This paper analyzes the short-term dynamics of the prices of CO2 emissions, using the vector autoregression (VAR) and the vector error-correction Models (VECM). The data are monthly for the prices of oil, coal, natural gas, electricity and carbon emission allowances. The results show that: (i) a...

We use the recently developed nonlinear autoregressive distributed lags (NARDL) model to examine the pass-through of changes in crude oil prices, natural gas prices, coal prices and electricity prices to the CO2 emission allowance prices. This approach allows one to simultaneously test the...

We use a quantile regression framework to investigate the impact of changes in crude oil pric- es, natural gas prices, coal prices, and electricity prices on the distribution of the CO2 emis- sion allowance prices in the United States. We find that: (i) an increase in the crude oil price...

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...

This paper shows that fluctuations in the U.S. equity returns signal information about the behavior of the returns of energy, metal and agricultural commodity futures. We find that asymmetry plays an important role in this relationship. In addition, while asymmetry seems to be more relevant for...