Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...

In this paper we show that price equalization alone is not sufficient to determine the barriers to international trade. There are many barrier combinations that deliver price equalization, but each combination implies a different volume of trade. We demonstrate this first theoretically in a...

This analysis employs cointegration methods and semiparametric regression in order to assess the integration of maize markets and the factors determining national and cross-national transmission of price signals in Sub-Saharan Africa. We use a rich dataset of 16 series of wholesale maize prices...

This paper investigates whether exchange rate pass-through (ERPT) into import prices is a nonlinear phenomenon for five heavily indebted Euro area countries, namely the so-called GIIPS group (Greece, Ireland, Italy, Portugal, and Spain). Using logistic smooth transition models, we explore the...

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...

We compare the realised impact of terrorism and disasters linked to natural hazards. Using fifty years of data from two databases covering 99 percent of the global population, we find that natural hazard disasters were more then 20 times more impactful than terrorism. The former had a larger...