C22, O40.

This article exanines the real convergence hypothesis in eleven emerging countries by means of fractionally integrated techniques. For this purpose, we examine the order of integration of the real GDP per capita series in Argentina. Brazil, Chile, Colombia, Mexico, Peru, Venezuela, India,...

This paper analyzes the macroeconomic impact of oil shocks in four of the largest oil-consuming Asian economies, using a structural vector autoregressive model. We identify three different types of oil shocks via sign restrictions: an oil supply shock, an oil demand shock driven by global...

This paper proposes a novel quantile vector autoregressive extended joint connectedness framework to examine realized volatilities spillovers between oil and precious metals commodities using daily data from May 1st, 2006 until June 18th, 2021. Our findings suggest that crude oil is the main net...

This study examines the nexus between precious metals (gold and silver) and oil (crude oil and heating oil) realized volatilities introducing a novel quantile extended joint connectedness framework combining quantile vector autoregression (White et al., 2015) with the extended joint...

This paper examines the dynamic connectedness among the implied volatilities of oil prices (OVX) and fourteen other assets, which can be grouped into five different assets classes (i.e., energy commodities, stock markets, precious metals, exchange rates and bond markets). To do so we estimate a...

This paper analyzes the impact of commodity price shocks and global supply chain disruptions on U.S. inflation. Since the inflationary effect of particular commodities is time-varying, our main contribution is to construct a Cost-Push Commodity factor through a genetic algorithm which...