It is widely understood that the real price of globally traded commodities is determined by the forces of demand and supply. One of the main determinants of the real price of commodities is shifts in the demand for commodities associated with unexpected fluctuations in global real economic...

It is widely understood that the real price of globally traded commodities is determined by the forces of demand and supply. One of the main determinants of the real price of commodities is shifts in the demand for commodities associated with unexpected fluctuations in global real economic...

It is widely understood that the real price of globally traded commodities is determined by the forces of demand and supply. One of the main determinants of the real price of commodities is shifts in the demand for commodities associated with unexpected fluctuations in global real economic...

Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between...

The 2015 workshop on “Recent evolutions of oil and commodity prices”, organized by FEEM, focused on the sharp decline in the oil price in 2014. High crude oil production and slower demand growth explain a large fraction of the current low level of prices, but a complex set of factors is...

The Kilian and Murphy (2014) structural vector autoregressive model has become the workhorse model for the analysis of oil markets. I explore various refinements and extensions of this model, including the effects of (1) correcting an error in the measure of global real economic activity, (2)...

Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between...

Utilizing a comprehensive dataset that includes a sample of 104 countries for corn, 54 countries for soybeans, 82 countries for wheat, and 77 countries for rice and covers the period from 1991 to 2013, we estimate a globally comprehensive but heterogeneous (country-specific) transmission...

Using the Tsay (1988) outlier identification methodology on daily log-returns of 16 commodity spot price series and 25 commodity index series, this study assesses the impact significant and unexpected news announcements had on volatility between January 1, 1997 and December 31, 2007. Results...