Are Commodity Futures Prices Barometers of the Global Economy?
Author
Abstract
Suggested Citation
Note: AP IFM
Download full text from publisher
References listed on IDEAS
- Olivier Blanchard & Jordi Galí, 2010.
"Labor Markets and Monetary Policy: A New Keynesian Model with Unemployment,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 2(2), pages 1-30, April.
- Olivier Blanchard & Jordi Galí, 2006. "Labor markets and monetary policy: A new-Keynesian model with unemployement," Economics Working Papers 1076, Department of Economics and Business, Universitat Pompeu Fabra, revised Mar 2008.
- Blanchard, Olivier & GalÃ, Jordi, 2008. "Labour Markets and Monetary Policy: A New Keynesian Model with Unemployment," CEPR Discussion Papers 6765, C.E.P.R. Discussion Papers.
- Olivier Blanchard & Jordi Gali, 2008. "Labor Markets and Monetary Policy: A New-Keynesian Model with Unemployment," NBER Working Papers 13897, National Bureau of Economic Research, Inc.
- Lutz Kilian, 2008.
"The Economic Effects of Energy Price Shocks,"
Journal of Economic Literature, American Economic Association, vol. 46(4), pages 871-909, December.
- Kilian, Lutz, 2007. "The Economic Effects of Energy Price Shocks," CEPR Discussion Papers 6559, C.E.P.R. Discussion Papers.
- Hamilton, James D., 2003.
"What is an oil shock?,"
Journal of Econometrics, Elsevier, vol. 113(2), pages 363-398, April.
- James D. Hamilton, 2000. "What is an Oil Shock?," NBER Working Papers 7755, National Bureau of Economic Research, Inc.
- Garbade, Kenneth D & Silber, William L, 1983. "Price Movements and Price Discovery in Futures and Cash Markets," The Review of Economics and Statistics, MIT Press, vol. 65(2), pages 289-297, May.
- James D. Hamilton, 2009.
"Causes and Consequences of the Oil Shock of 2007-08,"
Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 40(1 (Spring), pages 215-283.
- James D. Hamilton, 2009. "Causes and Consequences of the Oil Shock of 2007-08," NBER Working Papers 15002, National Bureau of Economic Research, Inc.
- James D. Hamilton, 2010. "Causes and consequences of the oil shock of 2007–08," FRB Atlanta CQER Working Paper 2009-02, Federal Reserve Bank of Atlanta.
- Roger D. Huang & Ronald W. Masulis & Hans R. Stoll, 1996. "Energy shocks and financial markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 16(1), pages 1-27, February.
- Lutz Kilian, 2009.
"Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market,"
American Economic Review, American Economic Association, vol. 99(3), pages 1053-1069, June.
- Kilian, Lutz, 2006. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," CEPR Discussion Papers 5994, C.E.P.R. Discussion Papers.
- Backus, David K. & Crucini, Mario J., 2000.
"Oil prices and the terms of trade,"
Journal of International Economics, Elsevier, vol. 50(1), pages 185-213, February.
- David K. Backus & Mario J. Crucini, 1998. "Oil Prices and the Terms of Trade," NBER Working Papers 6697, National Bureau of Economic Research, Inc.
- Ulibarri, Carlos A., 1998. "Is after-hours trading informative?," MPRA Paper 14818, University Library of Munich, Germany.
- Hamilton, James D, 1983. "Oil and the Macroeconomy since World War II," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 228-248, April.
- Davis, Steven J. & Haltiwanger, John, 2001.
"Sectoral job creation and destruction responses to oil price changes,"
Journal of Monetary Economics, Elsevier, vol. 48(3), pages 465-512, December.
- Steven J. Davis & John Haltiwanger, 1999. "Sectoral Job Creation and Destruction Responses to Oil Price Changes," NBER Working Papers 7095, National Bureau of Economic Research, Inc.
- Park, Jungwook & Ratti, Ronald A., 2008. "Oil price shocks and stock markets in the U.S. and 13 European countries," Energy Economics, Elsevier, vol. 30(5), pages 2587-2608, September.
- Lutz Kilian, 2008.
"Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?,"
The Review of Economics and Statistics, MIT Press, vol. 90(2), pages 216-240, May.
- Kilian, Lutz, 2005. "Exogenous Oil Supply Shocks: How Big Are They and How Much do they Matter for the US Economy?," CEPR Discussion Papers 5131, C.E.P.R. Discussion Papers.
- Sanford Grossman, 1989. "The Informational Role of Prices," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262572141, December.
- Nandha, Mohan & Faff, Robert, 2008. "Does oil move equity prices? A global view," Energy Economics, Elsevier, vol. 30(3), pages 986-997, May.
- Albert S. Kyle & Wei Xiong, 2001. "Contagion as a Wealth Effect," Journal of Finance, American Finance Association, vol. 56(4), pages 1401-1440, August.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Christiane Baumeister & Dimitris Korobilis & Thomas K. Lee, 2022.
"Energy Markets and Global Economic Conditions,"
The Review of Economics and Statistics, MIT Press, vol. 104(4), pages 828-844, October.
- Christiane Baumeister & Dimitris Korobilis & Thomas K. Lee, 2020. "Energy Markets and Global Economic Conditions," Working Papers 2020_08, Business School - Economics, University of Glasgow.
- Christiane Baumeister & Dimitris Korobilis & Thomas K. Lee, 2020. "Energy Markets and Global Economic Conditions," NBER Working Papers 27001, National Bureau of Economic Research, Inc.
- Baumeister, Christiane & Korobilis, Dimitris & Lee, Thomas K., 2020. "Energy Markets and Global Economic Conditions," CEPR Discussion Papers 14580, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Dimitris Korobilis & Thomas K. Lee, 2020. "Energy Markets and Global Economic Conditions," CESifo Working Paper Series 8282, CESifo.
- Kallis, Giorgos & Sager, Jalel, 2017. "Oil and the economy: A systematic review of the literature for ecological economists," Ecological Economics, Elsevier, vol. 131(C), pages 561-571.
- Peilun He & Gareth W. Peters & Nino Kordzakhia & Pavel V. Shevchenko, 2024. "Multi-Factor Function-on-Function Regression of Bond Yields on WTI Commodity Futures Term Structure Dynamics," Papers 2412.05889, arXiv.org.
- Hoover, Gary A. & Smimou, K., 2023. "Socially conscious investment funds and home country institutions," Economic Analysis and Policy, Elsevier, vol. 79(C), pages 395-417.
- Conghui Hu & Zhibing Li & Xiaoyu Liu, 2020. "Liquidity shocks, commodity financialization, and market comovements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(9), pages 1315-1336, September.
- Thobekile Qabhobho, 2023. "Assessing the Asymmetric Effect of Local Realized Exchange Rate Volatility and Implied Volatilities in Energy Market on Exchange Rate Returns in BRICS," International Journal of Energy Economics and Policy, Econjournals, vol. 13(2), pages 231-239, March.
- Ing-Haw Cheng & Wei Xiong, 2014.
"Financialization of Commodity Markets,"
Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 419-441, December.
- Ing-Haw Cheng & Wei Xiong, 2013. "The Financialization of Commodity Markets," NBER Working Papers 19642, National Bureau of Economic Research, Inc.
- Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2021. "Commodity futures returns and policy uncertainty," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 364-383.
- Nikolaos T. Milonas & Evangelia K. Photina, 2024. "The convenience yield under commodity financialization," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 631-652, April.
- Brooks, Chris & Fernandez-Perez, Adrian & Miffre, Joëlle & Nneji, Ogonna, 2016. "Commodity risks and the cross-section of equity returns," The British Accounting Review, Elsevier, vol. 48(2), pages 134-150.
- Chenchen Li & Chongfeng Wu & Chunyang Zhou, 2021. "Forecasting equity returns: The role of commodity futures along the supply chain," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 46-71, January.
- Parminder KAUR & Ravi SINGLA, 2023. "Asymmetric Effects of Commodity Prices on Stock Returns of BRICS Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 145-164, March.
- Bosch, David & Smimou, K., 2022. "Traders’ motivation and hedging pressure in commodity futures markets," Research in International Business and Finance, Elsevier, vol. 59(C).
- Chris Brooks & Adrian Fernandez-Perez & Joëlle Miffre & Ogonna Nneji, 2014. "Commodity Risk Factors and the Cross-Section of Equity Returns," ICMA Centre Discussion Papers in Finance icma-dp2014-09, Henley Business School, University of Reading.
- Kyophilavong, Phouphet & Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar, 2023. "Cross-spectral coherence and co-movement between WTI oil price and exchange rate of Thai Baht," Resources Policy, Elsevier, vol. 80(C).
- Lutz Kilian, 2014.
"Oil Price Shocks: Causes and Consequences,"
Annual Review of Resource Economics, Annual Reviews, vol. 6(1), pages 133-154, October.
- Kilian, Lutz, 2014. "Oil Price Shocks: Causes and Consequences," CEPR Discussion Papers 9823, C.E.P.R. Discussion Papers.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Broadstock, David C. & Filis, George, 2014. "Oil price shocks and stock market returns: New evidence from the United States and China," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 417-433.
- Stavros Degiannakis & George Filis & Vipin Arora, 2018.
"Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence,"
The Energy Journal, , vol. 39(5), pages 85-130, September.
- Stavros Degiannakis, George Filis, and Vipin Arora, 2018. "Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
- Stavros Degiannakis & George Filis & Vipin Arora, 2018. "Oil prices and stock markets: A review of the theory and empirical evidence," BAFES Working Papers BAFES22, Department of Accounting, Finance & Economic, Bournemouth University.
- Degiannakis, Stavros & Filis, George & Arora, Vipin, 2018. "Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence," MPRA Paper 96270, University Library of Munich, Germany.
- Claudio Morana, 2013.
"The Oil Price-Macroeconomy Relationship Since the Mid-1980s: A Global Perspective,"
The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
- Morana, Claudio, 2012. "The Oil Price-Macroeconomy Relationship since the Mid- 1980s: A Global Perspective," Energy: Resources and Markets 127423, Fondazione Eni Enrico Mattei (FEEM).
- Claudio Morana, 2013. "The oil price-macroeconomy relationship since the mid-1980s: A global perspective," Working Papers 223, University of Milano-Bicocca, Department of Economics, revised Feb 2013.
- Claudio Morana, 2012. "The Oil price-Macroeconomy Relationship since the Mid- 1980s: A global perspective," Working Papers 2012.28, Fondazione Eni Enrico Mattei.
- Angelidis, Timotheos & Degiannakis, Stavros & Filis, George, 2015.
"US stock market regimes and oil price shocks,"
Global Finance Journal, Elsevier, vol. 28(C), pages 132-146.
- Angelidis, Timotheos & Degiannakis, Stavros & Filis, George, 2015. "US stock market regimes and oil price shocks," MPRA Paper 80436, University Library of Munich, Germany.
- Smyth, Russell & Narayan, Paresh Kumar, 2018. "What do we know about oil prices and stock returns?," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 148-156.
- Filis, George & Degiannakis, Stavros & Floros, Christos, 2011.
"Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries,"
International Review of Financial Analysis, Elsevier, vol. 20(3), pages 152-164, June.
- Filis, George & Degiannakis, Stavros & Floros, Christos, 2011. "Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries," MPRA Paper 96299, University Library of Munich, Germany.
- Degiannakis, Stavros & Filis, George & Floros, Christos, 2013.
"Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 175-191.
- Degiannakis, Stavros & Filis, George & Floros, Christos, 2013. "Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment," MPRA Paper 96298, University Library of Munich, Germany.
- Wei, Yanfeng & Guo, Xiaoying, 2017. "Oil price shocks and China's stock market," Energy, Elsevier, vol. 140(P1), pages 185-197.
- Herrera, Ana María & Karaki, Mohamad B. & Rangaraju, Sandeep Kumar, 2019. "Oil price shocks and U.S. economic activity," Energy Policy, Elsevier, vol. 129(C), pages 89-99.
- Apergis, Nicholas & Miller, Stephen M., 2009.
"Do structural oil-market shocks affect stock prices?,"
Energy Economics, Elsevier, vol. 31(4), pages 569-575, July.
- Nicholas Apergis & Stephen M. Miller, 2008. "Do Structural Oil-Market Shocks Affect Stock Prices?," Working papers 2008-51, University of Connecticut, Department of Economics.
- Nicholas Apergis & Stephen M. Miller, 2009. "Do Structural Oil-Market Shocks Affect Stock Prices?," Working Papers 0917, University of Nevada, Las Vegas , Department of Economics.
- Rajeev Dhawan & Karsten Jeske & Pedro Silos, 2010.
"Productivity, Energy Prices and the Great Moderation: A New Link,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 13(3), pages 715-724, July.
- Pedro Silos & Karsten Jeske & Rajeev Dhawan, 2008. "Productivity, Energy Prices and the Great Moderation: A New Link," 2008 Meeting Papers 877, Society for Economic Dynamics.
- Rajeev Dhawan & Karsten Jeske & Pedro Silos, 2008. "Productivity, energy prices, and the Great Moderation: a new link," FRB Atlanta Working Paper 2008-11, Federal Reserve Bank of Atlanta.
- Rajeev Dhawan & Karsten Jeske & Pedro Silos, 2009. "Code and data files for "Productivity, Energy Prices, and the Great Moderation: A New Link"," Computer Codes 09-14, Review of Economic Dynamics.
- Jaime Casassus & Freddy Higuera, 2011. "Stock Return Predictability and Oil Prices," Documentos de Trabajo 406, Instituto de Economia. Pontificia Universidad Católica de Chile..
- Ratti, Ronald A. & Vespignani, Joaquin L., 2013.
"Liquidity and crude oil prices: China's influence over 1996–2011,"
Economic Modelling, Elsevier, vol. 33(C), pages 517-525.
- Ratti, Ronald A & Vespignani, Joaquin L., 2012. "Crude Oil Prices: China’s Influence Over 1996-2011," Working Papers 15728, University of Tasmania, Tasmanian School of Business and Economics, revised 17 Dec 2012.
- Ratti, Ronald & Vespignani, Joaquin, 2012. "Liquidity and crude oil prices: China’s influence over 1996-2011," Working Papers 15062, University of Tasmania, Tasmanian School of Business and Economics, revised 20 Sep 2012.
- Ratti, Ronald A. & Vespignani, Joaquin L., 2012. "Liquidity and Crude Oil Prices: China’s Influence Over 1996-2011," MPRA Paper 48900, University Library of Munich, Germany.
- Balcilar, Mehmet & Gupta, Rangan & Miller, Stephen M., 2015.
"Regime switching model of US crude oil and stock market prices: 1859 to 2013,"
Energy Economics, Elsevier, vol. 49(C), pages 317-327.
- Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2014. "Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013," Working Papers 201429, University of Pretoria, Department of Economics.
- Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2014. "Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013," Working papers 2014-26, University of Connecticut, Department of Economics.
- Berna Aydogan & Istemi Berk, 2015. "Crude Oil Price Shocks and Stock Returns: Evidences from Turkish Stock Market under Global Liquidity Conditions," International Journal of Energy Economics and Policy, Econjournals, vol. 5(1), pages 54-68.
- Haykir, Ozkan & Yagli, Ibrahim & Aktekin Gok, Emine Dilara & Budak, Hilal, 2022. "Oil price explosivity and stock return: Do sector and firm size matter?," Resources Policy, Elsevier, vol. 78(C).
- Boldanov, Rustam & Degiannakis, Stavros & Filis, George, 2016.
"Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries,"
International Review of Financial Analysis, Elsevier, vol. 48(C), pages 209-220.
- Boldanov, Rustam & Degiannakis, Stavros & Filis, George, 2015. "Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries," MPRA Paper 72082, University Library of Munich, Germany.
- Boldanov, Rustam & Degiannakis, Stavros & Filis, George, 2017. "Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries," MPRA Paper 80435, University Library of Munich, Germany.
- Fatema Alaali, 2017. "Analysing the Effect of Oil Price Shocks on Asset Prices: Evidence from UK Firms," International Journal of Economics and Financial Issues, Econjournals, vol. 7(4), pages 418-432.
- Sharma, Shahil & Escobari, Diego, 2018.
"Identifying price bubble periods in the energy sector,"
Energy Economics, Elsevier, vol. 69(C), pages 418-429.
- Sharma, Shahil & Escobari, Diego, 2017. "Identifying Price Bubble Periods in the Energy Sector," MPRA Paper 83355, University Library of Munich, Germany.
More about this item
JEL classification:
- F3 - International Economics - - International Finance
- F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
- G1 - Financial Economics - - General Financial Markets
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nbr:nberwo:19706. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/nberrus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.