Christiane Baumeister

Author

Staff research

Is the Discretionary Income Effect of Oil Price Shocks a Hoax?

Staff working paper 2017-50 Christiane Baumeister, Lutz Kilian, Xiaoqing Zhou
The transmission of oil price shocks has been a question of central interest in macroeconomics since the 1970s. There has been renewed interest in this question after the large and persistent fall in the real price of oil in 2014–16. In the context of this debate, Ramey (2017) makes the striking claim that the existing literature on the transmission of oil price shocks is fundamentally confused about the question of how to quantify the effect of oil price shocks.
Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C51, Q, Q4, Q43 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting

Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?

Staff working paper 2017-35 Christiane Baumeister, Reinhard Ellwanger, Lutz Kilian
It is commonly believed that the response of the price of corn ethanol (and hence of the price of corn) to shifts in biofuel policies operates in part through market expectations and shifts in storage demand, yet to date it has proved difficult to measure these expectations and to empirically evaluate this view.
Content Type(s): Staff research, Staff working papers JEL Code(s): Q, Q1, Q18, Q2, Q28, Q4, Q42, Q5, Q58 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Econometric, statistical and computational methods, Monetary policy, Inflation dynamics and pressures

A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil

Staff working paper 2016-18 Christiane Baumeister, Lutz Kilian
Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset.
Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C53, D, D8, D84, G, G1, G14, Q, Q4, Q43 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Econometric, statistical and computational methods

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Bank publications

Bank of Canada Review articles

May 13, 2014

The Art and Science of Forecasting the Real Price of Oil

Bank of Canada Review - Spring 2014 Christiane Baumeister
Forecasts of the price of crude oil play a significant role in the conduct of monetary policy, especially for commodity producers such as Canada. This article presents a range of recently developed forecasting models that, when pooled together, can generate, on average, more accurate forecasts of the price of oil than the oil futures curve. It also illustrates how policy-makers can evaluate the risks associated with the baseline oil price forecast and how they can determine the causes of past oil price fluctuations.
Content Type(s): Publications, Bank of Canada Review articles JEL Code(s): C, C5, C53, E, E3, E32, Q, Q4, Q43

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