This paper aims to assess the role of expectations as a determinant of the real price of natural gas. To measure … consistently with the theory of storage (Kilian and Murphy, 2014), the futures spread (Valenti, 2022), and functional shocks … expectations, especially when measured as functional shocks, lead to strong and persistent increases in the real price of natural …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns …

This paper deals with three aspects of spectacular oil price episodes such as the one witnessed in 2008. First, the … literature is that fundamental factors are the main explanation for the 2007/2008 oil price hike, but that in 1990 …/1991, speculative demand shocks also played a role. Third, it is shown that temporary oil price hikes influence economic decisions that …

find that investors' higher order beliefs provide substantial motivations for non-fundamental speculation, e.g., to buy … thinking that matches the evidence, where some speculative investors mistakenly believe that asset price movements are driven … overreaction and excess volatility; these phenomena persist in equilibrium due to investors' limited strategic reasoning. …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

activity. However, using U.S. data since 1950 we show that the macroeconomic response pattern to stock market volatility shocks … decomposition for consumption growth shows that the contribution of stock market volatility becomes negligible as we go from earlier … of stock market volatility. -- Dow Jones index ; stock market volatility shocks ; economic growth ; consumption …

has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …