What is the role of macroeconomic fluctuations and of oil supply shocks for oil prices, volatilities, and risk premia? I analyze this question within a general equilibrium asset pricing framework with an oil sector. The benchmark calibration shows that short-run macroeconomic growth shocks and...

This paper considers whether there were periodically collapsing rational speculative bubbles in commodity prices over a forty year period from the late 1960s. We apply a switching regression approach to a broad range of commodities using two different measures of fundamental values – estimated...

In this article we discuss the concepts of macroeconomic uncertainty, oil price uncertainty and oil price shocks. Given the relevance of oil and macroeconomic uncertainty in both academic research and the political sphere, we illustrate how economic uncertainty can be operationally defined and...

The financial crises of 2007-2008, caused wide-spread falling output and unemployment, in the affected countries and also globally. The severity of the recession was such that it was called the "Great Recession". As a result of an increase in demand from China and India, at the same time, oil...

I estimate a dynamic stochastic general equilibrium (DSGE) model for the United States that incorporates oil market shocks and risk shocks working through credit market frictions. The findings of this analysis indicate that risk shocks play a crucial role during the Great Recession and the...

A large set of financial variables has only limited power to predict a latent factor common to the year-ahead forecast errors for real Gross Domestic Product (GDP) growth, the unemployment rate, and Consumer Price Index (CPI) inflation for three sets of professional forecasters: the Federal...