We use a quantile regression framework to investigate the impact of changes in crude oil prices, natural gas prices, coal prices, and electricity prices on the distribution of the CO2 emission allowance prices in the United States. We find that: (i) an increase in the crude oil price generates a...

In this article, we use the recently developed nonlinear autoregressive distributed lags (NARDL) model to examine the pass-through of crude oil prices into gasoline and natural gas prices. Our approach allows us to simultaneously test the short- and long-run nonlinearities through positive and...

This study investigates the energy–growth–trade nexus in Pakistan by using the annual time series data for the period of 1973–2013. Our main results show: (i) the presence of long-run link between energy consumption and trade performance; (ii) positive impact of gross domestic product,...

We examine the long- and short-run transmissions of information between the world oil price, Turkish interest rate, Turkish lira-US dollar exchange rate, and domestic spot gold and silver price. We find that the world oil price has no predictive power of the precious metal prices, the interest...

This study supplements previous regime-switching studies on WTI crude oil and finds two possible volatility regimes for the strategic commodity prices of Brent oil, WTI oil, copper, gold and silver, and the S&P 500 index, but with varying high-to-low volatility ratios. The dynamic conditional...

This paper examines the impacts of world, country, and sector-specific variables on the stock return volatility of twenty-seven US sectors in the short- and long-run, accounting for the asymmetric shocks based on GARCH models. In the standard GARCH model the two world variables, oil and Morgan...

This article extends the understanding of oil-stock market relationships over the last turbulent decade. Unlike previous empirical investigations, which have largely focused on broad-based market indices (national and/or regional indices), we examine short-term linkages in the aggregate as well...

This paper uses a time-varying parameter model with generalized autoregressive conditional heteroscedasticity effects to examine the dynamic behavior of crude-oil prices for the period February 7, 1997-January 8, 2010. Using data from four countries of the Gulf Cooperation Council, we find...