The present paper presents three different short-term oil models on a weekly basis. With these models we try to forecast oil prices out-of-sample up to three months. Two of the models are based on the VAR methodology and consider fundamental factors like the net long position and oil...

The present paper presents three different short-term oil models on a weekly basis. With these models we try to forecast oil prices out-of-sample up to three months. Two of the models are based on the VAR methodology and consider fundamental factors like the net long position and oil...

Real oil prices surged from 2009 through 2014, comparable to the 1970's oil shock period. Standard explanations based on monopoly markup fall short since inflation remained low after 2009. This paper contributes strong evidence of Granger (1969) predictability of nominal factors to oil prices,...

Real oil prices surged from 2009 through 2014, comparable to the 1970's oil shock period. Standard explanations based on monopoly markup fall short since inflation remained low after 2009. This paper contributes strong evidence of Granger (1969) predictability of nominal factors to oil prices,...

In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...

In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...

This paper predicts phases of the financial cycle by using a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a...

The aim of this study is to investigate the possible contagion risk coming from energy, food and metals commodity markets and to assess risk spillovers from biofuel to food commodity markets and from crude oil to food markets. To this purpose, we use the delta Conditional Value-at-Risk ΔCoVaR)...

The aim of this study is to investigate the possible contagion risk coming from energy, food and metals commodity markets and to assess risk spillovers from biofuel to food commodity markets and from crude oil to food markets. To this purpose, we use the delta Conditional Value-at-Risk CoVaR)...