MARC Record from Library of Congress

LEADER: 02434nam a22002897a 4500
001 2009656127
003 DLC
005 20090622154335.0
007 cr |||||||||||
008 090622s2008 dcu sb f000 0 eng
010 $a 2009656127
040 $aDLC$cDLC
050 00 $aHG3879
100 1 $aKilian, Lutz.
245 10 $aDo energy prices respond to U.S. macroeconomic news? a test of the hypothesis of predetermined energy prices$h[electronic resource] /$cLutz Kilian and Clara Vega.
260 $aWashington, D.C. :$bFederal Reserve Board,$c[2008]
490 1 $aInternational finance discussion papers ;$vno. 957
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 6/22/2009.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"Models that treat innovations to the price of energy as predetermined with respect to U.S. macroeconomic aggregates are widely used in the literature. For example, it is common to order energy prices first in recursively identified VAR models of the transmission of energy price shocks. Since exactly identifying assumptions are inherently untestable, this approach in practice has required an act of faith in the empirical plausibility of the delay restriction used for identification. An alternative view that would invalidate such models is that energy prices respond instantaneously to macroeconomic news, implying that energy prices should be ordered last in recursively identified VAR models. In this paper, we propose a formal test of the identifying assumption that energy prices are predetermined with respect to U.S. macroeconomic aggregates. Our test is based on regressing cumulative changes in daily energy prices on daily news from U.S. macroeconomic data releases. Using a wide range of macroeconomic news, we find no compelling evidence of feedback at daily or monthly horizons, contradicting the view that energy prices respond instantaneously to macroeconomic news and supporting the use of delay restrictions for identification"--Federal Reserve Board web site.
653 $aOil price;$agasoline price;$anews;$aidentification;$aimpulse responses
700 1 $aVega, Clara.
830 0 $aInternational finance discussion papers (Online) ;$vno. 957.
856 40 $uhttp://www.federalreserve.gov/pubs/ifdp/2008/957/default.htm