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Asymmetric Responses of Consumer Spending to Energy Prices: A Threshold VAR Approach

https://doi.org/10.26509/frbc-wp-202017
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/jae.1137openalex-snapshot
Large Bayesian vector auto regressions
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Forecasting with Medium and Large Bayesian VARS
inferredcites →https://doi.org/10.1002/jae.2315openalex-snapshot
Bayesian VARs: Specification Choices and Forecast Accuracy
inferredcites →https://doi.org/10.1007/978-94-009-9941-1_24openalex-snapshot
On a Threshold Model
inferredcites →https://doi.org/10.1007/s00181-011-0459-yopenalex-snapshot
What is an oil shock? Panel data evidence
inferredcites →https://doi.org/10.1016/0304-4076(95)01753-4openalex-snapshot
Impulse response analysis in nonlinear multivariate models
inferredcites →https://doi.org/10.1016/j.eneco.2005.03.001openalex-snapshot
The asymmetry of the impact of oil price shocks on economic activities: An application of the multivariate threshold model
inferredcites →https://doi.org/10.1016/j.eneco.2012.08.007openalex-snapshot
Oil price effects on personal consumption expenditures
inferredcites →https://doi.org/10.1016/j.jeconom.2010.05.002openalex-snapshot
A flexible approach to parametric inference in nonlinear and time varying time series models
inferredcites →https://doi.org/10.1016/j.jedc.2015.08.006openalex-snapshot
The effects of oil price shocks on job reallocation
inferredcites →https://doi.org/10.1016/j.jimonfin.2012.05.024openalex-snapshot
Exchange rate pass-through and inflation: A nonlinear time series analysis
inferredcites →https://doi.org/10.1016/j.jimonfin.2014.09.004openalex-snapshot
Asymmetries in the response of economic activity to oil price increases and decreases?
inferredcites →https://doi.org/10.1016/j.jmoneco.2009.06.001openalex-snapshot
How sensitive are consumer expenditures to retail energy prices?
inferredcites →https://doi.org/10.1016/j.red.2017.01.003openalex-snapshot
Financial conditions and density forecasts for US output and inflation
inferredcites →https://doi.org/10.1016/s0140-9883(02)00099-3openalex-snapshot
Do oil price shocks matter? Evidence for some European countries
inferredcites →https://doi.org/10.1016/s0304-3932(01)00086-1openalex-snapshot
Sectoral job creation and destruction responses to oil price changes
inferredcites →https://doi.org/10.1016/s0304-3932(96)01281-0openalex-snapshot
What happened to the oil price-macroeconomy relationship?
inferredcites →https://doi.org/10.1016/s0304-3932(96)01282-2openalex-snapshot
This is what happened to the oil price-macroeconomy relationship
inferredcites →https://doi.org/10.1016/s0304-3932(96)01283-4openalex-snapshot
This is what happened to the oil price-macroeconomy relationship: Reply
inferredcites →https://doi.org/10.1016/s0304-4076(02)00207-5openalex-snapshot
What is an Oil Shock?
inferredcites →https://doi.org/10.1017/9781108164818openalex-snapshot
Structural Vector Autoregressive Analysis
inferredcites →https://doi.org/10.1017/s1365100511000186openalex-snapshot
NONLINEARITIES IN THE OIL PRICE–OUTPUT RELATIONSHIP
inferredcites →https://doi.org/10.1017/s1365100511000216openalex-snapshot
DO OIL SHOCKS DRIVE BUSINESS CYCLES? SOME U.S. AND INTERNATIONAL EVIDENCE
inferredcites →https://doi.org/10.1017/s1365100511000290openalex-snapshot
OIL PRICE SHOCKS AND INDUSTRIAL PRODUCTION: IS THE RELATIONSHIP LINEAR?
inferredcites →https://doi.org/10.1017/s1365100511000307openalex-snapshot
NONLINEARITIES AND THE MACROECONOMIC EFFECTS OF OIL PRICES
inferredcites →https://doi.org/10.1057/9781137336583.1307openalex-snapshot
Oil and the Macroeconomy
inferredcites →https://doi.org/10.1080/00031305.1995.10476177openalex-snapshot
Understanding the Metropolis-Hastings Algorithm
inferredcites →https://doi.org/10.1080/0003684042000281561openalex-snapshot
Oil price shocks and real GDP growth: empirical evidence for some OECD countries
inferredcites →https://doi.org/10.1086/261553openalex-snapshot
A Neoclassical Model of Unemployment and the Business Cycle
inferredcites →https://doi.org/10.1086/261625openalex-snapshot
Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results
inferredcites →https://doi.org/10.1111/j.1467-9892.1995.tb00248.xopenalex-snapshot
BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
inferredcites →https://doi.org/10.1111/j.1538-4616.2010.00347.xopenalex-snapshot
Time Variation in the Inflation Passthrough of Energy Prices
inferredcites →https://doi.org/10.1111/obes.12124openalex-snapshot
Macroeconomic Uncertainty and Oil Price Volatility
inferredcites →https://doi.org/10.1111/obes.12276openalex-snapshot
Oil Prices and Personal Consumption Expenditures: Does the Source of the Shock Matter?
inferredcites →https://doi.org/10.1146/annurev-resource-083013-114701openalex-snapshot
Oil Price Shocks: Causes and Consequences
inferredcites →https://doi.org/10.1162/rest.2000.82.2.344openalex-snapshot
Credit and Economic Activity: Credit Regimes and Nonlinear Propagation of Shocks
inferredcites →https://doi.org/10.1162/rest_a_00086openalex-snapshot
Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices
inferredcites →https://doi.org/10.1257/aer.99.3.1053openalex-snapshot
Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market
inferredcites →https://doi.org/10.1257/jel.46.4.871openalex-snapshot
The Economic Effects of Energy Price Shocks
inferredcites →https://doi.org/10.1257/jep.30.1.139openalex-snapshot
Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us
inferredcites →https://doi.org/10.1353/eca.0.0047openalex-snapshot
Causes and Consequences of the Oil Shock of 2007–08
inferredcites →https://doi.org/10.1353/eca.2016.0029openalex-snapshot
Lower Oil Prices and the U.S. Economy: Is This Time Different?
inferredcites →https://doi.org/10.17016/2380-7172.1501openalex-snapshot
Do Lower Gasoline Prices Boost Confidence?
inferredcites →https://doi.org/10.17016/ifdp.2016.1179openalex-snapshot
Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications
inferredcites →https://doi.org/10.2139/ssrn.2567576openalex-snapshot
The Asymmetric Effects of Oil Price Shocks on the Canadian Economy
inferredcites →https://doi.org/10.2139/ssrn.2827573openalex-snapshot
Macroeconomic Tail Events with Non-Linear Bayesian VARs
inferredcites →https://doi.org/10.2307/1885568openalex-snapshot
Irreversibility, Uncertainty, and Cyclical Investment
inferredcites →https://doi.org/10.2307/1926035openalex-snapshot
Oil Price Shocks and the Dispersion Hypothesis
inferredcites →https://doi.org/10.2307/2601141openalex-snapshot
The Asymmetric Effects of Monetary Policy: A Nonlinear Vector Autoregression Approach
inferredcites →https://doi.org/10.3386/w22969openalex-snapshot
The Response of Consumer Spending to Changes in Gasoline Prices
inferredcites →https://doi.org/10.3386/w3307openalex-snapshot
Irreversibility, Uncertainty, and Investment
inferredcites →https://doi.org/10.3982/qe99openalex-snapshot
Are the responses of the U.S. economy asymmetric in energy price increases and decreases?
inferredcites →https://doi.org/10.5547/01956574.36.3.7openalex-snapshot
Oil Price Shocks and the U.S. Stock Market: Do Sign and Size Matter?
inferredcites →https://doi.org/10.5547/issn0195-6574-ej-vol16-no4-2openalex-snapshot
Oil Shocks and the Macroeconomy: The Role of Price Variability*
inferredcites →https://doi.org/10.5547/issn0195-6574-ej-vol23-no3-2openalex-snapshot
Oil Price Shocks and the U.S. Economy: Where Does the Asymmetry Originate?

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.4689543openalex-extracted
Supply Chain Disruption and Energy Supply Shocks: Impact on Euro Area Output and Prices
inferred← citeshttps://doi.org/10.1016/j.eap.2022.04.008openalex-snapshot
The asymmetric effects of international oil prices, oil price uncertainty and income on urban residents’ consumption in China
inferred← citeshttps://doi.org/10.1016/j.euroecorev.2025.105037openalex-snapshot
Energy supply shocks’ nonlinearities on output and prices
inferred← citeshttps://doi.org/10.1016/j.euroecorev.2025.105077openalex-snapshot
Macroeconomic regime change and the size of supply chain disruption and energy supply shocks
inferred← citeshttps://doi.org/10.11144/javeriana.10554.64068openalex-snapshot
La vulnerabilidad de la matriz energética colombiana y sus efectos en el sector manufacturero
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