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The interplay between oil and food commodity prices : has it changed over time?

Peersman, Gert; Rüth, Sebastian; Van der Veken, Wouter - 2019

Using time-varying BVARs, we find that oil price increases caused by oil supply shocks did not affect food commodity prices before the start of the millennium, but had positive spillover effects in more recent periods. Likewise, shortfalls in global food commodity supply - resulting from bad...

Persistent link: https://www.econbiz.de/10012064355

Time-varying spot and futures oil price dynamics

Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010

. -- cointegration ; oil market ; futures prices ; price discovery …

Persistent link: https://www.econbiz.de/10003965099

International food commodity prices and missing (dis)inflation in the euro area

Peersman, Gert - 2018

This paper examines the causal effects of shifts in international food commodity prices on euro area inflation dynamics using a structural VAR model that is identified with an external instrument (i.e. a series of global harvest shocks). The results reveal that exogenous food commodity price...

Persistent link: https://www.econbiz.de/10011931321

Agricultural price shocks and business cycles a global warning for advanced economies

De Winne, Jasmien; Peersman, Gert - 2018

unfavorable harvest shocks in other regions of the world significantly curtail domestic economic activity. The effects are much …

Persistent link: https://www.econbiz.de/10011846251

Oil prices, exchange rates and interest rates

Kilian, Lutz; Zhou, Xiaoqing - 2019

There has been much interest in the relationship between the price of crude oil, the value of the U.S. dollar, and the U.S. interest rate since the 1980s. For example, the sustained surge in the real price of oil in the 2000s is often attributed to the declining real value of the U.S. dollar as...

Persistent link: https://www.econbiz.de/10011966739

Dimensions of macroeconomic uncertainty : a common factor analysis

Henzel, Steffen; Rengel, Malte - 2014

Uncertainty about the future course of the economy is a possible driver of aggregate fluctuations. To identify the different dimensions of uncertainty in the macroeconomy we construct a large dataset covering all types of economic uncertainty. We then identify two fundamental factors which...

Persistent link: https://www.econbiz.de/10010412767

Oil prices and stock markets : what drives what in the gulf corporation council countries?

Arouri, Mohamed; Rault, Christophe - 2010

In the empirical literature, only few studies have focused on the relationship between oil prices and stock markets in net oil-importing countries. In net oil-exporting countries this relationship has not been widely researched. This paper implements the panel-data approach of Kónya (2006),...

Persistent link: https://www.econbiz.de/10003937088

On the influence of oil prices on stock markets : evidence from panel analysis in GCC countries

Arouri, Mohamed; Rault, Christophe - 2009

This paper implements recent bootstrap panel cointegration techniques and Seemingly Unrelated regression (SUR) methods … markets. Since GCC countries are major world energy market players, their stock markets are likely to be susceptible to oil … October 2008, and from January 1996 to December 2007, our investigation shows that there is evidence for cointegration of oil …

Persistent link: https://www.econbiz.de/10003854428

Oil price fluctuations and exchange rate dynamics in the MENA region : evidence from non-causality-in-variance and asymmetric non-causality tests

Nouira, Ridha; Hadj Amor, Thouraya; Rault, Christophe - 2018

The aim of this paper is to investigate the exchange rate consequences of oil-price fluctuations and to test for the dynamics of oil price volatility by examining interactions between oil market and exchange rate in selected MENA countries (Egypt, Jordan, Morocco, Qatar, Saudi Arabia, Tunisia,...

Persistent link: https://www.econbiz.de/10011897569

Pulling up the tarnished anchor : the end of silver as a global unit of account

Fernholz, Ricardo T.; Mitchener, Kris; Weidenmier, Marc D. - 2017

We use the demise of silver-based standards in the 19th century to explore price dynamics when a commodity-based money ceases to function as a global unit of account. We develop a general equilibrium model of the global economy with gold and silver money. Calibration of the model shows that...

Persistent link: https://www.econbiz.de/10011646314