This paper analyzes the macroeconomic impact of oil shocks in four of the largest oil-consuming Asian economies, using a structural vector autoregressive model. We identify three different types of oil shocks via sign restrictions: an oil supply shock, an oil demand shock driven by global...

This paper analyzes the impact of commodity price shocks and global supply chain disruptions on U.S. inflation. Since the inflationary effect of particular commodities is time-varying, our main contribution is to construct a Cost-Push Commodity factor through a genetic algorithm which...

We use the conditional autoregressive value at risk (CAViaR) model in combination with the time-varying parameter vector autoregressive (TVP-VAR) based connectedness approach to study the systematic tail risk transmission considering two types of crude oil (Brent and WTI) and also four refined...