We analyze the global relationship between oil prices, commodity-specific financial marketshocks and economic activity by means of Structural Vector Autoregressive (SVAR) models for the period 1996 - 2015. For the financial market variables in our model, we use a breakdown of G-20 countries into...

This study employs a vector autoregressive (VAR) model to analyse how oil price shocks affect macroeconomic fundamentals in emerging economies. Findings from existing literature remain inconclusive how macroeconomic variables fare towards shocks, especially in emerging economies. The objective...

The recent slowdown of the People's Republic of China (PRC) has led to question to what extent the PRC demand of commodities can have an impact on commodity prices. We take into account the fact that commodity prices are characterized by structural breaks, and to this end we make use of novel...

This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities. To achieve this goal, we decompose an oil price shock to its underlying components, including macroeconomics and oil specific shocks. The applied methodology is the structural...

Baumeister and Hamilton (2019a) assert that every critique of their work on oil markets by Kilian and Zhou (2019a) is without merit. In addition, they make the case that key aspects of the economic and econometric analysis in the widely used oil market model of Kilian and Murphy (2014) and its...

This paper provides an analysis of the link between the oil market and the U.S. stock market returns at the aggregate as well as industry levels. We empirically model oil price changes as driven by speculative demand shocks along with consumption demand and supply shocks in the oil market. We...

Baumeister and Hamilton (2019a) assert that every critique of their work on oil markets by Kilian and Zhou (2019a) is without merit. In addition, they make the case that key aspects of the economic and econometric analysis in the widely used oil market model of Kilian and Murphy (2014) and its...

This study examines the linkages between energy price and food prices over the period 2000-2016 by using a Panel-VAR model in the case of eight Asian economies, namely Bangladesh, the PRC, Indonesia, India, Japan, Sri Lanka, Thailand, and Viet Nam. Our results confirm that energy price (oil...

The Hotelling rule argues that the price for a non-renewable resource adjusts to the shadow value of the resource, reflecting its remaining availability. This study provides an empirical test of this hypothesis. It investigates whether the price of crude oil does adjust to unexpected news about...

A series of recent articles has called into question the validity of VAR models of the global market for crude oil. These studies seek to replace existing oil market models by structural VAR models of their own based on different data, different identifying assumptions, and a different...