Narrow search
Showing 1 - 10 of 194
Cover Image
Macro news and commodity returns
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2015
Gold and Silver. Volatility spillovers are bigger in size and affect most commodity returns. Both firstand second moment … financial assets, are sensitive to macro news (especially their volatility), and also suggest that the global financial crisis …
Persistent link: https://www.econbiz.de/10011346863
Cover Image
The relative volatility of commodity prices : a reappraisal
Arezki, Rabah; Lederman, Daniel; Zhao, Hongyan - 2011
This paper studies the volatility of commodity prices on the basis of a large dataset of monthly prices observed in … evidence does not actually attempt to measure the volatility of prices of individual goods or commodities. The literature tends … to focus on trends in the evolution and volatility of ratios of price indexes composed of multiple commodities and …
Persistent link: https://www.econbiz.de/10009489287
Cover Image
Commodity price volatility, democracy and economic growth
Arezki, Rabah; Thorvaldur Gylfason - 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 … result, we show that increased commodity price volatility leads to a statistically significant and quantitatively large …
Persistent link: https://www.econbiz.de/10009355147
Cover Image
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
Cover Image
Global cycles : capital flows, commodities, and sovereign defaults, 1815-2015
Reinhart, Carmen M.; Reinhart, Vincent; Trebesch, Christoph - 2016 - This draft: January 13, 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/10011421571
Cover Image
Unemployment in a commodity-rich economy : how relevant is Dutch Disease?
Kulish, Mariano; Morley, James C.; 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/10014528211
Cover Image
A re-examination of the link between real exchange rates and real interest rate differentials
Hoffmann, Mathias; MacDonald, Ronald - 2003
The real exchange rate - real interest rate (RERI) relationship is central to most open economy macroeconomic models. However, empirical support for the relationship, especially when cointegrationbased methods are used, is rather weak. In this paper we reinvestigate the RERI relationship using...
Persistent link: https://www.econbiz.de/10011506475
Cover Image
Asset allocation and monetary policy : evidence from the eurozone
Hau, Harald; Lai, Sandy - 2014
The eurozone has a single short-term nominal interest rate, but monetary policy conditions measured by real short-term interest rates varied substantially across countries in the period 2003 - 2010. We use this cross-country variation in the (local) tightness of monetary policy to examine its...
Persistent link: https://www.econbiz.de/10010413745
Cover Image
Assessing monetary policy in Norway
Andreassen, Harald Magnus; De Grauwe, Paul; Solheim, Haakon - 2001
We evaluate the policy of flexible inflation targeting implemented by the Norges Bank since March 2001. We discuss the reasons why the real interest rates are significantly higher in Norway than in the rest of Europe. Finally we propose some institutional changes that can improve the policy...
Persistent link: https://www.econbiz.de/10011408405
Cover Image
Optimal debt and equilibrium exchange rates in a stochastic environment : an overview
Stein, Jerome (contributor) - 2004
The focus is upon equilibrium real exchange rates, optimal external debt and their interaction, in a world where both the return on investment and the real rate of interest are stochastic variables. These theoretically based measures are applied empirically to answer the following questions:...
Persistent link: https://www.econbiz.de/10002524134