This paper uses Meta-Granger analysis to explain and summarize the mixed results in the literature on the impact of financial speculation on commodity prices. The sample covers 2,106 manually collected p-values from Granger causality (GC) tests reported in 54 prior studies. Our results show that...

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,...

In this paper we show that the exchange rates of some commodity exporter countries have the ability to predict the price of spot and future contracts of aluminum. This is shown with both insample and out-of-sample analyses. The theoretical underpinning of these results relies on the...

I investigate the link between economic fundamentals and exchange rate adjustment to commodity price fluctuations. I overcome the traditional issue of simultaneity by exploiting the September 14, 2019 drone attack on two Saudi Arabian refineries as a natural experiment. This unanticipated event...

Energy sources and commodities exhibit high price risk. This risk is thus an important feature of operational models of the value chains for these goods. These models typically employ Gaussian-based representations of the evolution of this uncertainty. This approach facilitates the optimization...

The trade balances of the Euro Area (EA) and of the U.S. have improved markedly after the Global Financial Crisis. This paper quantifies the drivers of EA and U.S. economic fluctuations and external adjustment, using an estimated (1999-2017) three-region (U.S., EA, rest of world) DSGE model with...

There are two seemingly contradictory empirical regularities in international finance: the high interest rate currency tends to have higher currency risk premia in short horizons but lower currency risk premia in long horizons. Engel (2016) shows that existing models cannot accommodate these two...

This paper investigates the link between terms of trade volatility and long-term output growth in developing countries. I find that differences in terms of trade volatility account for 20% of the cross-country variation in growth from 1980 to 2009. The magnitude is arresting: a...

This paper examines whether the proliferation of new index products, such as commodity-tracking exchange-traded funds (ETFs) amplified the volatility transmission channel introduced by financialization. This paper focuses on the volatility spillover effects among crude oil, metals, agriculture,...