This study examines the risk spillovers between energy futures prices and Europe-based carbon futures contracts. We use a Markov regime-switching dynamic correlation, generalized autoregressive conditional heteroscedasticity (MSDCC- GARCH) model in order to capture the time variations and...

This study examines the effects of the monetary policy of the United States on commodity prices. Using a Bayesian Structural VAR, we identify the interest rate shocks as a measure of the stance of the U.S. mon- etary policy and evaluate their impacts on different types of commodity prices. The...

This paper examines the effects of the monetary policy of China on commodity prices. Using a Bayesian Structural VAR, we identify shocks to the interest rate as a price rule and to the monetary aggregate (M2) as a quantity rule, and then evaluate their impacts on commodity prices. Those prices...