studies, we analyze temporary and permanent futures price innovations in a cointegrated system of pairwise short- and long … in inventories. Our findings can be summarized as follows: first, where cointegration is observed, the permanent shocks … transitory price shocks. Under the assumption that speculation occurs mainly in short-dated contracts, the finding is …

measure for market inefficiency. The procedure measures the extent to which observed oil price behaviour deviates from the … varies over time. Second, abrupt increases in inefficiency occur during extreme episodes such as the price downturns …

quantitative measure for market inefficiency. The methodology assesses the deviation of observed oil price behavior from the Random … inefficiency during extreme episodes, such as the price downturns experienced in 2008, 2014, and early 2020. Thirdly, the degree of … discovery is grounded in the observation of more similar price behavior across markets post-2006, the paper establishes a …

This paper studies long economic series to assess the long-lasting effects of pandemics. We analyze if periods that … cover pandemics have a change in trend and persistence in growth, and in level and persistence in unemployment. We find that … there is an upward trend in the persistence level of growth across centuries. In particular, shocks originated by pandemics …

In this article, we propose a cointegration-based Permanent-Transitory decomposition for nonstationary Dynamic Factor … Models. Our methodology exploits the cointegration relations among the observable variables and assumes they are driven by a …-term stationary one. A Monte Carlo experiment shows that taking into account the cointegration structure in the DFM leads to a much …