Decomposition of real commodity prices suggests four super-cycles during 1865-2009 ranging between 30-40 years with amplitudes 20-40 percent higher or lower than the long-run trend. Non-oil price super-cycles follow world GDP, indicating they are essentially demand-determined; causality runs in...

This paper investigates the informational efficiency of global crude oil markets using a recently introduced quantitative measure for market inefficiency. The methodology assesses the deviation of observed oil price behavior from the Random Walk benchmark, representing an efficient market. The...

This paper investigates the informational efficiency of green bond markets using a recently introduced quantitative measure for market inefficiency. The methodology assesses the deviation of observed asset price behavior from the Random Walk benchmark, which represents an efficient market. The...

The convergence of global economy makes all countries and all markets sensible to the happenings in other countries (the contagious effect). The 2008 global financial crisis that had its origin from USA was alleged to have had varying degree of impacts on different capital markets in various...

We present evidence on asymmetric information content in the trades of six investor groups transacting in the gold, platinum, gasoline and rubber futures markets on the Tokyo Commodity Exchange. Microstructure theory suggests that traders with greater information on the efficient price should be...

We study the predictability of stock returns using an iterative model-building approach known as quantile boosting. Examining alternative return quantiles that represent normal, bull and bear markets via recursive quantile regressions, we trace the predictive value of extensively studied...

This paper examines the extent to which increases in international food prices during the past few years have been transmitted to domestic prices in selected Asian developing countries. In analyzing the historical data, evidence on price transmission for important food commodities such as rice,...

Since December 2019 we have been living with the virus known as SARS-CoV-2, a situation which has led to health policies being given prevalence over economic ones and has caused a paralysis in the demand for raw materials for several months due to the number confinements put in place around the...

This paper investigates the effects of global oil and food price shocks to consumer prices in Middle East-North African (MENA) countries using threshold cointegration methods. Oil and food price shocks increase domestic prices in the long run, whereby the impact of food prices dominates. While...