Using a new uncertainty index from Baker <italic>et al</italic>. (2013), we evaluate the time-varying correlation between macroeconomic uncertainty and commodity prices. Estimation results from a multivariate DCC-GARCH model reveal that increased volatility in uncertainty leads to increased price and volatility...

Using the forecast error variance decomposition from a vector auto-regression, this article examines both average and time-varying spillovers of macroeconomic uncertainty across major economies since 1997 and compares the ongoing crisis with earlier episodes. We show that spillover effects of...

This paper investigate the different effect of oil returns on financing investment and operating investment. We find that oil returns negatively affect the financing investment, but positively affect the operating investment. The negative effect on financing investment can last for 1 year, but...