메뉴 건너뛰기




Volumn 2, Issue , 2013, Pages 427-507

Forecasting the price of oil

Author keywords

Asymmetries; Economic fundamentals; Forecast scenarios; Futures price; No change forecast; Oil; Predictability; Risk; Structural change; Structural oil market models

Indexed keywords


EID: 84876078530     PISSN: 15740706     EISSN: None     Source Type: Book Series    
DOI: 10.1016/B978-0-444-53683-9.00008-6     Document Type: Chapter
Times cited : (380)

References (106)
  • 2
    • 80052223099 scopus 로고    scopus 로고
    • Testing for the cartel in OPEC: noncooperative collusion or just noncooperative?
    • Almoguera P.A., Douglas C., Herrera A.M. Testing for the cartel in OPEC: noncooperative collusion or just noncooperative?. Oxford Review of Economic Policy 2011, 27:144-168.
    • (2011) Oxford Review of Economic Policy , vol.27 , pp. 144-168
    • Almoguera, P.A.1    Douglas, C.2    Herrera, A.M.3
  • 3
    • 77953495106 scopus 로고    scopus 로고
    • What do we learn from the price of crude oil futures?
    • Alquist R., Kilian L. What do we learn from the price of crude oil futures?. Journal of Applied Econometrics 2010, 25:539-573.
    • (2010) Journal of Applied Econometrics , vol.25 , pp. 539-573
    • Alquist, R.1    Kilian, L.2
  • 4
    • 84865327958 scopus 로고    scopus 로고
    • Inference in regression models with many regressors
    • Anatolyev S. Inference in regression models with many regressors. Journal of Econometrics 2012, 170:368-382.
    • (2012) Journal of Econometrics , vol.170 , pp. 368-382
    • Anatolyev, S.1
  • 7
    • 54849437740 scopus 로고    scopus 로고
    • Should oil prices receive so much attention? An evaluation of the predictive power of oil prices for the US economy
    • Bachmeier L., Li Q., Liu D. Should oil prices receive so much attention? An evaluation of the predictive power of oil prices for the US economy. Economic Inquiry 2008, 46:528-539.
    • (2008) Economic Inquiry , vol.46 , pp. 528-539
    • Bachmeier, L.1    Li, Q.2    Liu, D.3
  • 8
    • 0036318555 scopus 로고    scopus 로고
    • Oil price shocks and the US economy: where does the asymmetry originate?
    • Balke N.S., Brown S.P.A., Yücel M.K. Oil price shocks and the US economy: where does the asymmetry originate?. Energy Journal 2002, 23:27-52.
    • (2002) Energy Journal , vol.23 , pp. 27-52
    • Balke, N.S.1    Brown, S.P.A.2    Yücel, M.K.3
  • 9
    • 0347540118 scopus 로고    scopus 로고
    • Do we really know that oil caused the great stagflation? A monetary alternative
    • MIT Press, Cambridge, MA, B.S. Bernanke, K. Rogoff (Eds.)
    • Barsky R.B., Kilian L. Do we really know that oil caused the great stagflation? A monetary alternative. NBER Macroeconomics Annual 2001 2002, 137-183. MIT Press, Cambridge, MA. B.S. Bernanke, K. Rogoff (Eds.).
    • (2002) NBER Macroeconomics Annual 2001 , pp. 137-183
    • Barsky, R.B.1    Kilian, L.2
  • 10
    • 0035592442 scopus 로고    scopus 로고
    • Value-at-risk based management: optimal policies and asset prices
    • Basak S., Shapiro A. Value-at-risk based management: optimal policies and asset prices. Review of Financial Studies 2001, 14:371-405.
    • (2001) Review of Financial Studies , vol.14 , pp. 371-405
    • Basak, S.1    Shapiro, A.2
  • 13
    • 84888201512 scopus 로고    scopus 로고
    • The role of time-varying price elasticities in accounting for volatility changes in the crude oil market
    • Baumeister C., Peersman G. The role of time-varying price elasticities in accounting for volatility changes in the crude oil market. Journal of Applied Econometrics. 2012.
    • (2012) Journal of Applied Econometrics.
    • Baumeister, C.1    Peersman, G.2
  • 14
    • 84995453303 scopus 로고
    • Irreversibility, uncertainty, and cyclical investment
    • Bernanke B.S. Irreversibility, uncertainty, and cyclical investment. Quarterly Journal of Economics 1983, 98:85-106.
    • (1983) Quarterly Journal of Economics , vol.98 , pp. 85-106
    • Bernanke, B.S.1
  • 15
    • 84881560870 scopus 로고    scopus 로고
    • Bernanke, B.S. Oil and the Economy. Speech presented at Darton College, Albany, GA.
    • Bernanke, B.S., 2004. Oil and the Economy. Speech presented at Darton College, Albany, GA. http://www.federalreserve.gov/boarddocs/speeches/2004/20041021/default.htm.
    • (2004)
  • 19
    • 80054699134 scopus 로고    scopus 로고
    • Hypothesis testing in linear regression when k/n is large
    • Calhoun G. Hypothesis testing in linear regression when k/n is large. Journal of Econometrics 2011, 165:163-174.
    • (2011) Journal of Econometrics , vol.165 , pp. 163-174
    • Calhoun, G.1
  • 22
    • 0003047270 scopus 로고    scopus 로고
    • Tests of equal predictive accuracy and encompassing for nested models
    • Clark T.E., McCracken M. Tests of equal predictive accuracy and encompassing for nested models. Journal of Econometrics 2001, 105:85-101.
    • (2001) Journal of Econometrics , vol.105 , pp. 85-101
    • Clark, T.E.1    McCracken, M.2
  • 23
    • 29244443447 scopus 로고    scopus 로고
    • Evaluating direct multistep forecasts
    • Clark T.E., McCracken M. Evaluating direct multistep forecasts. Econometric Reviews 2005, 24:369-404.
    • (2005) Econometric Reviews , vol.24 , pp. 369-404
    • Clark, T.E.1    McCracken, M.2
  • 24
    • 9544235204 scopus 로고    scopus 로고
    • The power of tests of predictive ability in the presence of structural breaks
    • Clark T.E., McCracken M. The power of tests of predictive ability in the presence of structural breaks. Journal of Econometrics 2005, 124:1-31.
    • (2005) Journal of Econometrics , vol.124 , pp. 1-31
    • Clark, T.E.1    McCracken, M.2
  • 26
    • 33947513916 scopus 로고    scopus 로고
    • Approximately normal tests for equal predictive accuracy in nested models
    • Clark T.E., West K.D. Approximately normal tests for equal predictive accuracy in nested models. Journal of Econometrics 2007, 138:291-311.
    • (2007) Journal of Econometrics , vol.138 , pp. 291-311
    • Clark, T.E.1    West, K.D.2
  • 28
    • 0346389567 scopus 로고    scopus 로고
    • A consistent test for nonlinear out of sample predictive accuracy
    • Corradi V., Swanson N.R. A consistent test for nonlinear out of sample predictive accuracy. Journal of Econometrics 2002, 110:353-381.
    • (2002) Journal of Econometrics , vol.110 , pp. 353-381
    • Corradi, V.1    Swanson, N.R.2
  • 29
    • 33846910900 scopus 로고    scopus 로고
    • Nonparametric bootstrap procedures for predictive inference based on recursive estimation schemes
    • Corradi V., Swanson N.R. Nonparametric bootstrap procedures for predictive inference based on recursive estimation schemes. International Economic Review 2007, 48:67-109.
    • (2007) International Economic Review , vol.48 , pp. 67-109
    • Corradi, V.1    Swanson, N.R.2
  • 30
    • 77956401959 scopus 로고    scopus 로고
    • World oil demand's shift toward faster growing and less price-responsive products and regions
    • Dargay J.M., Gately D. World oil demand's shift toward faster growing and less price-responsive products and regions. Energy Policy 2010, 38:6261-6277.
    • (2010) Energy Policy , vol.38 , pp. 6261-6277
    • Dargay, J.M.1    Gately, D.2
  • 31
    • 79957933710 scopus 로고    scopus 로고
    • The allocative cost of price ceilings in the US residential market for natural gas
    • Davis L.W., Kilian L. The allocative cost of price ceilings in the US residential market for natural gas. Journal of Political Economy 2011, 119:212-241.
    • (2011) Journal of Political Economy , vol.119 , pp. 212-241
    • Davis, L.W.1    Kilian, L.2
  • 33
    • 0000428450 scopus 로고    scopus 로고
    • Making wald tests work for cointegrated VAR systems
    • Dolado J.J., Lütkepohl H. Making wald tests work for cointegrated VAR systems. Econometric Reviews 1996, 15:369-386.
    • (1996) Econometric Reviews , vol.15 , pp. 369-386
    • Dolado, J.J.1    Lütkepohl, H.2
  • 35
    • 70349226731 scopus 로고    scopus 로고
    • How sensitive are consumer expenditures to retail energy prices?
    • Edelstein P., Kilian L. How sensitive are consumer expenditures to retail energy prices?. Journal of Monetary Economics 2009, 56:766-779.
    • (2009) Journal of Monetary Economics , vol.56 , pp. 766-779
    • Edelstein, P.1    Kilian, L.2
  • 40
    • 0000096680 scopus 로고
    • Mean-risk analysis with risk associated with below-target returns
    • Fishburn P.C. Mean-risk analysis with risk associated with below-target returns. American Economic Review 1977, 67:116-126.
    • (1977) American Economic Review , vol.67 , pp. 116-126
    • Fishburn, P.C.1
  • 43
    • 0032353124 scopus 로고    scopus 로고
    • The Effects of the corporate average fuel economy standards in the US
    • Goldberg P. The Effects of the corporate average fuel economy standards in the US. Journal of Industrial Economics 1998, 46:1-33.
    • (1998) Journal of Industrial Economics , vol.46 , pp. 1-33
    • Goldberg, P.1
  • 44
    • 84881599546 scopus 로고    scopus 로고
    • Oil Shocks and Monetary Policy. Annual Economic Luncheon, Federal Reserve Bank of Kansas City, Kansas City, Missouri.
    • Gramlich, E.M., 2004. Oil Shocks and Monetary Policy. Annual Economic Luncheon, Federal Reserve Bank of Kansas City, Kansas City, Missouri.
    • (2004)
    • Gramlich, E.M.1
  • 45
    • 0001965756 scopus 로고
    • Noncooperative collusion under imperfect price information
    • Green E.J., Porter R.H. Noncooperative collusion under imperfect price information. Econometrica 1984, 52:87-100.
    • (1984) Econometrica , vol.52 , pp. 87-100
    • Green, E.J.1    Porter, R.H.2
  • 46
    • 84881591128 scopus 로고    scopus 로고
    • Energy Remarks by Chairman Alan Greenspan Before the Center for Strategic and International Studies. Washington, DCdefault.htm
    • Greenspan, A., 2004a. Energy Remarks by Chairman Alan Greenspan Before the Center for Strategic and International Studies. Washington, DC. http://www.federalreserve.gov/boarddocs/speeches/2004/20040427/default.htm.
    • (2004)
    • Greenspan, A.1
  • 47
    • 84881569692 scopus 로고    scopus 로고
    • Oil, Speech presented at the National Italian American Foundation. Washington, DC.
    • Greenspan, A., 2004b. Oil, Speech presented at the National Italian American Foundation. Washington, DC. http://www.federalreserve.gov/boarddocs/speeches/2004/200410152/default.htm.
    • (2004)
    • Greenspan, A.1
  • 48
    • 85017128111 scopus 로고
    • Oil and the macroeconomy since world war II
    • Hamilton J.D. Oil and the macroeconomy since world war II. Journal of Political Economy 1983, 91:228-248.
    • (1983) Journal of Political Economy , vol.91 , pp. 228-248
    • Hamilton, J.D.1
  • 49
    • 0002115055 scopus 로고
    • Historical causes of postwar oil shocks and recessions
    • Hamilton J.D. Historical causes of postwar oil shocks and recessions. Energy Journal 1985, 6:97-116.
    • (1985) Energy Journal , vol.6 , pp. 97-116
    • Hamilton, J.D.1
  • 50
    • 0003410290 scopus 로고
    • Princeton University Press, Princeton, NJ
    • Hamilton J.D. Time Series Analysis 1994, Princeton University Press, Princeton, NJ.
    • (1994) Time Series Analysis
    • Hamilton, J.D.1
  • 51
    • 0030268612 scopus 로고    scopus 로고
    • This is what happened to the Oil Price-Macroeconomy Relationship
    • Hamilton J.D. This is what happened to the Oil Price-Macroeconomy Relationship. Journal of Monetary Economics 1996, 38:215-220.
    • (1996) Journal of Monetary Economics , vol.38 , pp. 215-220
    • Hamilton, J.D.1
  • 53
    • 70349263367 scopus 로고    scopus 로고
    • Causes and consequences of the oil shock of 2007-08
    • Springer, pp. 215-261
    • Hamilton J.D. Causes and consequences of the oil shock of 2007-08. Brookings Papers on Economic Activity 2009, vol. 1. Springer, pp. 215-261.
    • (2009) Brookings Papers on Economic Activity , vol.1
    • Hamilton, J.D.1
  • 54
    • 84855971737 scopus 로고    scopus 로고
    • Nonlinearities and the macroeconomic effects of oil prices
    • Hamilton J.D. Nonlinearities and the macroeconomic effects of oil prices. Macroeconomic Dynamics 2011, 15:364-378.
    • (2011) Macroeconomic Dynamics , vol.15 , pp. 364-378
    • Hamilton, J.D.1
  • 55
    • 2442569001 scopus 로고    scopus 로고
    • Oil shocks and aggregate economic behavior: the role of monetary policy
    • Hamilton J.D., Herrera A.M. Oil shocks and aggregate economic behavior: the role of monetary policy. Journal of Money, Credit and Banking 2004, 36:265-286.
    • (2004) Journal of Money, Credit and Banking , vol.36 , pp. 265-286
    • Hamilton, J.D.1    Herrera, A.M.2
  • 56
    • 33747871438 scopus 로고    scopus 로고
    • Robustifying forecasts from equilibrium-correction systems
    • Hendry D. Robustifying forecasts from equilibrium-correction systems. Journal of Econometrics 2006, 135:399-426.
    • (2006) Journal of Econometrics , vol.135 , pp. 399-426
    • Hendry, D.1
  • 57
    • 84855977788 scopus 로고    scopus 로고
    • Oil price shocks and industrial production: is the relationship linear?
    • Herrera A.M., Lagalo L.G., Wada T. Oil price shocks and industrial production: is the relationship linear?. Macroeconomic Dynamics 2011, 15:472-497.
    • (2011) Macroeconomic Dynamics , vol.15 , pp. 472-497
    • Herrera, A.M.1    Lagalo, L.G.2    Wada, T.3
  • 58
    • 0000787163 scopus 로고
    • A risk-return model with risk and return measured in deviations from target return
    • Holthausen D.M. A risk-return model with risk and return measured in deviations from target return. American Economic Review 1981, 71:182-188.
    • (1981) American Economic Review , vol.71 , pp. 182-188
    • Holthausen, D.M.1
  • 59
    • 0000500321 scopus 로고
    • The economics of exhaustible resources
    • Hotelling H. The economics of exhaustible resources. Journal of Political Economy 1931, 39:137-175.
    • (1931) Journal of Political Economy , vol.39 , pp. 137-175
    • Hotelling, H.1
  • 60
    • 11344278864 scopus 로고    scopus 로고
    • In-sample or out-of-sample tests of predictability: which one should we use?
    • Inoue A., Kilian L. In-sample or out-of-sample tests of predictability: which one should we use?. Econometric Reviews 2004, 23:371-402.
    • (2004) Econometric Reviews , vol.23 , pp. 371-402
    • Inoue, A.1    Kilian, L.2
  • 61
    • 84881583130 scopus 로고    scopus 로고
    • Bagging Time Series Models. CEPR Discussion Paper No. 4333.
    • Inoue, A., Kilian, L., 2004b. Bagging Time Series Models. CEPR Discussion Paper No. 4333.
    • (2004)
    • Inoue, A.1    Kilian, L.2
  • 62
    • 31344433479 scopus 로고    scopus 로고
    • On the selection of forecasting models
    • Inoue A., Kilian L. On the selection of forecasting models. Journal of Econometrics 2006, 130:273-306.
    • (2006) Journal of Econometrics , vol.130 , pp. 273-306
    • Inoue, A.1    Kilian, L.2
  • 63
    • 84881585434 scopus 로고    scopus 로고
    • International Monetary Fund, World Economic Outlook. Washington, DC.
    • International Monetary Fund, 2005. World Economic Outlook. Washington, DC.
    • (2005)
  • 64
    • 84881563240 scopus 로고    scopus 로고
    • International Monetary Fund, World Economic Outlook. Washington, DC.
    • International Monetary Fund, 2007. World Economic Outlook. Washington, DC.
    • (2007)
  • 66
    • 0039002381 scopus 로고
    • Gasoline prices and the used automobile market: a rational expectations asset price approach
    • Kahn J.A. Gasoline prices and the used automobile market: a rational expectations asset price approach. Quarterly Journal of Economics 1986, 101:323-340.
    • (1986) Quarterly Journal of Economics , vol.101 , pp. 323-340
    • Kahn, J.A.1
  • 68
    • 0033445337 scopus 로고    scopus 로고
    • Exchange rates and monetary fundamentals: what do we learn from long-horizon regressions?
    • Kilian L. Exchange rates and monetary fundamentals: what do we learn from long-horizon regressions?. Journal of Applied Econometrics 1999, 14:491-510.
    • (1999) Journal of Applied Econometrics , vol.14 , pp. 491-510
    • Kilian, L.1
  • 69
    • 58149328520 scopus 로고    scopus 로고
    • The economic effects of energy price shocks
    • Kilian L. The economic effects of energy price shocks. Journal of Economic Literature 2008, 46(4):871-909.
    • (2008) Journal of Economic Literature , vol.46 , Issue.4 , pp. 871-909
    • Kilian, L.1
  • 70
    • 40549111870 scopus 로고    scopus 로고
    • Exogenous oil supply shocks: how big are they and how much do they matter for the US economy?
    • Kilian L. Exogenous oil supply shocks: how big are they and how much do they matter for the US economy?. Review of Economics and Statistics 2008, 90:216-240.
    • (2008) Review of Economics and Statistics , vol.90 , pp. 216-240
    • Kilian, L.1
  • 71
    • 64149131955 scopus 로고    scopus 로고
    • Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market
    • Kilian L. Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market. American Economic Review 2009, 99:1053-1069.
    • (2009) American Economic Review , vol.99 , pp. 1053-1069
    • Kilian, L.1
  • 72
    • 70349235418 scopus 로고    scopus 로고
    • Comment on Causes and Consequences of the Oil Shock of 2007-08
    • Springer, D. James, Hamilton (Eds.)
    • Kilian L. Comment on Causes and Consequences of the Oil Shock of 2007-08. Brookings Papers on Economic Activity 2009, vol. 1:267-278. Springer. D. James, Hamilton (Eds.).
    • (2009) Brookings Papers on Economic Activity , vol.1 , pp. 267-278
    • Kilian, L.1
  • 73
    • 79551588357 scopus 로고    scopus 로고
    • Explaining fluctuations in US gasoline prices: a joint model of the global crude oil market and the US retail gasoline market
    • Kilian L. Explaining fluctuations in US gasoline prices: a joint model of the global crude oil market and the US retail gasoline market. Energy Journal 2010, 31:87-104.
    • (2010) Energy Journal , vol.31 , pp. 87-104
    • Kilian, L.1
  • 74
    • 36849072012 scopus 로고    scopus 로고
    • Forecasting the price of oil via convenience yield predictions
    • Knetsch T.A. Forecasting the price of oil via convenience yield predictions. Journal of Forecasting 2007, 26:527-549.
    • (2007) Journal of Forecasting , vol.26 , pp. 527-549
    • Knetsch, T.A.1
  • 75
    • 84881579749 scopus 로고    scopus 로고
    • forthcoming. Did unexpectedly strong economic growth cause the oil price shock of 2003-? Journal of Forecasting.
    • Kilian, L., Hicks, B., forthcoming. Did unexpectedly strong economic growth cause the oil price shock of 2003-2008? Journal of Forecasting.
    • (2008)
    • Kilian, L.1    Hicks, B.2
  • 77
    • 49749107265 scopus 로고    scopus 로고
    • The central banker as a risk manager: estimating the federal reserve's preferences under greenspan
    • Kilian L., Manganelli S. The central banker as a risk manager: estimating the federal reserve's preferences under greenspan. Journal of Money, Credit and Banking 2008, 40:1103-1129.
    • (2008) Journal of Money, Credit and Banking , vol.40 , pp. 1103-1129
    • Kilian, L.1    Manganelli, S.2
  • 80
    • 79957515397 scopus 로고    scopus 로고
    • Do energy prices respond to US macroeconomic news? A test of the hypothesis of predetermined energy prices
    • Kilian L., Vega C. Do energy prices respond to US macroeconomic news? A test of the hypothesis of predetermined energy prices. Review of Economics and Statistics 2010, 93:660-671.
    • (2010) Review of Economics and Statistics , vol.93 , pp. 660-671
    • Kilian, L.1    Vega, C.2
  • 81
    • 84855976079 scopus 로고    scopus 로고
    • Are the responses of the US economy asymmetric in energy price increases and decreases?
    • Kilian L., Vigfusson R.J. Are the responses of the US economy asymmetric in energy price increases and decreases?. Quantitative Economics 2011, 2:419-453.
    • (2011) Quantitative Economics , vol.2 , pp. 419-453
    • Kilian, L.1    Vigfusson, R.J.2
  • 82
    • 84855910937 scopus 로고    scopus 로고
    • Nonlinearities in the oil price-output relationship
    • Kilian L., Vigfusson R.J. Nonlinearities in the oil price-output relationship. Macroeconomic Dynamics 2011, 15:337-363.
    • (2011) Macroeconomic Dynamics , vol.15 , pp. 337-363
    • Kilian, L.1    Vigfusson, R.J.2
  • 83
    • 84876085412 scopus 로고    scopus 로고
    • Do oil price increases help forecast US real GDP? The role of nonlinearities and asymmetries
    • Kilian L., Vigfusson R.J. Do oil price increases help forecast US real GDP? The role of nonlinearities and asymmetries. Journal of Business and Economic Statistics 2013, 31:78-93.
    • (2013) Journal of Business and Economic Statistics , vol.31 , pp. 78-93
    • Kilian, L.1    Vigfusson, R.J.2
  • 84
    • 0001353625 scopus 로고    scopus 로고
    • Impulse response analysis in nonlinear multivariate models
    • Koop G., Pesaran M.H., Potter S.M. Impulse response analysis in nonlinear multivariate models. Journal of Econometrics 1996, 74:119-147.
    • (1996) Journal of Econometrics , vol.74 , pp. 119-147
    • Koop, G.1    Pesaran, M.H.2    Potter, S.M.3
  • 86
    • 0000685408 scopus 로고
    • Non-causality due to omitted variables
    • Lütkepohl H. Non-causality due to omitted variables. Journal of Econometrics 1982, 19:367-378.
    • (1982) Journal of Econometrics , vol.19 , pp. 367-378
    • Lütkepohl, H.1
  • 88
    • 33747879841 scopus 로고    scopus 로고
    • A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
    • Marcellino M., Stock J.H., Watson M.W. A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series. Journal of Econometrics 2006, 135:499-526.
    • (2006) Journal of Econometrics , vol.135 , pp. 499-526
    • Marcellino, M.1    Stock, J.H.2    Watson, M.W.3
  • 89
    • 0000712639 scopus 로고
    • Oil and the macroeconomy. When prices go up and down: an extension of Hamilton's results
    • Mork K.A. Oil and the macroeconomy. When prices go up and down: an extension of Hamilton's results. Journal of Political Economy 1989, 97:740-744.
    • (1989) Journal of Political Economy , vol.97 , pp. 740-744
    • Mork, K.A.1
  • 90
    • 0010784848 scopus 로고
    • Economic role of traditional commodity futures markets
    • American Enterprise Institute for Public Policy Research, Washington, DC, A.E. Peck (Ed.)
    • Peck A.E. Economic role of traditional commodity futures markets. Futures Markets: Their Economic Role 1985, 1-81. American Enterprise Institute for Public Policy Research, Washington, DC. A.E. Peck (Ed.).
    • (1985) Futures Markets: Their Economic Role , pp. 1-81
    • Peck, A.E.1
  • 92
    • 0000281418 scopus 로고
    • Irreversibility, uncertainty and investment
    • Pindyck R.S. Irreversibility, uncertainty and investment. Journal of Economic Literature 1991, 29:1110-1148.
    • (1991) Journal of Economic Literature , vol.29 , pp. 1110-1148
    • Pindyck, R.S.1
  • 93
    • 79955570965 scopus 로고    scopus 로고
    • Oil, Automobiles, and the US economy: how much have things really changed
    • Ramey V.A., Vine D.J. Oil, Automobiles, and the US economy: how much have things really changed. NBER Macroeconomics Annual 2010, 25:333-368.
    • (2010) NBER Macroeconomics Annual , vol.25 , pp. 333-368
    • Ramey, V.A.1    Vine, D.J.2
  • 94
    • 18744391055 scopus 로고    scopus 로고
    • On adjusting the Hodrick-Prescott filter for the frequency of observations
    • Ravn M.O., Uhlig H. On adjusting the Hodrick-Prescott filter for the frequency of observations. Review of Economics and Statistics 2002, 84:371-380.
    • (2002) Review of Economics and Statistics , vol.84 , pp. 371-380
    • Ravn, M.O.1    Uhlig, H.2
  • 95
    • 0000745315 scopus 로고
    • Inference in linear time series models with some unit roots
    • Sims C.A., Stock J.H., Watson M.W. Inference in linear time series models with some unit roots. Econometrica 1990, 58:113-144.
    • (1990) Econometrica , vol.58 , pp. 113-144
    • Sims, C.A.1    Stock, J.H.2    Watson, M.W.3
  • 99
    • 84881593998 scopus 로고    scopus 로고
    • Oil Prices and ECB Monetary Policy. Briefing Paper for the Committee on Economic and Monetary Affairs of the European Parliament.
    • Svensson, L.E.O., 2005. Oil Prices and ECB Monetary Policy. Briefing Paper for the Committee on Economic and Monetary Affairs of the European Parliament.
    • (2005)
    • Svensson, L.E.O.1
  • 100
    • 0343377982 scopus 로고
    • Tonnage and freight
    • North Holland, Amsterdam
    • Tinbergen J. Tonnage and freight. Jan Tinbergen Selected Papers 1959, 93-111. North Holland, Amsterdam.
    • (1959) Jan Tinbergen Selected Papers , pp. 93-111
    • Tinbergen, J.1
  • 101
    • 0020418202 scopus 로고
    • The determinants of official OPEC crude prices
    • Verleger P.K. The determinants of official OPEC crude prices. Review of Economics and Statistics 1982, 64:177-183.
    • (1982) Review of Economics and Statistics , vol.64 , pp. 177-183
    • Verleger, P.K.1
  • 102
    • 84863791274 scopus 로고    scopus 로고
    • The margin, currency, and the price of oil
    • Verleger P.K. The margin, currency, and the price of oil. Business Economics 2011, 46:71-82.
    • (2011) Business Economics , vol.46 , pp. 71-82
    • Verleger, P.K.1
  • 103
    • 0040122114 scopus 로고    scopus 로고
    • Conditional forecasts in dynamic multivariate models
    • Waggoner D.F., Zha T. Conditional forecasts in dynamic multivariate models. Review of Economics and Statistics 1999, 81:639-651.
    • (1999) Review of Economics and Statistics , vol.81 , pp. 639-651
    • Waggoner, D.F.1    Zha, T.2
  • 104
    • 70350134212 scopus 로고
    • Quotations on commodity futures as price forecasts
    • Working H. Quotations on commodity futures as price forecasts. Econometrica 1942, 16:39-52.
    • (1942) Econometrica , vol.16 , pp. 39-52
    • Working, H.1
  • 105
    • 84881564980 scopus 로고    scopus 로고
    • Do Oil Futures Prices Help Predict Future Oil Prices? Federal Reserve Bank of San Francisco Economic Letter
    • Wu, T., McCallum, A., 2005. Do Oil Futures Prices Help Predict Future Oil Prices? Federal Reserve Bank of San Francisco Economic Letter, pp. 2005-38.
    • (2005) , pp. 2005-2038
    • Wu, T.1    McCallum, A.2
  • 106
    • 74349110756 scopus 로고    scopus 로고
    • Macroeconomic factors and oil futures prices: a data-rich model
    • Zagaglia P. Macroeconomic factors and oil futures prices: a data-rich model. Energy Economics 2010, 32:409-417.
    • (2010) Energy Economics , vol.32 , pp. 409-417
    • Zagaglia, P.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.