L
Lutz Kilian
Researcher at Federal Reserve Bank of Dallas
Publications - 258
Citations - 44316
Lutz Kilian is an academic researcher from Federal Reserve Bank of Dallas. The author has contributed to research in topics: Supply and demand & Autoregressive model. The author has an hindex of 81, co-authored 251 publications receiving 39552 citations. Previous affiliations of Lutz Kilian include University of Michigan & Center for Economic and Policy Research.
Papers
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Book ChapterDOI
Time Series Analysis
TL;DR: This paper provides a concise overview of time series analysis in the time and frequency domains with lots of references for further reading.
Posted Content
Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market
Lutz Kilian,Lutz Kilian +1 more
TL;DR: In this paper, a structural decomposition of the real price of crude oil in four components is proposed: oil supply shocks driven by political events in OPEC countries; other oil supply shock; aggregate shocks to the demand for industrial commodities; and demand shocks that are specific to the crude oil market.
Journal ArticleDOI
Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market
TL;DR: In this article, a structural decomposition of the real price of crude oil is proposed, based on a newly developed measure of global real economic activity, and the authors estimate the dynamic effects of these shocks on the real prices of oil.
Journal ArticleDOI
The impact of oil price shocks on the u.s. stock market
Lutz Kilian,Cheolbeom Park +1 more
TL;DR: In this paper, the reaction of U.S. real stock returns to an oil price shock differs greatly depending on whether the change in the price of oil is driven by demand or supply shocks in the oil market.
Journal ArticleDOI
The role of inventories and speculative trading in the global market for crude oil
TL;DR: The authors developed a structural model of the global market for crude oil that for the first time explicitly allows for shocks to the speculative demand for oil as well as shocks to flow demand and flow supply.