This paper examines the effects of climate policies and energy shocks on mean and volatility spillovers between green and brown stock price indices in five countries (Canada, India, Japan, the UK and the US). More specifically, bivariate GARCH-BEKK models including dummy variables controlling...

The annual inflation rate in Sri Lanka accelerated to record levels in recent years, especially after the COVID-19 pandemic. Though the inflation rate had declined to pre-pandemic levels by mid-2024, it is of great importance to identify the factors that caused hyperinflation during the COVID-19...

This paper investigates the effects of uncertainty shocks on selected U.S. financial asset prices by decomposing a traditional uncertainty shock into its supply-side and demand-side components. Following the approach by Piffer and Podstawski (2018), we identify uncertainty shocks using the price...

Severen and van Benthem (2022b) studies the effect of gasoline price changes during adolescence on driving behavior as an adult. They find that price changes at ages 15-18 lead to reduced driving during adulthood. In this comment, I replicate the effect on miles travelled using unrestricted...

This study examines the simultaneous relationships among oil prices, oil volatility, and two sub-sectors within alternative energy stocks: renewable energy equipment (REE) and alternative fuels (AF). The results confirm the existence of a bidirectional relationship. While most alternative energy...

Purpose - The primary purpose of this study is to unveil the relationship between oil prices and exchange rates, with a specific focus on five major oil-importing countries. By examining this relationship, the research aims to provide valuable insights for policymakers, investors and...

Purpose - Developing price forecasts for various agricultural commodities has long been a significant undertaking for a variety of agricultural market players. The weekly wholesale price of edible oil in the Chinese market over a ten-year period, from January 1, 2010 to January 3, 2020, is the...

This paper employs predictive regressions to explore the predictability of sovereign Credit Default Swap (CDS) spread dynamics of relevant oil-producing countries. By incorporating oil prices and additional control variables, we predict the rate of CDS spread changes for Brazil, the UK,...

While there is a large body of literature on oil uncertainty-equity prices and/or returns nexus, an associated important question of how oil market uncertainty affects stock market bubbles remains unanswered. In this paper, we first use the Multi-Scale Log-Periodic Power Law Singularity...

To reduce funds for Russia’s Ukraine invasion, Western governments imposed a price ceiling on Russian seaborne oil exports using Western services. To sell above that ceiling, Russia developed a “shadow fleet” which uses no such services. We use a calibrated model driven by this fleet’s...

Globalization and liberalization have heightened the volatility and complexity of financial markets, prompting investors to diversify their portfolios across different asset classes. This study investigates the dynamic interrelationships among the Indian stock market benchmark index (Nifty 50),...

Negative oil supply shocks since the 1980s have increased German inflation and reduced aggregate economic activity. Using 45 years of high-frequency German administrative data, we find that these shocks disproportionally harm low-income individuals: their earnings growth falls by two percentage...

This article assesses the systemic economic impacts of oil price fluctuations on the Colombian economy though a calibrated computable general equilibrium (CGE) model for the year 2015. A simulation exercise was conducted, introducing a 1% positive variation in commodity prices to examine the...

Energy inflation is a major source of headline inflation volatility and forecast errors, therefore it is critical to model it accurately. This paper introduces a novel suite of Bayesian VAR models for euro area HICP energy inflation, which adopts a granular, bottom-up approach - disaggregating...

Aim: This study honors the pioneering work by André Dorsman on energy finance, especially on oil prices and company performance. The objective is to investigate the relationship between the global oil price and the profitability of Dutch companies. Design / Research methods: In our research, a...