sticky prices and monetary policy evidence from disaggregated us data this paper disentangles fluctuations in disaggregated prices due to macroeconomic and sectoral conditions using a factor augmented vector autoregression estimated on a large data set on the basis of this estimation we establish eight facts 1 macroeconomic shocks explain only about 15 of sectoral inflation fluctuations 2 the persistence of sectoral inflation is driven by macroeconomic factors 3 while disaggregated prices respond quickly to sector specific shocks their responses to aggregate shocks are small on impact and larger thereafter 4 most prices respond with a significant delay to identified monetary policy shocks and show little evidence of a price puzzle contrary to existing studies based on traditional vars 5 categories in which consumer prices fall the most following a monetary policy shock tend to be those in which quantities consumed fall the least 6 the observed dispersion in the reaction of producer prices is relatively well explained by the degree of market power 7 prices in sectors with volatile idiosyncratic shocks react rapidly to aggregate monetary policy shocks 8 the sector specific components of prices and quantities move in opposite directions

impacts of opec s political risk on the international crude oil prices an empirical analysis based on the svar models abstract the impacts of opec s political risk on the fluctuations of international crude oil prices have caused widespread concern and analyzing the impacts is of great significance to the investment decisions and risk aversion strategies in the crude oil markets therefore using the international country risk guide icrg index as a proxy for the countries political risk situation we empirically investigate the impacts of opec s political risk on the brent crude oil prices based on several structural vector autoregression svar models the main empirical results indicate that 1 the political risk of opec countries does have a significant and positive influence on brent crude oil prices in the sample period from january 1998 to september 2014 and the most significant positive influences appear in about one and a half year and last about a year 2 opec s integrated political risk contributes to 17 58 of the oil price fluctuations in the sample period which is only lesser than that of the oil demand shocks 34 64 3 compared with the political risk of opec countries in north africa and south america the political risk of opec countries in the middle east contributes most to the oil price fluctuations 4 among the eight components of the political risk in opec the internal conflicts contribute most to the oil price fluctuations in the sample period

the role of market expectations in commodity price dynamics evidence from oil data abstract this paper examines the contribution of market expectations to commodity price dynamics it proposes a dynamic competitive storage framework with an explicit expectations shock along with concurrent shocks to study the commodity price movements this allows for a refined analysis of the expectations effect on price and inventory and the estimation of the expectations applied to the world crude oil market it finds that the contribution of market expectations to the crude oil spot price movements is limited from 1987 to 2014

modeling purchasing behavior with sudden death a flexible customer lifetime model this study proposes a new customer lifetime model the gamma gompertz distribution g g the advantage of this model relative to the well known pareto distribution is twofold i its probability density function can exhibit a mode at zero or an interior mode and ii it can be skewed to the right or to the left we combine the g g with a negative binomial distribution nbd and obtain the moments of the distribution of the number of transactions over 0 t and t t t out of six data sets the g g nbd model provides a notable improvement in the log likelihood over the pareto nbd model in four data sets it can indicate substantial differences in expected residual lifetimes compared to the pareto nbd and induce a retention rather than acquisition policy on the average the g g nbd exhibits slightly better forecasts of the mean number of transactions than the pareto nbd this paper was accepted by pradeep chintagunta marketing

the effects of oil supply and demand shocks on u s consumer sentiment this paper investigates how the university of michigan s index of consumer sentiment responds to oil price shocks while oil supply shocks play only a limited role the effect of aggregate demand shocks is positive for the first few months and negative thereafter a typical other oil demand shock has a significant negative impact for up to 2 years by studying the responses of individual survey questions we find that expectations of future inflation and a change in real household income as well as perceived vehicle and house buying conditions are the main transmission channels of oil supply and demand shocks

unemployment insurance and subsequent job duration job matching versus unobserved heterogeneity the relationship between unemployment insurance ui benefit duration unemployment duration and subsequent job duration is investigated using a multi state duration model with state specific unobserved heterogeneity i examine two potential explanations for the negative correlation between unemployment and job spell durations ui benefits increase job matching quality the matching effect versus unobserved heterogeneity adverse selection the matching effect is found to be weak although new jobs accepted within 5 weeks of benefit termination seem to have a higher dissolution rate the negative correlation between unemployment and job duration is mostly explained by unobserved heterogeneity various simulations indicate that increasing the maximum benefit duration by one week will raise expected unemployment duration by 1 0 to 1 5 days but will raise expected job duration by 0 5 to 0 8 day only copyright 2001 john wiley sons ltd

influential factors in crude oil price forecasting abstract this paper identifies factors that are influential in forecasting crude oil prices we consider six categories of factors supply demand financial market commodities market speculative and geopolitical and test their significance in the context of estimating various forecasting models we find that the least absolute shrinkage and selection operator lasso regression method provides significant improvements in the forecasting accuracy of prices compared to alternative benchmarks relative to the no change and futures based models lasso forecasts at the 8 step ahead horizon yield significant reductions in mean squared prediction error mspe with mspe ratios of 0 873 and 0 898 respectively we also document substantial improvements in forecasting performance of the factor based model that employs only a subset of variables chosen by lasso finally the time varying nature of the relationship between factors and oil prices is used to explain recent movements in crude oil prices

forty years of oil price fluctuations why the price of oil may still surprise us it has been forty years since the oil crisis of 1973 74 this crisis has been one of the defining economic events of the 1970s and has shaped how many economists think about oil price shocks in recent years a large literature on the economic determinants of oil price fluctuations has emerged drawing on this literature we first provide an overview of the causes of all major oil price fluctuations between 1973 and 2014 we then discuss why oil price fluctuations remain difficult to predict despite economists improved understanding of oil markets unexpected oil price fluctuations are commonly referred to as oil price shocks we document that in practice consumers policymakers financial market participants and economists may have different oil price expectations and that what may be surprising to some need not be equally surprising to others

the relation between wealth and labour market transitions an empirical study for the netherlands we study the relationship between wealth and labour market transitions a lifecycle model in which individuals are faced by uncertainty about the availability of jobs serves as a basis for a reduced form specification for the probabilities of labour market transitions which depend on wealth according to the model theory implies a negative effect of wealth on the probability of becoming or staying employed this implication is tested for in a reduced from model of labour market transitions in which we allow for random effects initial conditions and measurement error in wealth elasticities of transitions probabilities with respect to wealth are presented copyright 2002 john wiley sons ltd

on real and sticky price theories of the business cycle after presenting some facts about the growth of government in western industrialized countries possible causes of this development are analyzed from a public choice perspective next some empirically tested theories which seek to explain this growth are discussed finally possible consequences for efficiency and individual liberty are examined it is shown that both the number and size of interest groups age of democracy as stated by mancur olson 1982 and the increasing share of government expenditure in gdp seem to exert a negative influence on the growth rate of gdp copyright 1986 by ohio state university press

the financialization of food commodity equity and cross commodity return co movements rose dramatically after the 2008 financial crisis this development took place following what has been dubbed the financialization of commodity markets

oil prices and global factor macroeconomic variables abstract this paper investigates the relationship between oil prices global industrial production prices central bank policy interest rate and monetary aggregate with a global factor augmented error correction model we confirm the following stylized relationships i at global level money industrial production and prices are cointegrated ii positive innovation in global oil price is connected with global interest rate tightening iii positive innovation in global money price level and industrial production is connected with an increase in oil prices iv positive innovations in global interest rate are associated with a decline in oil prices and v the u s euro area and china are the main drivers of global macroeconomic factors

nonparametric panel data model for crude oil and stock market prices in net oil importing countries abstract this paper introduces an innovative nonparametric panel data approach to model the long run relationship between the monthly oil price index and stock market price indices of ten large net oil importing countries namely the united states japan china south korea india germany france singapore italy and spain in the proposed model we allow the coefficient on the oil price index to be a time varying function which evolves over time in a way that is assumed to be unknown we also allow the common trend function to evolve over time as well as extending the model further to incorporate country specific trend functions we employ a data driven local linear method to estimate these time varying trend and coefficient functions the results show that despite being largely positive there are several downward trends reflecting the aftermath of the iraq war and the recent unprecedented drop in the oil price overall we find that the nonparametric panel data model better captures the way in which the underlying stock oil price relationship has evolved over time in comparison to the point estimates of the parametric counterpart moreover we find that stock market fundamentals play a significant role in determining the oil stock price relationship our findings have important implication for policymakers and financial speculators

exchange rates of oil exporting countries and global oil price shocks a nonlinear smooth transition approach this paper models logistic and exponential smooth transition adjustments of real exchange rates for six major oil exporting countries in response to different shocks affecting oil prices the logis

asymmetries in the responses of regional job flows to oil price shocks this paper studies the effect of oil price innovations on manufacturing job flows across u s states first i estimate a nonlinear structural equation model and compute impulse response functions by monte carlo integration i find asymmetries in the responses of job flows to positive and negative oil price innovations yet these asymmetries do not pass a test of symmetry on the impulse responses especially after accounting for data mining third i use a test for the absence of job reallocation to evaluate whether an unexpected increase in the real price of oil price triggers an important change in job reallocation i find that oil price shocks have limited regional allocative effects

oil and the macroeconomy since world war ii all but one of the u s recessions since world war ii have been preceded typically with a lag of around three fourths of a year by a dramatic increase in the price of crude petroleum this does not mean that oil shocks caused these recessions evidence is presented however that even over the period 1948 72 this correlation is statistically significant and nonspurious supporting the proposition that oil shocks were a contributing factor in at least some of the u s recessions prior to 1972 by extension energy price increases may account for much of post opec macroeconomic performance

does drawing down the us strategic petroleum reserve help stabilize oil prices we study the effects of releases from the us strategic petroleum reserve spr within the context of fully specified models of the global oil market that explicitly allow for storage demand as well as unanticipated changes in the spr we show that historically spr policy interventions defined as sequences of exogenous spr shocks during selected periods have helped stabilize the price of oil their effect on the price of oil however has been modest for example the cumulative effect of the spr releases after the invasion of kuwait in 1990 was a reduction of 2 per barrel in the real price of oil after 7 months whereas emergency drawdowns tend to lower the real price of oil we find that exchanges tend to raise the real price of oil in the long run we also provide a detailed analysis of the benefits of the 2018 white house proposal to sell off half of the spr within the next decade we show that the expected fiscal benefits of this plan are somewhat higher than the revenue of 16 6 billion dollars projected by the white house

duration dependence versus unobserved heterogeneity in treatment effects swedish labor market training and the transition rate to employment summary the effect of a treatment on the hazard rate of a duration outcome may depend on the elapsed time since treatment in addition treatment effects may be heterogeneous across agents the former gives rise to duration dependence of the treatment effect whereas unobserved heterogeneity gives rise to spurious duration dependence of the observable hazard rate we develop a model allowing for duration dependence and unobserved heterogeneity in the treatment effect the model incorporates a timing of events model and allows for selectivity on unobservables we prove identification exploiting variation in the timing of treatment and outcome in the application we analyze the effects of the swedish vocational employment training program on the individual transition rate from unemployment to work we demonstrate the appropriateness of the approach by studying the enrollment process the data cover the population and include multiple unemployment spells for many individuals the results indicate a large significantly positive effect on exit to work shortly after exiting the program the effect at the individual level diminishes after some weeks when taking account of the time spent in the program the effect on the mean unemployment duration is small copyright 2012 john wiley sons ltd

what do we learn from the price of crude oil futures summary despite their widespread use as predictors of the spot price of oil oil futures prices tend to be less accurate in the mean squared prediction error sense than no change forecasts this result is driven by the variability of the futures price about the spot price as captured by the oil futures spread this variability can be explained by the marginal convenience yield of oil inventories using a two country multi period general equilibrium model of the spot and futures markets for crude oil we show that increased uncertainty about future oil supply shortfalls under plausible assumptions causes the spread to decline increased uncertainty also causes precautionary demand for oil to increase resulting in an immediate increase in the real spot price thus the negative of the oil futures spread may be viewed as an indicator of fluctuations in the price of crude oil driven by precautionary demand an empirical analysis of this indicator provides evidence of how shifts in the uncertainty about future oil supply shortfalls affect the real spot price of crude oil copyright 2010 john wiley sons ltd

partial unemployment insurance benefits and the transition rate to regular work abstract in finland unemployed workers who are looking for a full time job but take up a part time or very short full time job may qualify for partial unemployment benefits in exchange for partial benefits these applicants must continue their search of regular full time work this study analyzes the implications of working on partial benefits for subsequent transitions to regular employment the timing of events approach is applied to distinguish between causal and selectivity effects associated with the receipt of partial benefits the results suggest that partial unemployment associated with short full time jobs facilitates transitions to regular employment also part time working on partial benefits may help men but not women in finding a regular job afterwards

the importance of modeling temporal dependence of timing and quantity in direct marketing abstract the analysis of customer value in direct marketing typically combines customer timing and quantity data into a single statistic that is used to compute lifetime values rank order customers for differential action and identify prospects for cross selling however current models assume that purchase timing and quantity decisions are independently realized i e uncorrelated over time given individual level parameters in this article the authors show that customer value calculations can be severely biased in these models when timing and quantity are dependently related the authors propose alternative models that lead to substantial gains in profitability in two direct marketing data sets the results indicate that the commonly held assumption of independence leads to an overvaluation of customer value

time varying persistence in real oil prices and its determinant abstract we provide empirical evidence for pronounced time variation in the persistence of real oil prices in particular we find episodes of mild explosiveness next to periods with random walk and also mean reverting behavior we address the question whether dynamic persistence can be directly related to macro financial variables spot futures spreads spill over effects from commodities and global real economic activity alongside these variables we use a large data set of more than one hundred fifty potential determinants featuring for example further oil related variables production and inventories and key macroeconomic series for the g7 countries by using model averaging techniques we robustly account for the inherent model uncertainty when dealing with such many potential explanatory variables as it turns out the one and only significant measure to explain time varying oil price persistence is the index of global real economic activity by kilian 2009 other variables related to e g supply shocks or speculation are however insignificant in line with recent findings we argue that fundamentals rather than speculation were the drivers of the explosive oil price in the 2000s

forecasting oil prices high frequency financial data are indeed useful abstract the paper examines the importance of combining high frequency financial information along with the oil market fundamentals in order to gain incremental forecasting accuracy for oil prices inspired by french et al 1987 and bollerslev et al 1988 who maintain that future asset returns are also influenced by past volatility we use daily volatilities and returns from financial and commodity markets to generate real out of sample forecasts for the monthly oil futures prices our results convincingly show that although the oil market fundamentals are useful for long run forecasting horizons the combination of the latter with high frequency financial data significantly improve oil price forecasts by reducing the rmse of the no change forecast by approximately 68 results are even more impressive during the oil price collapse period of 2014 15 these findings suggest that we cannot ignore the information extracted from the financial markets when forecasting oil prices our results are both statistically and economically significant as suggested by several robustness tests

quantifying the speculative component in the real price of oil the role of global oil inventories abstract one of the central questions of policy interest in recent years has been how many dollars of the inflation adjusted price of oil must be attributed to speculative demand for oil stocks at each point in time we develop statistical tools that allow us to address this question and we use these tools to explore how the use of two alternative proxies for global crude oil inventories affects the empirical evidence for speculation notwithstanding some differences overall these inventory proxies yield similar results while there is evidence of speculative demand raising the price in mid 2008 by between 5 and 14 dollars depending on the inventory specification there is no evidence of speculative demand pressures between early 2003 and early 2008 as a result current policy efforts aimed at tightening the regulation of oil derivatives markets cannot be expected to lower the real price of oil in the physical market we also provide evidence that the libyan crisis in 2011 shifted expectations in oil markets resulting in a price increase of between 3 and 13 dollars depending on the inventory specification with regard to tensions with iran in 2012 the implied price premium ranges from 0 to 9 dollars

investigating household purchase timing decisions a conditional hazard function approach the purchase timing decision is an important component of the dynamics of a household s purchase behavior this decision is influenced by marketing and other variables and the modeling of this dependence has recently received attention in the literature in this paper we build on previous studies and develop a comprehensive stochastic model that incorporates the major factors influencing interpurchase times specifically we use a generalized version of cox s proportional hazard model to test among competing probability distributions for the interpurchase times while incorporating effects due to marketing variables observed household characteristics and unobserved heterogeneity across households the empirical finding from analyzing the iri coffee data suggests that the interpurchase times cannot be adequately described by probability distributions such as exponential erlang 2 or weibull the effects of unobserved heterogeneity are significant and they impact the estimates of the effects of the covariates we also find that a nonparametric procedure for estimating the effects of unobserved heterogeneity provides the best overall fit to the data and yields covariate estimates that are more consistent with prior expectations our model is validated by replicating the substantive empirical findings on an additional product category

the effects of oil price shocks on job reallocation we investigate the effect of oil price innovations on u s manufacturing job flows using a simultaneous equation model that nests symmetric and asymmetric responses we find no evidence of asymmetry in the response of job flows to positive and negative oil price innovations we then inquire whether firms when facing positive shocks shed jobs faster than they create jobs we show that positive innovations lead to a decline in net employment and an increase in job reallocation possibly due to search and matching issues yet the latter effect becomes statistically insignificant when we control for data mining we demonstrate that the cumulative one year effect of oil price shocks on job creation and destruction was smaller during the great moderation but it was larger for gross job reallocation these variations were caused by a change in the transmission channel and not by smaller oil price shocks

nonlinearities in the response of real gdp to oil price shocks abstract this paper re examines whether real gdp growth responds asymmetrically to real oil price increases and decreases using a sample that includes the recent oil price declines i follow kilian and vigfusson 2011a and conduct a test of symmetry i find no evidence against the null of symmetry using the 3 year net oil price increase specification moreover i find that the results are not stable for different nonlinear transformations of the real price of oil finally evidence of asymmetry vanishes after computing specification robust critical values

historical energy price shocks and their changing effects on the economy abstract the purpose of this paper is to identify the changes in the impact of energy shocks on economic activity with an interest in assessing if an economy s vulnerability and resilience to shocks improved with economic development using data on the united kingdom over the last three hundred years the paper identifies supply aggregate demand and residual shocks to energy prices and estimates their changing influence on energy prices and gdp the results suggest that the impacts of supply shocks rose with its increasing dependence on coal and declined with its partial transition to oil however the transition from exporting coal to importing oil increased the negative impacts of demand shocks more generally the results indicate that improvements in vulnerability and resilience to shocks did not progress systematically as the economy developed instead the changes in impacts depended greatly on the circumstances related to the demand for and supply of energy sources if these experiences are transferable to future markets a transition to a diversified mix of renewable energy is likely to reduce vulnerability and increase resilience to energy price shocks

ticking away the moments timing regularity helps to better predict customer activity accurate predictions of a customer s activity status and future purchase propensities are crucial for managing customer relationships this article extends the recency frequency paradigm of customer base analysis by integrating regularity in interpurchase timing in a modeling framework by definition regularity implies less variation in timing patterns and thus better predictability whereas most stochastic customer behavior models assume a poisson process of random purchase occurrence allowing for regularity in the purchase timings is beneficial in noncontractual settings because it improves inferences about customers latent activity status this especially applies to those valuable customers who were previously very frequently active but have recently exhibited a longer purchase hiatus a newly developed generalization of the well known pareto nbd model accounts for varying degrees of regularity across customers by replacing the nbd component with a mixture of gamma distributions labeled pareto gg

a neoclassical model of unemployment and the business cycle this paper investigates a general equilibrium model of unemployment and the business cycle in which specialization of labor plays a key role a rational expectations equilibrium with fully flexible wages and prices can exhibit unemployment in which the marginal product of employed workers exceeds the reservation wage of those who are without jobs workers are unemployed either because they are in the process of relocating for a better job or because they are waiting for conditions in the depressed sector to improve moreover seemingly small disruptions in the supplies of primary commodities such as energy could be the source of fluctuations in aggregate employment and can exert surprisingly large effects on real output

explanations for the 2014 oil price decline supply or demand abstract the brent price of crude oil declined from 112 in june 2014 to a low of 31 in january 2016 both nominal prices a cumulative decrease of more than 70 some attribute the decline to increased oil production due to the u s shale revolution this paper proposes a variety of diagnostics to assess the how consistent this explanation is with the data i find that the data are broadly inconsistent with this attribution of the decline to shale oil rather the data are more consistent with a demand side explanation of weakening global economic conditions and demand for commodities including but not limited to oil in summary there is no evidence that the u s shale revolution played a significant role in the decline in oil prices since 2014 rather the evidence suggests that weakening oil demand played a much stronger role in driving the 2014 decline in oil prices

demand effects and speculation in oil markets theory and evidence abstract we present evidence showing the existence of stable cointegrating vectors connecting four important variables in the u s and global oil markets oil production stocks of crude oil the real price of oil and broad measures of income our data are monthly and go back to the 1930s split into sub samples which correspond to periods before and after the 1973 crisis we further show that the cointegrating vectors found in the data accord well with an extended commodity storage model which allows for demand growth dynamics and for supply regimes specifically inventories and price move in opposite directions when supply is flexible but the relationship reverses so that they comove when supply is inflexible

how is volatility in commodity markets linked to oil price shocks abstract this study investigates the effects of oil price shocks on volatility of agricultural and metal commodities we decompose an oil price shock to its underlying components including macroeconomics and oil specific shocks the applied method is the structural vector autoregressive svar model and the time span is from april 1983 to may 2014 the investigation is divided into two subsamples before and after may 2006 for agriculture taking into account the 2006 2008 food crisis and change in u s ethanol production policy and before and after january 2008 for metals considering the recent global financial crisis we find that based on impulse response functions the response of volatility of each commodity to an oil price shock differs significantly depending on the underlying cause of the shock for the both periods moreover according to variance decomposition the explanatory power of oil shocks becomes stronger after the crisis the different responses of commodities are described in detail by investigating market characteristics in each period

where do jobs go when oil prices drop abstract in this paper we estimate a factor augmented vector autoregressive favar model to investigate the effect of oil price shocks on total private job flows as well as on industry level job creation and destruction following an unexpected oil price drop in the first year we find that in oil and gas extraction and support activities for mining exhibit a reduction in job creation and an increase in job destruction instead industries in construction manufacturing and services exhibit an increase in the net employment change an unexpected decline in the real oil price slows down the pace of gross job reallocation we demonstrate that the increase decrease in private job destruction creation observed during the first year is primarily driven by the response of closing expanding firms in services and manufacturing

the quantitative effects of tax foresight not all states are equal abstract this paper explores the effect of federal tax news on state economic activity we estimate a factor augmented vector autoregression favar model which allows us to consider the possibility that unobserved factors such as credit and fiscal conditions might be relevant for modeling the dynamic response of aggregate and state level economic activity we identify tax foresight as a shock to the implicit tax rate measured by the yield spread between the one year tax exempt municipal bond and the one year taxable treasury bond our results suggest that an increase in the implicit tax rate raises national output over much of the anticipation period in addition anticipated tax increases give rise to expansions in state personal income and employment we find that the variation in the responsiveness of economic activity across states is mostly explained by differences in industrial composition and income distribution as well as by some demographic characteristics such as median income and education finally using a proxy for exogenous changes in federal tax revenues we investigate the dynamics of state level personal income and employment our results point to considerable heterogeneity in the response across u s states moreover they reveal that the long run multiplier for an anticipated increase in tax revenues is about a tenth of the short run multiplier for an unanticipated increase in taxes

how do oil producers respond to oil demand shocks abstract this paper analyzes the response of international oil producers to demand induced changes in the price of crude oil during 1975 2011 focusing on potential differences between opec and non opec countries the goal is to derive consistent estimates of the short run price elasticity of crude oil supply at the country level i find that oil producers hardly respond to demand shocks within the same month and that the corresponding impact price elasticities of supply are statistically indistinguishable from zero while there is little evidence of differences in the dynamic responses to a typical flow demand shock on average over the sample period opec members seem to curtail production in response to a speculative demand shock whereas non opec production expands significantly flow and speculative demand shocks account for a nontrivial fraction of the total variability in country level crude oil supply

evaluating the impact of french employment policies on individual labour market histories this paper deals with the evaluation of some public employment policies set up in france during the 1980 s to improve the labour market prospects of unskilled young workers the evaluation implemented in this paper is restricted to the impact of such public measures on durations and outcomes of subsequent spells of unemployment and employment the econometric study is conducted with non experimental longitudinal microdata recording individual labour nlarket histories a particular attention is paid to the differential effects of various types of measures according to the educational level of recipients programmes involving a higher level of on thejob training such as alternating work training programmes in private firms are principally beneficial to the less educated young workers in contrast for more educated young workers work fare programmes in the public sector decrease the intensity of transition from the subsequent unemployment spell to regular jobs for that subgroup work fare programmes may act as a signal of low employment performance

recent drivers of the real oil price revisiting and extending kilian s 2009 findings abstract we replicate and update the results of kilian 2009 to include the period since the financial crisis we separate the drivers of the price of crude oil shocks into three components oil supply shocks aggregate demand shocks and oil market specific demand shocks we provide evidence that the run up of oil prices in 2008 was mostly driven by aggregate demand shocks and to a lesser extend by oil market specific demand shocks complementing similar analyses in baumeister and kilian 2016a and kilian 2017 our results confirm that the cumulative effect of aggregate demand disruptions on the price of crude oil started before 2007 furthermore aggregate demand shocks and oil market specific demand shocks rather than oil supply shocks have the most significant effects on u s output and prices the findings are robust to an alternative measure of global real economic activity

oil price shocks and u s economic activity abstract our understanding of the sources of oil price fluctuations and their effects on the u s economy has undergone important transformations in the last decades first several studies have demonstrated the importance of identifying the causes of oil price fluctuations whether they are driven by demand or supply shocks instead of assuming that oil price changes are exogenous to the evolution of the world s economic activity second new methodologies have allowed researchers to re evaluate the functional form of the relationship between oil prices and u s gdp its components and job flows third significant advances have been made in understanding the relationship between oil price uncertainty news economic policy uncertainty and aggregate economic activity finally investigations into the time varying nature of oil price macroeconomy relationship have provided important insights into the reasons why unexpected increases in oil prices appear to shock less now than in the 1970s this paper reviews the studies that have contributed to these different aspects of the literature

how sensitive are consumer expenditures to retail energy prices abstract there is growing evidence that the primary effect of energy price shocks on the u s economy involves a reduction in consumer spending we quantify the direct effect on real consumption of unanticipated changes in discretionary income shifts in precautionary savings and changes in the operating cost of energy using durables the possibility of asymmetries in the response of real consumption to energy price shocks is also considered we demonstrate that linear models are consistent with the symmetric behavior of real consumption in 1979 when energy prices increased sharply and in 1986 when they fell sharply it is shown that historically energy price shocks have been an important factor in explaining u s real consumption growth but by no means the dominant factor

disentangling the determinants of real oil prices in this study we quantify the impacts of economic fundamentals and derivative market speculation on the real price of crude oil using a structural var with sign restriction we determine that oil demand from the us and china particularly the latter one plays a crucial role in oil price changes after the year 2000 the contribution of speculation does not exceed 10 of oil price variations in our sample period

does the volatility of commodity prices reflect macroeconomic uncertainty abstract while there exists numerous studies on the macroeconomic effects of oil and commodity shocks the literature is quite silent on the impact of macroeconomic uncertainty on oil and commodity prices and especially on their volatility this paper tackles this issue through the estimation of a structural threshold vector autoregressive tvar model on a sample of 19 commodity markets we aim at i assessing whether the effect of macroeconomic uncertainty shocks on commodity price returns depends on the degree of uncertainty and ii investigating the transfer from macroeconomic uncertainty to price uncertainty using a newly developed measure of commodity price uncertainty our findings show that both agricultural and industrial markets are highly sensitive to the variability and the level of macroeconomic uncertainty while the impact on precious metals is more parsimonious given their well identified safe haven role in time of economic turmoil in addition we find evidence that the recent 2007 09 recession has generated an unprecedented episode of high uncertainty in numerous commodity prices interestingly our analysis further reveals that volatility and uncertainty in prices can be disconnected this is especially true for the oil market as most important shocks in the 1990s and the beginning of the 2000s that lead to price volatility do not generate price uncertainty highlighting the relevance of our uncertainty measure in linking uncertainty to predictability rather than to volatility

risk appetite and oil prices abstract we demonstrate that oil prices and their volatility are no longer determined solely by real economic shocks to supply of and demand for oil but are also driven by shocks originating in the economic uncertainty and risk appetite of investors that prevail in the equity market the contribution of the latter factor has become particularly remarkable since the mid 2000s to establish these results we dismantle the squared vix index determined in the s p 500 options market into the conditional variance in stock returns to proxy for economic uncertainty and the equity variance risk premium to proxy for risk appetite using threshold garch structural vector auto regression and causality models we provide evidence about the link between risk appetite oil price returns and volatility furthermore investors appetite for risk drives changes in the ovx which measures perceptions about future oil volatility but not vice versa our results provide a better understanding of the relationship between oil the vix and its two proposed components in particular we show that changes in the risk appetite of investors are an important determinant not only for the price of equities but also for that of the most important energy resource oil

exogenous oil supply shocks how big are they and how much do they matter for the u s economy abstract the paper proposes a new measure of exogenous oil supply shocks the timing the magnitude and the sign of this measure may differ greatly from current state of the art estimates it is shown that only a small fraction of the observed oil price increases during oil crisis periods can be attributed to exogenous oil production disruptions exogenous oil supply shocks cause a sharp drop of u s real gdp growth after five quarters rather than an immediate and sustained reduction in economic growth and a spike in cpi inflation after three quarters overall exogenous oil supply shocks made remarkably little difference for the evolution of the u s economy since the 1970s although they did matter for some historical episodes

refining the workhorse oil market model the kilian and murphy journal of applied econometrics 2014 29 454 478 structural vector autoregressive model has become the workhorse model for the analysis of oil markets i explore various refinements and extensions of this model including the effects of 1 correcting an error in the measure of global real economic activity 2 explicitly incorporating narrative sign restrictions into the estimation 3 relaxing the upper bound on the impact price elasticity of oil supply 4 evaluating the implied posterior distribution of the structural models and 5 extending the sample i demonstrate that the substantive conclusions of kilian and murphy 2014 are largely unaffected by these changes

unemployment insurance rules joblessness and part time work developed and under general conditions an increase in the disregard is shown to increase both the part time and overall re employment hazards data from the current population survey s displaced worker supplements are used to test these predictions estimates from a competing risks model with correlated risks and time varying coefficients shows that increasing the disregard significantly increases the conditional probability of part time re employment during the first three months of joblessness

the balance sheet effects of oil market shocks an industry level analysis abstract the paper estimates the dynamic impact of structural oil market shocks on the balance sheet of us firms using industry level data covering manufacturing trade and mining sectors for manufacturing firms findings indicate that an unexpected disruption in oil supply that raises oil prices by 1 lowers firm profits by 1 3 on impact on the other hand profits rise by 0 39 in response to the same increase in the price of oil when it is driven by a positive movement in the global demand for oil and by 0 79 after an unexpected surge in speculative oil demand the positive balance sheet effect of speculative oil shocks on the manufacturing sector contrasts their negative effect on global economic activity an explanation follows from the industry level analysis which suggests that speculation in the oil market creates a ripple effect in downstream industries and raises inventory demand for petroleum and chemical products in contrast to its secondary role in explaining historical variations in the price of oil and profits in trade and mining sectors oil supply shocks are found to have been the dominant oil market innovations in driving fluctuations in manufacturing firms profits the analysis also finds a limited response of production costs to exogenous changes in the oil price disputing the classic notion that the cost share of oil in an industry determines its level of exposure to oil market shocks

modeling fluctuations in the global demand for commodities it is widely understood that the real price of globally traded commodities is determined by the forces of demand and supply one of the main determinants of the real price of commodities is shifts in the demand for commodities associated with unexpected fluctuations in global real economic activity

large time varying parameter vars a nonparametric approach in this paper we introduce a non parametric estimation method for a large vector autoregression var with time varying parameters the estimators and their asymptotic distributions are available in closed form this makes the method computationally efficient and capable of handling information sets as large as those typically handled by factor models and factor augmented vars favar when applied to the problem of forecasting key macroeconomic variables the method outperforms constant parameter benchmarks and large parametric bayesian vars with time varying parameters the tool can also be used for structural analysis as an example we study the time varying effects of oil price innovations on sectoral u s industrial output we find that durable consumer goods and durable materials which together account for slightly more than one fifth of total industrial output play a key role in explaining the changing interaction between unexpected oil price increases and u s business cycle fluctuations

subsidized temporary jobs lock in and stepping stone effects this article evaluates the effectiveness of subsidized temporary jobs as stepping stones to regular employment we study a french program that allows job seekers to work part time while remaining registered with the unemployment agency in this program insured individuals concurrently receive part of their unemployment benefits and wage income using administrative data we find that subsidized temporary jobs have both a significant lock in effect and a significant positive post treatment impact on the hazard rate to employment since individuals facing a high implicit tax rate have incentives to self select into better part time jobs we also find that a higher tax rate leads to a weaker lock in effect and a stronger post treatment effect simulations suggest that the lock in effect first dominates but that the overall effect eventually becomes positive they also point to ways of improving the effectiveness of the policy

oil price uncertainty and u s employment growth abstract this paper studies the effects of oil price changes on u s aggregate and sectoral employment growth in the presence of time varying oil price uncertainty we estimate a bivariate garch in mean var model using u s monthly data of oil prices and employment growth for the period 1974 m2 2018 m11 based on the results we show that an increase in oil prices reduces total employment growth and that in most private sectors but the public sector is largely unaffected the effects on employment growth in various hub sectors are also different furthermore employment growths at both aggregate and disaggregate levels respond asymmetrically to positive and negative oil price shocks which could possibly be attributed to oil price uncertainty this asymmetric impact is more evident when the model is estimated on the entire sample than on the 1970s sample implying that the role of oil price uncertainty in accounting for variations in employment growth can differ over time these findings underline the empirical relevance of oil price uncertainty for the u s labor market dynamics

customer lifetime value measurement the measurement of customer lifetime value is important because it is used as a metric in evaluating decisions in the context of customer relationship management for a firm it is important to form some expectations as to the lifetime value of each customer at the time a customer starts doing business with the firm and at each purchase by the customer in this paper we use a hierarchical bayes approach to estimate the lifetime value of each customer at each purchase occasion by jointly modeling the purchase timing purchase amount and risk of defection from the firm for each customer the data come from a membership based direct marketing company where the times of each customer joining the membership and terminating it are known once these events happen in addition there is an uncertain relationship between customer lifetime and purchase behavior therefore longer customer lifetime does not necessarily imply higher customer lifetime value we compare the performance of our model with other models on a separate validation data set the models compared are the extended nbd pareto model the recency frequency and monetary value model two models nested in our proposed model and a heuristic model that takes the average customer lifetime the average interpurchase time and the average dollar purchase amount observed in our estimation sample and uses them to predict the present value of future customer revenues at each purchase occasion in our hold out sample the results show that our model performs better than all the other models compared both at predicting customer lifetime value and in targeting valuable customers the results also show that longer interpurchase times are associated with larger purchase amounts and a greater risk of leaving the firm both male and female customers seem to have similar interpurchase time intervals and risk of leaving however female customers spend less compared with male customers

forecasting the real prices of crude oil using forecast combinations over time varying parameter models abstract in this paper we forecast real prices of crude oil using real time forecast combinations over time varying parameter tvp models with single predictor we reveal the significant predictability at all horizons up to 24 months the mean squared predictive error reduction over the benchmark of no change forecast is as high as 17 and the directional accuracy as high as 0 645 a combination with tvp models is found to generate more accurate forecasts than the same combination with constant coefficient models because the forecast errors of individual tvp models are correlated at a lower degree we also evaluate the forecasting performance in the framework of density forecasting our results indicate that the benchmark model can be significantly outperformed by forecast combination at the horizons longer than 3 months

changes in the global oil market changes in the parameters of a recursively identified oil market model are examined through an iterative algorithm that tests for possible breaks in coefficients and variances the analysis detects breaks in the coefficients of the oil production and price equations together with volatility shifts in all three equations of the model coefficient changes imply an enhanced response of production to aggregate demand shocks after 1980 and that the price response to supply shocks is more persistent from the mid 1990s all variables evidence changes in the relative contributions of individual shocks to their forecast error variances with coefficient and volatility breaks in the first half of the 1990s being particularly important in this respect the results show that analysts of this market should eschew constant parameter models estimated over an extended period

do oil price increases cause higher food prices us retail food price increases in recent years may seem large in nominal terms but after adjusting for inflation have been quite modest even after the change in us biofuel policies in 2006 in contrast increases in the real prices of corn soybeans wheat and rice received by us farmers have been more substantial and can be linked in part to increases in the real price of oil that link however appears largely driven by common macroeconomic determinants of the prices of oil and of agricultural commodities rather than the pass through from higher oil prices we show that there is no evidence that corn ethanol mandates have created a tight link between oil and agricultural markets moreover increases in agricultural commodity prices have contributed little to us retail food price increases because of the small cost share of agricultural products in food prices in short there is no evidence that oil price shocks have been associated with more than a negligible increase in us retail food prices in recent years nor is there evidence for the prevailing wisdom that oil price driven increases in the cost of food processing packaging transportation and distribution have been responsible for higher retail food prices similar results hold for other industrialized countries there is reason however to expect food commodity prices to be more tightly linked to retail food prices in developing countries christiane baumeister and lutz kilian

the 2014 oil bust causes and consequences abstract this article suggests that the 2014 oil price collapse was possibly triggered by the falling euro versus the us dollar specifically the usd eur exchange rate likely adjusted to the sudden economic growth outlook divergence between the us and the eu as evident by the relative short term interest rate spread measures and triggered a strong dollar trade which is negative for the crude oil prices thus in our view the 2014 oil price bust is another episode of oil price inefficiency similar to the 2008 oil bubble the key argument presented in this article is that as long as there are temporary economic growth divergences between the us and the eu the resulting exchange rate volatility is likely to create the pricing inefficiencies in crude oil which in fact are mean reverting as the economic growth divergences eventually dissipate

transmission of shocks and contagion from u s to mena equity markets the role of oil and gas markets abstract using a multifactor model augmented with oil and gas returns this paper examines contagion from the us to mena equity markets and studies the role of energy price fluctuations in amplifying the dependence between the us and mena equity markets we provide empirical evidence of a strong contagion effect originating from the us to mena equity markets the regional oil and gas factors account for the bulk of the variance of the mena equity returns and our findings suggest that the oil and gas markets play an important role in strengthening the dependence between the mena and us markets during episodes of market turmoil we discuss the policymaking importance of our results and propose a strategy to curb the adverse effects of us return shocks on mena equity markets during episodes of stress

diversifying away the risk of war and cross border political crisis this paper investigates the behavior of crude oil prices government bonds and stock market indices around outbreaks of severe international crises and wars using a constant mean return event study we show that these events are associated with positive and significant abnormal returns on oil and bonds which means that these two asset classes can potentially shelter shareholders from plummeting equity values during international crises a formal safe haven analysis confirms this insight such price movements may reflect a reallocation of funds across asset classes in response to the events as well as shifts in the demand for oil due to precautionary speculative and military motives we also calculate the weights for optimal portfolios which could provide insurance against conflict risk

the macroeconomic effects of oil price shocks evidence from a statistical identification approach we analyze the dynamics in the global crude oil market based on a structural vector autoregressive model we identify the model by presuming that reduced form residuals can be traced back to structural shocks that are independently distributed over the cross equation dimension the resulting point estimates of the impulse response functions allow for a direct comparison with the outcomes of more conventional identification approaches our results are remarkably similar to the results regarding oil market dynamics in kilian and murphy 2012 and inoue and kilian 2013 even though they rely on statistical arguments instead of a set of theory based a priori restrictions based on the results from our statistical approach we investigate the cumulative contributions of different oil shocks on the rapid fall in oil prices at the end of 2008 and 2014 as well as the effects of different oil shocks on macroeconomic aggregates in the us the euro area and china

oil shocks and aggregate macroeconomic behavior the role of monetary policy a recent paper by bernanke gertler and watson 1997 suggests that monetary policy could be used to eliminate any recessionary consequences of an oil price shock this paper challenges this conclusion on two grounds first we question whether the federal reserve actually has the power to implement such a policy for example we consider it unlikely that additional money creation would have succeeded in reducing the fed funds rate by 900 basis points relative to the values seen in 1974 second we point out that the size of the effect that bernanke gertler and watson attribute to oil shocks is substantially smaller than that reported by other researchers primarily due to their choice of a shorter lag length than that used by other researchers we offer evidence in favor of the longer lag length employed by previous research and show that under this specification even the aggressive federal reserve policies proposed would not have succeeded in averting a downturn