We present a weekly structural Vector Autoregressive (VAR) model of the US crude oil market. Exploiting weekly data we can explain short-run crude oil price dynamics, including those related with the COVID-19 pandemic and with the Russia’s invasion of Ukraine. The model is set identified with...

We present a Bayesian structural Vector Autoregressive model of the global wheat market to examine the relative importance of supply and demand shocks, which are interpreted as the fundamental driving forces of wheat price. To our knowledge, this is the first SVAR analysis that jointly considers...

Up to the financial slump of the second quarter of 2008 commodity prices grew fast for several consecutive years in a highly volatile context. Recent commodity fluctuations have raised both policy concerns and a prolific academic debate. This paper offers a coherent theoretical and empirical...

We assess the degree of connectedness among 16 metals that are critical for the production of clean energy technologies. These commodities are the constituents of the Energy Transition Metals (ETMs) price index maintained by the International Monetary Fund and comprise base, precious, and minor...

Since Russia's invasion of Ukraine, many countries have pledged to end or restrict their oil and gas imports to curtail Moscow's revenues and hinder its war effort. Thus, the European ministers agreed to trigger a cap on the gas price. To detect the importance of the price cap for gas, we...

We investigate how oil supply shocks are transmitted to U.S. economic activity, consumer prices, and interest rates. Using a structural VAR approach with a combination of sign and zero restrictions, we distinguish between supply and demand channels in the transmission of exogenous changes in...

We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil using a combination of probabilistic individual model forecasts. Our combination method extends earlier approaches that have been applied to oil price forecasting, by allowing...

The importance of fish size for price per kilo is studied using an inverse demand approach. Prices per kilo in different size categories of the same species differ significantly. This means that the average price for a species may change due to e.g., high-grading, growth overfishing or a...

This paper embeds a staggered price feature into the standard speculative storage model of Deaton and Laroque (1996). Intermediate goods inventory speculators are added as an additional source of intertemporal linkage, which helps us to replicate the stylized facts of the observed commodity...