This paper contributes to the debate on the role of oil prices in predicting stock returns. The novelty of the paper is that it considers monthly time-series historical data that span over 150 years (1859:10-2013:12) and applies a predictive regression model that accommodates three salient...

This paper examines the dynamic causal relationship between global oil price and South Africa’s food price using both full sample and time varying Granger causality tests. Monthly data from 2000:1 to 2014:6 is used. Result from the linear full sample Granger causality result shows no evidence...

This paper contributes to the debate on the role of oil prices in predicting stock returns. The novelty of the paper is that it considers monthly time-series historical data that span over 150years (1859:10–2013:12) and applies a predictive regression model that accommodates three salient...

We examine the predictive value of expected skewness of oil returns for the realized volatility using monthly data from 1859:11 to 2023:04. We utilize a quantile predictive regression model, which is able to accommodate nonlinearity and structural breaks. In-sample results show that the...

We examine the impact of the global economic activity, oil supply, oil-specific consumption demand, and oil inventory demand shocks on the expected aggregate skewness of the United States (US) economy, obtained based on a data-rich environment involving 211 macroeconomic and financial variables...