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The time-varying effects of financial and geopolitical uncertainties on commodity market dynamics: A TVP-SVAR-SV analysis
16 references·3 citing·52 second hop
The time-varying effects of financial and geopolitical uncertainties on commodity market dynamics: A TVP-SVAR-SV analysis (2021)The time-varying effects of financial and…Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models (2019)Geopolitical risk uncertainty…Does geopolitical risk strengthen or depress oil prices and financial liquidity? Evidence from Saudi Arabia (2019)Does geopolitical risk streng…Commodity-price comovement and global economic activity (2019)Commodity-price comovement an…The impact of uncertainty shocks on the volatility of commodity prices (2018)The impact of uncertainty sho…Financial Frictions and Fluctuations in Volatility (2018)Financial Frictions and Fluct…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…Financial Frictions and Fluctuations in Volatility (2016)Financial Frictions and Fluct…Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach (2015)Do financial stress and polic…Financial stress and economic dynamics: The transmission of crises (2014)Financial stress and economic…Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications (2011)Time-Varying Parameter VAR Mo…Financial Conditions Indexes: A Fresh Look after the Financial Crisis (2010)Financial Conditions Indexes:…This Time is Different: A Panoramic View of Eight Centuries of Financial Crises (2008)This Time is Different: A Pan…On the evolution of the monetary policy transmission mechanism (2008)On the evolution of the monet…Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)Stochastic volatility with le…Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Time Varying Structural Vecto…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Time-varying impact of geopolitical risk on natural resources prices: Evidence from the hybrid TVP-VAR model with large system (2023)Time-varying impact of geopol…Effect of geopolitical risk on resources prices in the global and Russian-Ukrainian context: A novel Bayesian structural model (2023)Effect of geopolitical risk o…Fluctuation in the global oil market, stock market volatility, and economic policy uncertainty: A study of the US and China (2021)Fluctuation in the global oil…The monetary dynamics of hyperinflation (1956)Is the crisis problem growing more severe? 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(2017)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Financial Modelling with Jump Processes (2003)Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices (2009)Common Drifting Volatility in Large Bayesian VARs (2015)Measuring Uncertainty and Its Impact on the Economy (2017)On estimating the expected return on the market (1980)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Geopolitical risk and crude oil security: A Chinese perspective (2020)Geopolitical risk and stock market volatility in emerging markets: A GARCH – MIDAS approach (2022)Geopolitical risk, supply chains, and global inflation (2024)Agency costs of free cash flow, corporate finance, and takeovers (1996)The Impact of Uncertainty Shocks (2009)Wait-and-see: Investment options under policy uncertainty (2015)The Pass-Through of Sovereign Risk (2016)The pandemic and economic policy uncertainty (2020)Econometric policy evaluation: A critique (1976)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Were There Regime Switches in U.S. Monetary Policy? (2006)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)The Role of Monetary Policy (1995)Measuring Uncertainty (2015)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)Measuring Geopolitical Risk (2022)Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy (2011)Impact of the COVID-19 Pandemic on the Crude Oil and Stock Markets in the US: A Time-Varying Analysis (2020)Geopolitical risk and dynamic connectedness between commodity markets (2022)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 2008This Time is Different: A Panoramic View of Eight Centuries of Financial Crises872 cited
  • 2006Stochastic volatility with leverage: Fast and efficient likelihood inference464 cited
  • 2018Financial Frictions and Fluctuations in Volatility407 cited
  • 2011Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications402 cited
  • 2010Financial Conditions Indexes: A Fresh Look after the Financial Crisis395 cited
  • 2008On the evolution of the monetary policy transmission mechanism261 cited
  • 2019Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models251 cited
  • 2019Does geopolitical risk strengthen or depress oil prices and financial liquidity? Evidence from Saudi Arabia248 cited
  • 2016Financial Frictions and Fluctuations in Volatility242 cited
  • 2014Financial stress and economic dynamics: The transmission of crises239 cited
  • 2018The impact of uncertainty shocks on the volatility of commodity prices223 cited

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2019
Commodity-price comovement and global economic activity
201 cited
  • 2015Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach199 cited
  • Cited by

    • 2023Time-varying impact of geopolitical risk on natural resources prices: Evidence from the hybrid TVP-VAR model with large system68 cited
    • 2021Fluctuation in the global oil market, stock market volatility, and economic policy uncertainty: A study of the US and China67 cited
    • 2023Effect of geopolitical risk on resources prices in the global and Russian-Ukrainian context: A novel Bayesian structural model60 cited