This paper focuses on forecasting quarterly energy prices of commodities, such as oil, gas and coal, using the Global VAR dataset proposed by Mohaddes and Raissi (2018). This dataset includes a number of potentially informative quarterly macroeconomic variables for the 33 largest economies,...

This paper focuses on forecasting quarterly energy prices of commodities, such as oil, gas and coal, using the Global VAR dataset proposed by Mohaddes and Raissi (2018). This dataset includes a number of potentially informative quarterly macroeconomic variables for the 33 largest economies,...

We provide empirical evidence on the impact of oil supply shocks on global aggregates. To do this, we first extract structural oil supply shocks from a standard oil-price determination model found in the literature. Impulse response functions are then estimated using local projections. This...

Real GDP and oil prices are decomposed into common stochastic trend and cycle processes using structural time series models. Potential real GDP is represented by the level of the trend component of real GDP. The potential rate of growth of real GDP is represented by the stochastic drift element...

The study examines the dynamics between oil price, exchange rate, and stock market performance in South Africa using DCC-GARCH, time-varying VAR, and multivariate Markov regime switching models. Monthly data on oil price, exchange rate, and market capitalization as a measure of stock performance...

This study analyzes oil price exposure of the oil-gas sector stock returns for the fragile five countries based on a multi-factor asset pricing model using daily data from 29 May 1996 to 27 January 2020. The endogenous structural break test suggests the presence of serious parameter...

This paper investigates the co-movements of oil prices and the exchange rates of 10 top oil-importing and oil-exporting countries. Firstly, we estimated the total static spillover index based on vector autoregressive (VAR) models. Secondly, we adopted the recent DCC-GARCH-CONNECTEDNESS approach...

This paper models returns and volatility transmission between oil price (OP) and US–Nigeria exchange rate (EXR). Consequently, it provides five main innovations: (i) it analyzes OP and EXR using the recently developed test by Narayan and Popp (2010) (NP) which allows for two structural breaks...

In this paper we examine linkages across non-energy commodity price developments by means of a factor-augmented VAR model (FAVAR). From a set of non-energy commodity price series, we extract two factors, which we identify as common trends in metals and a food prices. These factors are included...