While the impacts of oil price changes on agricultural commodity markets are of great interest to economists, previous studies do not differentiate oil-specific shocks from aggregate demand shocks. In this paper, we address this issue using a structural VAR analysis. Our findings indicate that...

In this study, we forecast economic policy uncertainty (EPU) using input on 23 commodity price changes. We reveal the significant predictability of EPU using three forecast combinations. This indicates that commodity price changes can be taken as a leading indicator of EPU.

In previous studies, the cointegration relationships between crude oil spot and futures prices are confirmed based on Johansen (1988) test and vector error correction model (VECM). These conventional methods assume that the process of long-run equilibrium adjustment is linear. This paper...

In this paper, we investigate the multifractal behavior of the US dollar (USD) exchange rates. The results from the multifractal detrending moving average algorithm show that twelve exchange rate series were multifractal. The major source of multifractality are long-range correlations of small...

In this paper, we investigate the efficiency and multifractality of a gold market based on multifractal detrended fluctuation analysis. Our evidence shows that the gold return series are multifractal both for time scales smaller than a month and for time scales larger than a month. For time...

In this paper, we examine the weak-form efficient market hypothesis of crude oil futures markets by testing for the random walk behavior of prices. Using a method borrowed from statistical physics, we find that crude oil price display weak persistent behavior for time scales smaller than a year....

In this paper, we forecast energy market volatility using both univariate and multivariate GARCH-class models. First, we forecast volatilities of individual assets and find that multivariate models display better performance than univariate models. Second, we forecast crack spread volatility and...

The causality relationships between energy prices and exchange rates have been investigated in many existing studies. Previous investigations ignore the possible nonlinear behaviors which may be caused by asymmetry, persistence or structural breaks. To fill this gap, we apply both linear and...

In this paper, we study the auto-correlations and cross-correlations of West Texas Intermediate (WTI) crude oil spot and futures return series employing detrended fluctuation analysis (DFA) and detrended cross-correlation analysis (DCCA). Scaling analysis shows that, for time scales smaller than...

In this paper, we investigate the cross-correlations between Chinese A-share and B-share markets. Qualitatively, we find that the return series of Chinese A-share and B-share markets were overall significantly cross-correlated based on the analysis of a statistic. Quantitatively, employing the...