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...

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...