Based on multivariate Markov-switching models, this paper presents new results on the interactions between global imbalances, credit spreads, housing markets, macroeconomic variables, commodities and equities during Q1-1987/Q1-2011. We show that rising global imbalances and the uncontrolled...

During the last half-century, the evolution of educational attainment among Malaysians has been spectacular, and current enrollment rates suggest this progression will continue, albeit at a slower pace. Such a transformation of the educational attainment of labor should bring about macroeconomic...

We proceed to an impulse response analysis on the conditional correlations between three stock indices returns: the Nikkei, the FTSE 100 and the S&P 500. As a first step, we estimate an extension of the general asymmetric dynamic conditional correlation (GADCC) model proposed by Cappiello,...

We investigate the macro factors that can explain the monthly oil futures return for the NYMEX WTI futures contract for the time period 1993:11 to 2010:03. We build a new database of 187 real and nominal macroeconomic variables from developed and emerging countries and resort to the large factor...

We empirically reinvestigate the issue of excess comovement of commodity prices initially raised in Pindyck and Rotemberg (1990) and show that excess comovement, when it exists, can be related to hedging and speculative pressure in commodity futures markets. Excess comovement appears when...

We reinvestigate the issue of excess comovements of commodity prices initially raised in Pindyck and Rotemberg (1990). While Pindyck and Rotemberg and following contributions consider this issue using an arbitrary set of control variables, we develop our analysis using recent development in...

Econometrics has strongly evolved in recent years on both the methodological level as well as in terms of applications. This article presents the different econometric methods (time series econometrics, information panels, models of duration,...) and their applications for the enterprise: demand...

As both speculative and hedging financial flows into commodity futures are expected to link commodity price formation more strongly to equity indices, we investigate whether these processes also create increased correlation amongst the commodities themselves. Considering U.S. oil and gas...