This study analyzes the dynamics between real e ective exchange rates and current account patterns from a novel perspective. We start by dissecting long-run and time-varying short-run dynamics between both variables. Following this, we extend our framework by including interest rates into our...

This paper tackles the question of whether a cross-sectional perspective on monetary policy is capable of explaining movements in global commodity prices. In this vein, we contribute to the rich literature on global liquidity in two different ways: on the one hand, to achieve a global series in...

The movement of food prices remains a controversial issue owing to the intense rise in volatility that has been observed in recent years. Agricultural futures markets have experienced a similar pattern and simplistic linear models seem to be no longer reliable when analysing their functions....

After the huge rise and fall of agricultural commodity spot and futures prices between 2007 and 2008, the potential reasons for and the impact of the strong rise in volatility provoked an intensive debate in the media as well as in the academic literature. However, owing to the increasing...

This paper analyzes the relationship between the spot and futures prices of energy commodities from a new perspective. Taking data from the Dow Jones UBS Commodity Index, we first test for a long-run relationship between spot and futures prices. As a second step, smooth transition models are...

This study analyzes long-run and short-run dynamics between the current account and the real effective dollar exchange rates from a novel perspective. Applying multivariate cointegration techniques, we first test for a long-run relationship between the real effective dollar exchange rate and the...

This study analyzes the question whether gold provides the ability of hedging against inflation from a new perspective. Using data for four major economies, namely the USA, the UK, the Euro Area, and Japan, we allow for nonlinearity and discriminate between long-run and time-varying short-run...

This study delivers further insights into oil and gold price dynamics and their relation to U.S. prices and the dollar exchange rate. Previous studies have frequently analyzed this issue regarding the price either of gold or of oil; however, the role of both quantities has not been analyzed...

Although the link between oil prices and dollar exchange rates has been frequently analyzed, a clear distinction between prices and nominal exchange rate dynamics and a clarification of the issue of causality has not been provided. In addition, previous studies have mostly neglected...

This study re-evaluates the monetary approach for the Canada/U.S. exchange rate and shows that its basic structure can be verified although the coefficients are not consistently in line with theory. Our findings also indicate that exchange rate adjustment is subject to regime shifts.