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The interplay between oil and food commodity prices : has it changed over time?
Peersman, Gert; Rüth, Sebastian; Van der Veken, Wouter - 2019
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...
Persistent link: https://www.econbiz.de/10012064355
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Modeling fluctuations in the global demand for commodities
Kilian, Lutz; Zhou, Xiaoqing - 2017
It is widely understood that the real price of globally traded commodities is determined by the forces of demand and supply. One of the main determinants of the real price of commodities is shifts in the demand for commodities associated with unexpected fluctuations in global real economic...
Persistent link: https://www.econbiz.de/10011754229
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Oil prices, exchange rates and asset prices
Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine - 2013
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...
Persistent link: https://www.econbiz.de/10009748353
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Volatility spillovers and contagion from mature to emerging stock markets
Beirne, John; Caporale, Guglielmo Maria; … - 2009
This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the …. -- Volatility spillovers ; contagion ; stock markets ; emerging markets …
Persistent link: https://www.econbiz.de/10003808130
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The international transmission of monetary policy
Buch, Claudia M.; Bussière, Matthieu; Goldberg, Linda S.; … - 2018
different degrees of granularity. International spillovers into lending to the private sector do occur, especially for U …. The forms of bank balance sheet heterogeneity that differentiate spillovers across banks are not uniform across countries …. International spillovers into lending can be large for some banks, even while the average international spillovers of policies into …
Persistent link: https://www.econbiz.de/10011877813
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Cyber attacks, spillovers and contagion in the cryptocurrency markets
Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio - 2020
This paper examines mean and volatility spillovers between three major cryptocurrencies (Bitcoin, Litecoin and Ethereum …
Persistent link: https://www.econbiz.de/10012219891
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Frequency volatility connectedness and portfolio hedging of U.S. energy commodities
Kočenda, Evžen; Moravcová, Michala - 2024
We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show that the total connectedness increased over time, likely due to the increasing financialization of energy commodities. It fluctuates with respect to (i) different investment...
Persistent link: https://www.econbiz.de/10014456134
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The impact of food prices on conflict revisited
De Winne, Jasmien; Peersman, Gert - 2019
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...
Persistent link: https://www.econbiz.de/10012105564
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Oil prices and GCC stock markets : new evidence from smooth transition models
Cheikh, Nidhaleddine Ben; Ben Naceur, Samy; Kanaan, … - 2018
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...
Persistent link: https://www.econbiz.de/10011859438
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Exchange rate pass-through to food and energy consumer price inflation
Moessner, Richhild - 2022
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...
Persistent link: https://www.econbiz.de/10013473669