The Russian invasion of Ukraine on February 24, 2022 dramatically disrupted the global supply of crude oil and agricultural commodities. As a consequence, the prices of oil and agricultural commodities increase substantially and many countries face the problem of high food inflation. Against...

This paper investigates the dynamic relationships between oil prices and the Japanese economy from a frequency domain perspective. Both the frequency domain causality test of Breitung and Candelon (2006) and the frequency dependent regression method developed by Ashley and Verbrugge (2009) are...

A well-documented finding is that explicitly using jumps cannot efficiently enhance the predictability of crude oil price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the jump component is persistent when forecasting the oil...