Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price returns with respect to the stance of the U.S. macroeconomy. We find that variables which contain information on current and future economic activity are helpful predictors for...

Commodity price shocks are an important type of external shock and are often cited as a problem for economic growth in Sub-Saharan Africa. We choose nine Sub Saharan African countries that are heavily dependent on a single agricultural commodity for a significant portion of their income. This...

Commodity price shocks are an important type of external shock and are often cited as a problem for economic growth in sub-Saharan Africa. This paper quantifies the impact of agricultural commodity price shocks using a near vector autoregressive model. The novel aspect of this model is that we...