This paper investigates common cyclical feature between crude oil market and stock markets in major oil-exporting countries including Saudi Arabia, United Arab Emirates (UAE) and Kuwait. The results of the paper show the evidence of common cyclical association between oil price and each of the...

This paper investigates sensitivity of US natural gas price with crude oil price changes, using time varying coefficient models. Identification of the range of variation of the sensitivity of natural gas price to oil price change allows more accurate assessment of upper and minimum risk levels...

To assess the elasticity of crude oil price to global factors related to supply of crude oil and the US dollar exchange rate, we employed nonlinear models including flexible least squares, and maximum likelihood estimator, in addition to OLS regression mode; using yearly data from 1965 to 2021....

This paper analyze volatility persistence in global prices of wheat, rice and corn using monthly price data for two sample periods, before and after the shock on global food commodity markets on November 2007. Our findings show evidence of structural change in price trend in the post-shock...

This paper employs time varying coefficient approach to assess sensitivity of crude oil price change to a number of factors among which change in OPEC crude production and change in US oil production. Our finding indicate crude oil price is inelastic to OPEC production change, with elasticity...

To capture the volatility in the global food commodity prices, we employed two competing models, the thin tailed the normal distribution, and the fat-tailed Student t-distribution models. Results based on wheat, rice, sugar, beef, coffee, and groundnut prices, during the sample period from...