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Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2015

This paper adopts a VAR-GARCH approach to model the dynamic linkages between both the mean and the variance of macro news and commodity returns (Gold, Corn, Wheat, Soybeans, Silver, Platinum, Palladium, Copper, Aluminium and Crude Oil) over the period 01/01/2001-26/09/2014. The chosen...

Persistent link: https://www.econbiz.de/10011388239

Pegxit Pressure: Evidence from the Classical Gold Standard

Mitchener, Kris James; Pina, Gonçalo - 2016

We develop a simple model that highlights the costs and benefits of fixed exchange rates as they relate to trade, and show that negative export-price shocks reduce fiscal revenue and increase the likelihood of an expected currency devaluation. Using a new high-frequency data set on...

Persistent link: https://www.econbiz.de/10011584911

The impact of monetary and commodity fundamentals, macro news and central bank communication on the exchange rate: evidence from South Africa

Égert, Balázs - 2009

This paper studies drivers of high-frequency (daily) dynamics of the South African rand vis-à-vis the dollar from January 2001 to July 2007. We find strong nonlinear effects of commodity prices, perceived country and emerging market risk premium and changes in the dollar-euro exchange rate on...

Persistent link: https://www.econbiz.de/10010273784

Commodity price volatility, democracy and economic growth

Arezki, Rabah; Gylfason, Thorvaldur - 2011

We use a new dataset on non-resource GDP to examine the impact of commodity price volatility on economic growth in a panel of up to 158 countries during the period 1970-2007. Our main finding is that commodity price volatility leads to a significant increase in non-resource GDP growth in...

Persistent link: https://www.econbiz.de/10010278901

Unemployment in a Commodity-Rich Economy: How Relevant Is Dutch Disease?

Kulish, Mariano; Morley, James; Yamout, Nadine; … - 2024

We examine the relevance of Dutch Disease through the lens of an open-economy multisector model that features unemployment due to labor market frictions. Bayesian estimates for the model quantify the effects of both business cycle shocks and structural changes on the unemployment rate. Applying...

Persistent link: https://www.econbiz.de/10014574324

Global Cycles: Capital Flows, Commodities, and Sovereign Defaults, 1815-2015

Reinhart, Carmen M.; Reinhart, Vincent; Trebesch, Christoph - 2016

Capital flow and commodity cycles have long been connected with economic crises. Sparse historical data, however, has made it difficult to connect their timing. We date turning points in global capital flows and commodity prices across two centuries and provide estimates from alternative data...

Persistent link: https://www.econbiz.de/10011431277

Connectedness between the Crude Oil Futures and Equity Markets during the Pre- and Post-Financialisation Eras

Wadud, Sania; Durand, Robert B.; Gronwald, Marc - 2021

This paper examines the effect of financialisation of futures markets has on the relationship between crude oil futures … volatility, namely, seasonality and maturity effects for the pre-financialisation (1993-2003) and post-financialisation (2004 … futures' volatility before the financialisation period, open interest as a measure of liquidity has a negative effect after …

Persistent link: https://www.econbiz.de/10012657908

Expectations and the Stability of Stock-Flow Consistent Models

Meijers, Huub; Muysken, Joan; Piccillo, Giulia - 2023

Expectations are usually introduced in macroeconomic stock-flow consistent models (SFC-models from hereon) in an ad hoc way, without much motivation. Moreover, these are usually very simple forms of expectations, and certainly not some form of rational expectations. The implicit assumption is...

Persistent link: https://www.econbiz.de/10014469634

Volatility Spillover between Oil Prices and Main Exchange Rates: Evidence from a DCC-GARCH-Connectedness Approach

Ben Salem, Leila; Zayati, Montassar; Nouira, Ridha; … - 2024

This paper investigates the co-movements of oil prices and the exchange rates of 10 top oil-importing and oil-exporting countries. Firstly, we estimated the total static spillover index based on vector autoregressive (VAR) models. Secondly, we adopted the recent DCC-GARCH-CONNECTEDNESS approach...

Persistent link: https://www.econbiz.de/10014534437

Beyond Covid: Pandemics and the Economics of Aging and Longevity

Strulik, Holger; Grossmann, Volker - 2024

In this paper, we examine the effects of the Covid-19 pandemic on individual aging and longevity with special focus on socioeconomic disparities in health outcomes. We also explore the individual-specific effects of Long Covid. We develop and calibrate a health economic model based on principles...

Persistent link: https://www.econbiz.de/10014574294

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