When, where, and how economic policy uncertainty predicts Bitcoin returns and volatility? A quantiles-based analysis
In: The quarterly review of economics and finance, Band 80, S. 65-73
ISSN: 1062-9769
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In: The quarterly review of economics and finance, Band 80, S. 65-73
ISSN: 1062-9769
In: Review of financial economics: RFE, Band 38, Heft 4, S. 635-654
ISSN: 1873-5924
AbstractThis paper aims to investigate the cross‐interdependence between crude oil and agricultural commodity prices. We apply a test of persistence in order to verify whether crude oil prices' effect on the agricultural commodity markets is immediate or delayed. Using the daily data covering the period 2003–2017, results show that the delayed effect of crude oil prices on the agricultural commodity prices is lower than the immediate effect. Furthermore, the dependence is strongly persistent and more affected by the food crisis than the oil crisis. Additionally, a contagion effect is detected during the food crisis for almost agricultural commodity markets, while during the oil crisis, it is verified only for the soybean and wheat markets. The study is designed to determine a reliable framework for returns and volatility forecasting in commodity markets based on the oil market changes.
In: The quarterly review of economics and finance, Band 72, S. 14-33
ISSN: 1062-9769
In: Economic Analysis and Policy, Band 69, S. 238-252
In: The quarterly review of economics and finance, Band 89, S. 73-81
ISSN: 1062-9769
In: Energy economics, Band 51, S. 99-110
ISSN: 1873-6181
In: FRL-D-23-03893
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