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Investigating the impact of trade disruptions on price transmission in commodity markets : an application of threshold cointegration

Mann, Janelle; Brewin, Derek - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-7

Threshold cointegration is introduced as an econometric technique to model the impact of trade disruptions on spatial … trade disruptions on prices. The threshold cointegration technique that is employed is flexible in that it allows the number …. We innovate on the threshold cointegration technique by selecting a measure of trade disruptions as the threshold …

Persistent link: https://www.econbiz.de/10012628574

Evaluating the exchange rate and commodity price nexus in Malaysia : evidence from the threshold cointegration approach

Shamaila Butt; Suresh Ramakrishnan; Loganathan, Nanthakumar - In: Financial innovation : FIN 6 (2020) 22, pp. 1-19

threshold cointegrations. The estimated results provide evidence of long-run threshold cointegration and show that the …

Persistent link: https://www.econbiz.de/10012268783

Global liquidity and commodity prices uncertainty using SFAVEC model

Kyei-Mensah, Justice - In: Research in globalization 8 (2024), pp. 1-17

This paper examines the impact of global liquidity on global commodity prices and asset prices in some major developing and developed economies. Specifically, the global liquidity on global commodity prices and asset prices is investigated using data from six major developing and emerging...

Persistent link: https://www.econbiz.de/10015047800

Effects of crude oil price uncertainty on fossil fuel production, clean energy consumption, and output growth : an empirical study of the US

Avazkhodjaev, Salokhiddin; Dhiensiri, Nont; Rakhimov, … - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 6, pp. 371-383

Persistent link: https://www.econbiz.de/10015135819

Impact of crude oil price on countries' and Vietnam’s GDP growth : variance decomposition approach

Doan Van Dinh - In: International Journal of Energy Economics and Policy : IJEEP 11 (2021) 3, pp. 110-120

Persistent link: https://www.econbiz.de/10012621645

Is ringgit really influenced by crude oil price? : evidence from commodity and bank lending markets

Abdul Razak Abdul Hadi; Huridi, Mohd Hanafia; Zaini, … - In: Contemporary economics 13 (2019) 4, pp. 407-416

-Granger cointegration test as an estimation tool, the study reveals the presence of a long-term relationship between the RM and COP. However …

Persistent link: https://www.econbiz.de/10012176957

Revisiting the relationship between oil price and food prices in the US : evidence from threshold cointegration with asymmetric adjustment

Hamouda, Abderrazek Ben - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 2, pp. 27-36

Persistent link: https://www.econbiz.de/10014495491

Short-term inflation projections model and its assessment in Latvia

Bessonovs, Andrejs; Krasnopjorovs, Olegs - In: Baltic journal of economics 21 (2021) 2, pp. 184-204

Modelling Approach to Cointegration Analysis. Econometric Society Monographs, 31, 371-413.]. We assess the forecast accuracy of …

Persistent link: https://www.econbiz.de/10012805901

Commodity price shocks related to the war in Ukraine and exchange rates of commodity exporters and importers

Sokhanvar, Amin; Bouri, Elie - In: Borsa Istanbul Review 23 (2023) 1, pp. 44-54

The war in Ukraine and new sanctions imposed on Russia have affected commodity prices and induced historic moves in exchange rate markets. In this paper, we examine the impact of commodity price shocks related to the war in Ukraine on three currencies (Canadian dollar, euro, and Japanese yen)....

Persistent link: https://www.econbiz.de/10014307388

Confluence of COVID-19 and the Russia-Ukraine conflict : effects on agricultural commodity prices and food security

Urak, Faruk; Bilgic, Abdulbaki; Florkowski, Wojciech J.; … - In: Borsa Istanbul Review 24 (2024) 3, pp. 506-519

-MGARCH model estimation uses data from January 2010 to May 2023. Results show that over time, short-term deviations move towards …

Persistent link: https://www.econbiz.de/10014635339