We investigate mean and volatility spillovers between the crude oil market and the main biofuel feedstock markets (corn, soybean, and sugar). In doing so, we estimate a four-variable vector error correction (VEC) GARCH-in-Mean model with a BEKK representation for the variance equation, and also...

This paper extends the ongoing literature on the macroeconomic effects of money supply volatility. We use monthly data for the United States and a bivariate, Markov switching, structural vector error correction (VEC) model that is modified to accommodate GARCH-in-Mean errors to isolate the...

We investigate whether the United States economy responds negatively to oil price uncertainty and whether oil price shocks exert asymmetric effects on economic activity. In doing so, we relax the assumption in the existing literature that the data are governed by a single process, modifying the...

We explore the hypothesis that the substitutability/complementarity relationship between banking and shadow banking services is a major factor affecting the transmission mechanism of monetary policy. We take the parametric approach to demand analysis, which allows estimation and testing in a...