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Spillover dynamics across price inflation and selected agricultural commodity prices
Balcilar, Mehmet; Bekun, Festus Victor - In: Journal of economic structures : JES; the official … 9 (2020) 2, pp. 1-17
This article contributes to the existing empirical literature by examining the spillovers across price inflation and … agricultural commodity prices for the case of Nigeria. To achieve this objective, we employ the Diebold and Yilmaz (Int J Forecast … prices and inflation. Further empirical findings shows that inflation, sorghum, soybeans, and wheat were net receivers while …
Persistent link: https://www.econbiz.de/10012256021
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A weekly structural VAR model of the US crude oil market
Valenti, Daniele; Bastianin, Andrea; Manera, Matteo - 2022
We present a weekly structural Vector Autoregressive (VAR) model of the US crude oil market. Exploiting weekly data we can explain short-run crude oil price dynamics, including those related with the COVID-19 pandemic and with the Russia's invasion of Ukraine. The model is set identified with a...
Persistent link: https://www.econbiz.de/10013254444
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Global food prices and business cycle dynamics in an emerging market economy
Holtemöller, Oliver; Mallick, Sushanta Kumar - 2015
This paper investigates a perception in the political debates as to what extent poor countries are affected by price movements in the global commodity markets. To test this perception, we use the case of India to establish in a standard SVAR model that global food prices influence aggregate...
Persistent link: https://www.econbiz.de/10011336943
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Effects of crude oil prices on copper and maize prices
Kaulu, Byrne - In: Future Business Journal 7 (2021), pp. 1-15
This study explains the effects of crude oil prices on copper and maize prices. Vector autoregressive and vector error correction models are used to study the relationship between oil prices and prices of copper and maize. The commodity price data used consist of average monthly prices of each...
Persistent link: https://www.econbiz.de/10012668157
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Nonlinear intermediary pricing in the oil futures market
Bierbaumer, Daniel; Rieth, Malte; Velinov, Anton - 2018
We study the state-dependent trading behavior of financial intermediaries in the oil futures market, using structural vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into changes in the slopes of traders' demand curves and in...
Persistent link: https://www.econbiz.de/10011790776
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Long-run trends or short-run fluctuations What establishes the correlation between oil and food prices?
Krätschell, Karoline; Schmidt, Torsten - 2013
In this paper we use the frequency domain Granger causality test of Breitung/Candelon (2006) to analyse short and long-run causality between energy prices and prices of food commodities. We find that the oil price Granger causes all the considered food prices. However, when controlling for...
Persistent link: https://www.econbiz.de/10010329328
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A weekly structural VAR model of the US crude oil market
Valenti, Daniele; Bastianin, Andrea; Manera, Matteo - 2022
We present a weekly structural Vector Autoregressive (VAR) model of the US crude oil market. Exploiting weekly data we can explain short-run crude oil price dynamics, including those related with the COVID-19 pandemic and with the Russia’s invasion of Ukraine. The model is set identified with...
Persistent link: https://www.econbiz.de/10013353581
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The connectedness of Energy Transition Metals
Bastianin, Andrea; Casoli, Chiara; Galeotti, Marzio - 2023
We assess the degree of connectedness among 16 metals that are critical for the production of clean energy technologies. These commodities are the constituents of the Energy Transition Metals (ETMs) price index maintained by the International Monetary Fund and comprise base, precious, and minor...
Persistent link: https://www.econbiz.de/10014305713
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Long-run trends or short-run fluctuations : what establishes the correlation between oil and food prices? ; conference paper
Krätschell, Karoline; Schmidt, Torsten - 2013 - This version: July, 2012
In this paper we use the frequency domain Granger causality test of Breitung/Candelon (2006) to analyse short and long-run causality between energy prices and prices of food commodities. We find that the oil price Granger causes all the considered food prices. However, when controlling for...
Persistent link: https://www.econbiz.de/10010341671
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Exchange rate pass-through in small, open, commodity-exporting economies : lessons from Canada
Flaccadoro, Marco - 2022
We analyse the pass-through of exchange rates to prices in small, open, commodity-exporting economies, taking Canada as a case study. We estimate pass-through on a wide cross-section of disaggregated import, producer, and consumer prices, conditional on commodity shocks that explain a major...
Persistent link: https://www.econbiz.de/10013288846