Movement in China’s money supply drives the movement in world money supply over the last twenty years. Within the framework advanced by Kilian (2009) that identifies the supply and demand side factors driving oil price changes we introduce the influence of liquidity in China and other...

This paper examines the effect of the demand and supply shocks driving the global crude oil market on aggregate U.S. bond index real returns. A positive oil market-specific demand shock is associated with significant decreases in aggregate bond index real returns for 8months following the shock....

Hamilton identifies 1973 to 1996 as “the age of OPEC” and 1997 to the present as “a new industrial age.” During 1974-1996 growth in non-OPEC oil production Granger causes growth in OPEC oil production. OPEC oil production decreases significantly with positive shocks to non-OPEC oil...

This paper investigates the relationship between oil prices and the global economy. In modelling this relationship, a new approach is proposed in which we introduce the use of a factor error correction model to compress data from the largest developed and developing economies. An important...