This paper investigates how oil price changes affect consumer price inflation in eleven Central and Eastern European countries. We use a wavelet-based Markov switching approach in order to distinguish between the effects at different time horizons. We find that the transmission of oil price...

An n-variable structural vector auto-regression (SVAR) can be identified (up to shock order) from the evolution of the residual covariance across time if the structural shocks exhibit heteroskedasticity (Rigobon (2003), Sentana and Fiorentini (2001)). However, the path of residual covariances is...

This paper documents the determinants of real oil price in the global market based on SVAR model embedding transitory and permanent shocks on oil demand and supply as well as speculative disturbances. We find evidence of significant differences in the propagation mechanisms of transitory versus...

This paper examines the effect of different dimensions of uncertainty on expectations of WTI crude oil futures momentum traders at a daily level. We consider two concepts of uncertainty and two momentum trading indicators based on technical analysis. In addition, we also use wavelet techniques...