Kilian economic activity index
Correspondence to: Lutz Kilian, Department of Economics, University of and Trabandt (2014) argue that the vast bulk of movements in aggregate real economic activity using the U.S. consumer price index for all urban consumers. Periods Economic Activity Indexes . Economic activity indexes are indexes which attempt to provide an overall look at the state of the economy. 26 Jan 2016 findings are consistent with former results using the Kilian index, which is shown to be a leading indicator of activity in the world economy. 1 May 2015 We followed the methodology in Lutz Kilian's 2009 paper "Not All Oil Price The updated index of real economic activity for January 1973 to Kilian (2009) and find that oil-specific or precautionary demand shocks mostly drove the the index of real economic activity, and rpo the real price of oil.
1 May 2017 global real economic activity index developed by Kilian (2009) is used as indicator of world demand. Monthly oil prices are available since
for global economic activity, following Kilian (2009). 3. , we use a measure constructed from an equal-weighted index of the percent growth rates of a panel of The data were originally used in the article Kilian, L., Park, C. 2009. global crude oil production log detrended index of real economic activity log of real price of 20 Sep 2018 Keywords: oil price uncertainty, volatility, economic activities, short oil price shocks regardless of the phase of the business cycle (Kilian, I R t were sourced from Quantec Financial Conditions Index (QFC) Monthly Report. 8 Aug 2018 Since Kilian [24] points out that not all oil price shocks are alike, and the The real economic activity index is obtained from Kilian's website:
The Kilian economic index is used as an indicator of global economic activity. Based on a supply–demand framework and the cointegration theory, we find that real futures prices of crude oil are cointegrated with the Kilian economic index and a trade weighted US dollar index,
Kilian (2002), economic theory predicts that the strength of the oil cartel itself One alternative is the index of global real activity recently proposed in Kilian Oil price shocks affect the economy through the supply side (higher production costs, reallocation of resources), the Accord- ing to Barsky and Kilian (2001), the EUR (ATS)/barrel (Brent), deflated by the Austrian consumer price index. 1966 Oil Prices and U.S. Aggregate Economic Activity: A Question of. Neutrality . for global economic activity, following Kilian (2009). 3. , we use a measure constructed from an equal-weighted index of the percent growth rates of a panel of The data were originally used in the article Kilian, L., Park, C. 2009. global crude oil production log detrended index of real economic activity log of real price of 20 Sep 2018 Keywords: oil price uncertainty, volatility, economic activities, short oil price shocks regardless of the phase of the business cycle (Kilian, I R t were sourced from Quantec Financial Conditions Index (QFC) Monthly Report.
20 May 2019 addition, we include Kilian's (2009) index of real global economic activity based on dry-cargo ocean shipping freight rates in order to control for
to be the best monthly indicator of global economic activity in terms of our econometric properties. Kilian’s index of global real economic activity also accurately predicts World GDP growth rates. When extending the analysis to an out-of-sample exercise, both Kilian’s index of The Kilian economic index is used as an indicator of global economic activity. Based on a supply–demand framework and the cointegration theory, we find that real futures prices of crude oil are cointegrated with the Kilian economic index and a trade weighted US dollar index, real activity index constructed by Kilian (2009) from ocean bulk dry cargo freight rates. Hamilton (2018) recently questioned this conclusion. He observed that the Kilian (2009) index of global real economic activity depends on a normalization that has substantive consequences, of which users of the index must be aware. One is the index of global real economic activity proposed by Kilian (2009), which is designed to measure cyclical variation in the volume of the shipping of bulk dry cargoes such as iron ore, coal, fertilizer and scrap metal (see Figure 1 below). Kilian’s basic idea is that changes in world economic activity are the primary driver of the demand for shipping, and that this higher demand shows up in the short run as an increase in the real cost of shipping. Kilian calculated a nominal index of shipping costs Hamilton (2018) suggests that the Kilian (2009) index of global real economic activity is misleading and calls for alternative measures. The problem documented by Hamilton is a consequence of a coding mistake. Specifically, the index of nominal freight rates underlying the Kilian index was accidentally logged twice.
The Kilian Economic Index is calculated by Kilian (2009) based on representative single-voyage freight rates to reflect changes in the demand for industrial
for global economic activity, following Kilian (2009). 3. , we use a measure constructed from an equal-weighted index of the percent growth rates of a panel of The data were originally used in the article Kilian, L., Park, C. 2009. global crude oil production log detrended index of real economic activity log of real price of
26 Jan 2016 findings are consistent with former results using the Kilian index, which is shown to be a leading indicator of activity in the world economy. 1 May 2015 We followed the methodology in Lutz Kilian's 2009 paper "Not All Oil Price The updated index of real economic activity for January 1973 to Kilian (2009) and find that oil-specific or precautionary demand shocks mostly drove the the index of real economic activity, and rpo the real price of oil. 20 May 2019 addition, we include Kilian's (2009) index of real global economic activity based on dry-cargo ocean shipping freight rates in order to control for 5 Dec 2017 the one and only significant measure to explain time-varying oil price persistence is the index of global economic activity by Kilian (2009). 14 Dec 2016 Kilian's (2009) finding that “not all oil price shocks are alike” implies that the real economic activity index and the ICS as well as for most of the