Using time-varying BVARs, we find that oil price increases caused by oil supply shocks did not affect food commodity prices before the start of the millennium, but had positive spillover effects in more recent periods. Likewise, shortfalls in global food commodity supply—resulting from bad...

Using time-varying BVARs, we find that oil price increases caused by oil supply shocks did not affect food commodity prices before the start of the millennium, but had positive spillover effects in more recent periods. Likewise, shortfalls in global food commodity supply--resulting from bad...

This paper evaluates whether macroeconomic uncertainty changes the impact of oil shocks on the oil price. Using a structural threshold VAR model, we endogenously identify different regimes of uncertainty in which we estimate the effects of oil demand and supply shocks. The results show that...

This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil...

Studies that examine the impact of food prices on conflict usually assume that (all) changes in international food prices are exogenous shocks for individual countries or local areas. By isolating strictly exogenous shifts in global food commodity prices, we show that this assumption could...

Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price...

In the empirical literature, only few studies have focused on the relationship between oil prices and stock markets in net oil-importing countries. In net oil-exporting countries this relationship has not been widely researched. This paper implements the panel-data approach of Kónya (2006),...

We study how precipitation has affected food consumer price inflation (CPI), using dynamic panel estimation of food CPI Phillips curves across countries for 34 OECD member and candidate economies from 1985 to 2010 augmented with climate variables. We allow for nonlinear effects of precipitation...

This paper studies exchange rate pass-through to food and energy consumer price inflation and its dependence on the inflation environment using cross-country panel estimation of Phillips curves. It considers a large panel of OECD member and candidate economies with quarterly data from 1994 to...