Xiaoqing Zhou
A Quantitative Model of the Oil Tanker Market in the Arabian Gulf
published 2022 · The Energy Journal · 8 citations · first circulated 2020
with Nikos K. Nomikos, Xiaoqing Zhou
Oil prices, exchange rates and interest rates
published 2022 · Journal of International Money and Finance · 102 citations · first circulated 2019
with Xiaoqing Zhou, Beata Smarzynska Javorcik
Oil prices, gasoline prices, and inflation expectations
published 2022 · Journal of Applied Econometrics · 118 citations · first circulated 2020
with Xiaoqing Zhou
Facts and fiction in oil market modeling
published 2022 · Energy Economics · 42 citations · first circulated 2019
Understanding the estimation of oil demand and oil supply elasticities
published 2022 · Energy Economics · 76 citations · first circulated 2020
Editorial for special issue in honor of Francis X. Diebold
published 2021 · Journal of Econometrics
Joint Bayesian inference about impulse responses in VAR models
published 2021 · Journal of Econometrics · 83 citations · first circulated 2020
Impulse response analysis for structural dynamic models with nonlinear regressors
published 2021 · Journal of Econometrics · 30 citations · first circulated 2020
The Propagation of Regional Shocks in Housing Markets: Evidence from Oil Price Shocks in Canada
published 2021 · Journal of money credit and banking · 44 citations · first circulated 2018
with Xiaoqing Zhou
Does drawing down the US Strategic Petroleum Reserve help stabilize oil prices?
published 2020 · Journal of Applied Econometrics · 49 citations · first circulated 2019
with Xiaoqing Zhou
The uniform validity of impulse response inference in autoregressions
published 2019 · Journal of Econometrics · 31 citations
Measuring global real economic activity: Do recent critiques hold up to scrutiny?
published 2019 · Economics Letters · 236 citations
Modeling fluctuations in the global demand for commodities
published 2018 · Journal of International Money and Finance · 267 citations · first circulated 2017
with Xiaoqing Zhou
Special Issue "Energy Challenges in an Uncertain World" Editorial
published 2018 · The Energy Journal · 1 citations
Is the Discretionary Income Effect of Oil Price Shocks a Hoax?
published 2018 · The Energy Journal · 47 citations · first circulated 2017
with Christiane Baumeister, Xiaoqing Zhou
The Role of Oil Price Shocks in Causing U.S. Recessions
published 2017 · Journal of money credit and banking · 153 citations · first circulated 2014
with Robert J. Vigfusson
ARE PRODUCT SPREADS USEFUL FOR FORECASTING OIL PRICES? AN EMPIRICAL EVALUATION OF THE VERLEGER HYPOTHESIS
published 2017 · Macroeconomic Dynamics · 78 citations
with Christiane Baumeister, Xiaoqing Zhou
The Impact of the Fracking Boom on Arab Oil Producers
published 2017 · The Energy Journal · 104 citations · first circulated 2016
Impulse response matching estimators for DSGE models
published 2016 · Journal of Econometrics · 45 citations · first circulated 2014
The Impact of the Shale Oil Revolution on U.S. Oil and Gasoline Prices
published 2016 · Review of Environmental Economics and Policy · 220 citations · first circulated 2014
Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump
published 2016 · Journal of Applied Econometrics · 40 citations · first circulated 2015
with Christiane Baumeister, Thomas K. Lee
Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us
published 2016 · The Journal of Economic Perspectives · 537 citations
with Christiane Baumeister
Anticipation, Tax Avoidance, and the Price Elasticity of Gasoline Demand
published 2016 · Journal of Applied Econometrics · 134 citations · first circulated 2015
with John Coglianese, Lucas W. Davis, James H. Stock
Understanding the Decline in the Price of Oil since June 2014
published 2016 · Journal of the Association of Environmental and Resource Economists · 249 citations · first circulated 2015
with Christiane Baumeister
Joint Confidence Sets for Structural Impulse Responses
published 2016 · Journal of Econometrics · 10 citations
Lower Oil Prices and the U.S. Economy: Is This Time Different?
published 2016 · Brookings Papers on Economic Activity · 165 citations
with Christiane Baumeister
Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach
published 2015 · Journal of Business and Economic Statistics · 330 citations
with Christiane Baumeister
Do high-frequency financial data help forecast oil prices? The MIDAS touch at work
published 2015 · International Journal of Forecasting · 137 citations
with Christiane Baumeister, Pierre Guérin
Comment
published 2015 · Journal of Business and Economic Statistics · 17 citations
Recent Evolutions of Oil and Commodity Prices
published 2015 · Review of Environment, Energy and Economics - Re · 1 citations
with Leo Drollas, Vincent Kaminski, Charles F. Mason, Apostolos Serletis, Adonis Yatchew
no link
Oil Price Shocks: Causes and Consequences
published 2014 · Annual Review of Resource Economics · 349 citations
Do oil price increases cause higher food prices?
published 2014 · Economic Policy · 230 citations
with Christiane Baumeister
Are there gains from pooling real-time oil price forecasts?
published 2014 · Energy Economics · 87 citations
with Christiane Baumeister, Thomas K. Lee
WHAT CENTRAL BANKERS NEED TO KNOW ABOUT FORECASTING OIL PRICES
published 2014 · International Economic Review · 172 citations
with Christiane Baumeister
Real-Time Analysis of Oil Price Risks Using Forecast Scenarios
published 2014 · IMF Economic Review · 104 citations
with Christiane Baumeister
Quantifying the speculative component in the real price of oil: The role of global oil inventories
published 2013 · Journal of International Money and Finance · 320 citations
with Thomas K. Lee
Inference on impulse response functions in structural VAR models” [J. Econometrics 177 (2013) 1–13
published 2013 · Journal of Econometrics · 234 citations · first circulated 2011
Frequentist inference in weakly identified dynamic stochastic general equilibrium models
published 2013 · Quantitative Economics · 34 citations
The Role of Speculation in Oil Markets: What Have We Learned So Far?
published 2013 · The Energy Journal · 104 citations
with Bassam Fattouh, Łavan Mahadeva
THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL
published 2013 · Journal of Applied Econometrics · 1435 citations · first circulated 2010
with Daniel Murphy
Monetary Policy Responses to Oil Price Fluctuations
published 2012 · IMF Economic Review · 198 citations
with Martin Bodenstein, Luca Guerrieri
Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries
published 2012 · Journal of Business and Economic Statistics · 190 citations
with Robert J. Vigfusson
WHY AGNOSTIC SIGN RESTRICTIONS ARE NOT ENOUGH: UNDERSTANDING THE DYNAMICS OF OIL MARKET VAR MODELS
published 2012 · Journal of the European Economic Association · 543 citations · first circulated 2009
with Daniel Murphy, Dan Murphy
Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003–2008?
published 2012 · Journal of Forecasting · 370 citations · first circulated 2009
with Bruce L. Hicks
Real-Time Forecasts of the Real Price of Oil
published 2012 · Journal of Business and Economic Statistics · 369 citations
with Christiane Baumeister
Interviews with the experts on "Financial Speculation in the Oil Market and the Determinants of the Oil Price" (PART II)
published 2012 · Review of Environment, Energy and Economics - Re
with Thomas Helbling, Vincent Kaminski, Robert D. Levin
no link
Are the responses of the U.S. economy asymmetric in energy price increases and decreases?
published 2011 · Quantitative Economics · 585 citations
with Robert J. Vigfusson
NONLINEARITIES IN THE OIL PRICE–OUTPUT RELATIONSHIP
published 2011 · Macroeconomic Dynamics · 284 citations · first circulated 2010
with Robert J. Vigfusson
Does the Fed Respond to Oil Price Shocks?
published 2011 · The Economic Journal · 391 citations · first circulated 2009
with Logan T. Lewis
The Allocative Cost of Price Ceilings in the U.S. Residential Market for Natural Gas
published 2011 · Journal of Political Economy · 30 citations · first circulated 2007
with Lucas W. Davis
How Reliable Are Local Projection Estimators of Impulse Responses?
published 2010 · The Review of Economics and Statistics · 163 citations
with Yun Jung Kim
Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices
published 2010 · The Review of Economics and Statistics · 419 citations · first circulated 2008
with Clara Vega
Explaining Fluctuations in Gasoline Prices: A Joint Model of the Global Crude Oil Market and the U.S. Retail Gasoline Market
published 2010 · The Energy Journal · 167 citations
What do we learn from the price of crude oil futures?
published 2010 · Journal of Applied Econometrics · 738 citations · first circulated 2007
with Ron Alquist
Estimating the effect of a gasoline tax on carbon emissions
published 2010 · Journal of Applied Econometrics · 32 citations · first circulated 2009
with Lucas W. Davis
THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*
published 2009 · International Economic Review · 1840 citations · first circulated 2007
with Cheolbeom Park
Do Actions Speak Louder Than Words? Household Expectations of Inflation Based on Micro Consumption Data
published 2009 · Journal of money credit and banking · 24 citations · first circulated 2006
How sensitive are consumer expenditures to retail energy prices?
published 2009 · Journal of Monetary Economics · 588 citations · first circulated 2007
with Paul Edelstein
Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market
published 2009 · American Economic Review · 738 citations
Comments and Discussion
published 2009 · Brookings Papers on Economic Activity · 3 citations
with Alan S. Blinder
Oil shocks and external balances
published 2009 · Journal of International Economics · 348 citations · first circulated 2007
with Alessandro Rebucci, Nikola Spatafora, Nicola Spatafora
The Economic Effects of Energy Price Shocks
published 2008 · Journal of Economic Literature · 41 citations
The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan
published 2008 · Journal of money credit and banking · 87 citations · first circulated 2007
with Simone Manganelli
How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation
published 2008 · Journal of the American Statistical Association · 211 citations · first circulated 2005
Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?
published 2008 · The Review of Economics and Statistics · 388 citations
A Comparison of the Effects of Exogenous Oil Supply Shocks on Output and Inflation in the G7 Countries
published 2008 · Journal of the European Economic Association · 399 citations · first circulated 2005
Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
published 2007 · Econometric Reviews · 112 citations · first circulated 2003
The Response of Business Fixed Investment to Changes in Energy Prices: A Test of Some Hypotheses about the Transmission of Energy Price Shocks
published 2007 · The B E Journal of Macroeconomics · 164 citations
with Paul Edelstein
Comment
published 2007 · Journal of Business and Economic Statistics · 4 citations
Quantifying the Risk of Deflation
published 2007 · Journal of money credit and banking · 48 citations
with Simone Manganelli
NEW INTRODUCTION TO MULTIPLE TIME SERIES ANALYSIS , by Helmut Lütkepohl, Springer, 2005
published 2006 · Econometric Theory · 180 citations
On the selection of forecasting models
published 2005 · Journal of Econometrics · 169 citations · first circulated 2003
A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis
published 2005 · Studies in Nonlinear Dynamics and Econometrics · 317 citations
with Ventzislav Ivanov
In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
published 2005 · Econometric Reviews · 199 citations · first circulated 2002
Oil and the Macroeconomy Since the 1970s
published 2004 · The Journal of Economic Perspectives · 1135 citations
with Robert Barsky
Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
published 2004 · Journal of Econometrics · 645 citations · first circulated 2002
Bagging Time Series Models
published 2004 · Econometric Society 2004 North American Summer Meetings · 15 citations
no link
THE CONTINUITY OF THE LIMIT DISTRIBUTION IN THE PARAMETER OF INTEREST IS NOT ESSENTIAL FOR THE VALIDITY OF THE BOOTSTRAP
published 2003 · Econometric Theory · 17 citations
Why is it so difficult to beat the random walk forecast of exchange rates?
published 2003 · Journal of International Economics · 790 citations · first circulated 2001
with Mark P. Taylor
UNIT ROOTS, TREND BREAKS, AND TRANSITORY DYNAMICS: A MACROECONOMIC PERSPECTIVE
published 2002 · Macroeconomic Dynamics · 21 citations · first circulated 1999
with Lee E. Ohanian
Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR(∞) Models*
published 2002 · International Economic Review · 67 citations
Quantifying the uncertainty about the half‐life of deviations from PPP
published 2002 · Journal of Applied Econometrics · 87 citations
with Tao Zha
DATA-DRIVEN NONPARAMETRIC SPECTRAL DENSITY ESTIMATORS FOR ECONOMIC TIME SERIES: A MONTE CARLO STUDY
published 2002 · Econometric Reviews · 6 citations · first circulated 1999
with Ionel Birgean, I. Bergean
Bootstrapping Autoregressive Processes with Possible Unit Roots
published 2002 · Econometrica · 109 citations · first circulated 2000
Measuring predictability: theory and macroeconomic applications
published 2001 · Journal of Applied Econometrics · 123 citations · first circulated 1997
Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate
published 2001 · Journal of International Money and Finance · 237 citations · first circulated 1999
Do We Really Know That Oil Caused the Great Stagflation? A Monetary Alternative
published 2001 · NBER Macroeconomics Annual · 542 citations
with Robert Barsky
Impulse response analysis in vector autoregressions with unknown lag order
published 2001 · Journal of Forecasting · 158 citations
How accurate are confidence intervals for impulse responses in large VAR models?
published 2000 · Economics Letters · 47 citations
with Pao-Li Chang
Unit-Root Tests Are Useful for Selecting Forecasting Models
published 2000 · Journal of Business and Economic Statistics · 155 citations · first circulated 1999
Recent developments in bootstrapping time series
published 2000 · Econometric Reviews · 335 citations · first circulated 1996
with Jeremy Berkowitz
Residual-Based Tests for Normality in Autoregressions: Asymptotic Theory and Simulation Evidence
published 2000 · Journal of Business and Economic Statistics · 76 citations
with Ufuk Demiroğlu
Finite-Sample Properties of Percentile and Percentile-t Bootstrap Confidence Intervals for Impulse Responses
published 1999 · The Review of Economics and Statistics · 121 citations
Exchange rates and monetary fundamentals: what do we learn from long-horizon regressions?
published 1999 · Journal of Applied Econometrics · 452 citations · first circulated 1997
On the Finite-Sample Accuracy of Nonparametric Resampling Algorithms for Economic Time Series
published 1999 · Finance and Economics Discussion Series · 24 citations
with Jeremy Berkowitz, Ionel Birgean
Accounting for Lag Order Uncertainty in Autoregressions: the Endogenous Lag Order Bootstrap Algorithm
published 1998 · Journal of Time Series Analysis · 68 citations
Small-sample Confidence Intervals for Impulse Response Functions
published 1998 · The Review of Economics and Statistics · 941 citations
Confidence intervals for impulse responses under departures from normality
published 1998 · Econometric Reviews · 71 citations
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