The COVID-19 outbreak has led to extensive declines in international commodity prices. The outbreak as well as measures fashioned to contain it has been weighing down on global supply chains and commodity prices. The pandemic has been accompanied with unprecedented shock that has disrupted both...

We explore whether and how liquidity factors influence risk transfers between commodity and stock markets using a composite liquidity index and five different types of liquidity measures. We find that liquidity shocks, including both funding liquidity and market liquidity, are positively...

This paper studies the role of banks' branching networks in propagating the oil shocks. Banks that were exposed to the oil shocks through their operations in oil-concentrated counties experienced a liquidity drainage in the form of a declining amount of demand deposit inflow as well as an...

In the current paper, we examine the existence of possible threshold relationships in the commodity price – freight rate nexus, under or over which the relationship between the two changes. Using the first lag of the commodity price change as the threshold variable, we find that, in the case...

In this paper, we empirically investigate the impact of pandemics on commodity price volatility. In specific,we explore the impact of economic uncertainty related to global pandemics on the volatility of the S&P GSCI commodity index as well as on the sub-indexes of crude oil and gold. The...

We use variance decompositions from high-dimensional vector autoregressions to characterize connectedness in 19 key commodity return volatilities, 2011-2016. We study both static (full-sample) and dynamic (rolling-sample) connectedness. We summarize and visualize the results using tools from...

Short-term forecasting is usually made in recent literature by modeling the spot price of commodities such as coffee and cattle with ARIMA models and in some articles including volatility models. Unlike such articles, herein the models of the spot price of coffee and cattle are estimated...

We provide evidence that fiscal policy in resource-rich countries is strongly procyclical. The empirical analysis reveals that on average real government consumption in these countries tends to significantly rise (fall) in good (bad) times. To control for endogeneity we use an instrumental...

For a firm that cannot raise external funds, cash on hand serves as precautionary saving. We derive a closed-form expression for the target level of cash on hand in the presence of persistent cash flows. Contrary to conventional wisdom, a mean-preserving increase in the volatility of cash flow...

This paper provides evidence that parents accumulate savings to insure their children against income risk. I refer to this behavior as dynastic precautionary saving and quantify its extent using matched parent-child pairs from the Panel Study of Income Dynamics and exploiting variation in income...