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Robert Czudaj

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Beckmann, Joscha & Czudaj, Robert L., 2024. "Fundamental determinants of exchange rate expectations," MPRA Paper 120648, University Library of Munich, Germany.

    Cited by:

    1. Ojeda-Joya, Jair & Romero, José Vicente, 2023. "Global uncertainty shocks and exchange-rate expectations in Latin America," Economic Modelling, Elsevier, vol. 120(C).
    2. Dr. Zahid Hussain Shaikh & Ragni Lund & Dr. Niaz Hussain Ghumro, 2024. "Macroeconomic dynamics and Panel VAR -Analysis in Developing Countries," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 13(1), pages 118-126.

  2. Beckmann, Joscha & Czudaj, Robert L., 2024. "Uncertainty Shocks and Inflation: The Role of Credibility and Expectation Anchoring," MPRA Paper 119971, University Library of Munich, Germany.

    Cited by:

    1. Khaliq Ul Rehman & Ghulam Ghouse, 2024. "Examining Inflation Expectations within Asian Economies: Application of Wavelet Quantile Analysis towards Assessing Monetary Policy Credibility," Journal of Economic Impact, Science Impact Publishers, vol. 6(1), pages 70-80.

  3. Czudaj, Robert L., 2023. "Anchoring of Inflation Expectations and the Role of Monetary Policy and Cost-Push Factors," MPRA Paper 119029, University Library of Munich, Germany.

    Cited by:

    1. Czudaj, Robert L., 2023. "Expectation Formation and the Phillips Curve Revisited," MPRA Paper 119478, University Library of Munich, Germany.

  4. Joscha Beckmann & Robert L. Czudaj, 2022. "Exchange rate expectation, abnormal returns, and the COVID-19 pandemic," Chemnitz Economic Papers 054, Department of Economics, Chemnitz University of Technology, revised Jan 2022.

    Cited by:

    1. Calice, Giovanni & Lin, Ming-Tsung, 2024. "Sovereign momentum currency returns," International Review of Financial Analysis, Elsevier, vol. 96(PB).
    2. Klose, Jens, 2023. "European exchange rate adjustments in response to COVID-19, containment measures and stabilization policies," Economic Modelling, Elsevier, vol. 128(C).
    3. Naveed, Hafiz Muhammad & HongXing, Yao & Memon, Bilal Ahmed & Ali, Shoaib & Alhussam, Mohammed Ismail & Sohu, Jan Muhammad, 2023. "Artificial neural network (ANN)-based estimation of the influence of COVID-19 pandemic on dynamic and emerging financial markets," Technological Forecasting and Social Change, Elsevier, vol. 190(C).
    4. Ngo Thai Hung & Vo Xuan Vinh, 2023. "Asymmetric impact of the COVID-19 pandemic on foreign exchange markets: Evidence from an extreme quantile approach," Economics and Business Letters, Oviedo University Press, vol. 12(1), pages 20-32.

  5. Beckmann, Joscha & Czudaj, Robert L., 2022. "Perceived monetary policy uncertainty," MPRA Paper 114964, University Library of Munich, Germany.

    Cited by:

    1. Aariya Sen & Swarn Rajan, 2024. "You are uncertain and we are at stress! How does monetary policy uncertainty affect financial stress? The case of the US and G7," International Economics and Economic Policy, Springer, vol. 21(4), pages 749-769, October.
    2. Beckmann, Joscha & Czudaj, Robert L., 2024. "Uncertainty Shocks and Inflation: The Role of Credibility and Expectation Anchoring," MPRA Paper 119971, University Library of Munich, Germany.
    3. Beckmann, Joscha & Boonman, Tjeerd M. & Schreiber, Sven, 2024. "Expectations, sentiments and capital flows to emerging market economies," Emerging Markets Review, Elsevier, vol. 62(C).
    4. Beckmann, Joscha & Czudaj, Robert L. & Murach, Michael, 2024. "Macroeconomic effects from media coverage of the China–U.S. trade war on selected EU countries," European Journal of Political Economy, Elsevier, vol. 85(C).
    5. Mahmoud Qadan & Gil Cohen, 2024. "Uncertainty about interest rates and crude oil prices," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-14, December.
    6. Wang, Hailong & Hu, Duni, 2024. "Heterogeneous beliefs with information processing capacity constraints and asset pricing in a monetary economy," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).

  6. Robert L. Czudaj, 2021. "Heterogeneity of Beliefs and Information Rigidity in the Crude Oil Market: Evidence from Survey Data," Chemnitz Economic Papers 050, Department of Economics, Chemnitz University of Technology, revised Sep 2021.

    Cited by:

    1. Czudaj, Robert L., 2023. "Expectation Formation and the Phillips Curve Revisited," MPRA Paper 119478, University Library of Munich, Germany.
    2. Smimou, K. & Bosch, D. & Filbeck, G., 2024. "Commodities and Policy Uncertainty Channel(s)," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 351-379.
    3. Allayioti, Anastasia & Arioli, Rodolfo & Bates, Colm & Botelho, Vasco & Fagandini, Bruno & Fonseca, Luís & Healy, Peter & Meyler, Aidan & Minasian, Ryan & Zahrt, Octavia, 2024. "A look back at 25 years of the ECB SPF," Occasional Paper Series 364, European Central Bank.
    4. Joscha Beckmann & Robert L. Czudaj, 2022. "Fundamental determinants of exchange rate expectations," Chemnitz Economic Papers 056, Department of Economics, Chemnitz University of Technology, revised Mar 2022.
    5. Glas, Alexander & Heinisch, Katja, 2023. "Conditional macroeconomic survey forecasts: Revisions and errors," Journal of International Money and Finance, Elsevier, vol. 138(C).
    6. Beckmann, Joscha & Czudaj, Robert L., 2022. "Perceived monetary policy uncertainty," MPRA Paper 114964, University Library of Munich, Germany.
    7. Degiannakis, Stavros & Filis, George, 2020. "Oil price assumptions for macroeconomic policy," MPRA Paper 100705, University Library of Munich, Germany.
    8. Asit Kumar Das & Debahuti Mishra & Kaberi Das & Pradeep Kumar Mallick & Sachin Kumar & Mikhail Zymbler & Hesham El-Sayed, 2022. "Prophesying the Short-Term Dynamics of the Crude Oil Future Price by Adopting the Survival of the Fittest Principle of Improved Grey Optimization and Extreme Learning Machine," Mathematics, MDPI, vol. 10(7), pages 1-33, March.
    9. Wang, Hailong & Hu, Duni, 2024. "Heterogeneous beliefs with information processing capacity constraints and asset pricing in a monetary economy," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).

  7. Robert L. Czudaj & Joscha Beckmann, 2020. "Fiscal Policy Uncertainty and its Effects on the Real Economy: German Evidence," Chemnitz Economic Papers 039, Department of Economics, Chemnitz University of Technology, revised Oct 2020.

    Cited by:

    1. Beckmann, Joscha & Czudaj, Robert L., 2024. "Uncertainty Shocks and Inflation: The Role of Credibility and Expectation Anchoring," MPRA Paper 119971, University Library of Munich, Germany.
    2. Safari, Omid & Assadzadeh, Ahmad & Mirjalili, Seyed Hossein, 2024. "Fiscal Policy Uncertainty and Industrial Investment in Iran," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 16(1), pages 229-259.
    3. Zeqiraj, Veton & Gurdgiev, Constantin & Sohag, Kazi & Hammoudeh, Shawkat, 2024. "Economic uncertainty, public debt and non-performing loans in the Eurozone: Three systemic crises," International Review of Financial Analysis, Elsevier, vol. 93(C).
    4. Joscha Beckmann & Robert L. Czudaj, 2023. "The role of expectations for currency crisis dynamics—The case of the Turkish lira," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 625-642, April.
    5. Stavros P. Migkos & Damianos P. Sakas & Nikolaos T. Giannakopoulos & Georgios Konteos & Anastasia Metsiou, 2022. "Analyzing Greece 2010 Memorandum’s Impact on Macroeconomic and Financial Figures through FCM," Economies, MDPI, vol. 10(8), pages 1-19, July.
    6. Rongwu Zhang & Lan Luo & Jianjun Du, 2023. "The influence of fiscal policy uncertainty on corporate total factor productivity: Evidence from Chinese public companies," Contemporary Economic Policy, Western Economic Association International, vol. 41(3), pages 532-554, July.
    7. Niels Gillmann & Alexander Hilgenberg, 2021. "Wie man wirtschaftliche Unsicherheit empirisch messen kann – Eine Darstellung am Beispiel von Deutschland," ifo Dresden berichtet, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 28(02), pages 24-29, April.

  8. Shahbaz, Muhammad & Khraief, Naceur & L. Czudaj, Robert, 2020. "Renewable Energy Consumption-Economic Growth Nexus in G7 Countries: New Evidence from a Nonlinear ARDL Approach," MPRA Paper 103525, University Library of Munich, Germany, revised 13 Oct 2020.

    Cited by:

    1. Shahbaz, Muhammad & Song, Malin & Ahmad, Shabbir & Vo, Xuan Vinh, 2021. "Does Economic Growth Stimulate Energy Consumption? The Role of Human Capital and R&D Expenditures in China," MPRA Paper 110352, University Library of Munich, Germany, revised 22 Oct 2021.
    2. Wang, Qiang & Wang, Lili & Li, Rongrong, 2023. "Could trade protectionism reshape the nexus of energy-economy-environment? Insight from different income groups," Resources Policy, Elsevier, vol. 85(PA).
    3. Clement Olalekan Olaniyi & Nicholas Mbaya Odhiambo, 2025. "Modelling asymmetric and nonlinear features in the natural resource wealth-economic complexity nexus: empirical insights from Nigeria," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 38(1), pages 177-201, March.
    4. Miguel Á. Tinoco-Zermeño, 2023. "Energy consumption, financial development, CO2 emissions, and economic growth in 23 developing economies," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 18(1), pages 1-24, Enero - M.
    5. Khanday, Ishfaq Nazir & Tarique, Md., 2023. "Does income inequality respond asymmetrically to financial development? Evidence from India using asymmetric cointegration and causality tests," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
    6. Clement Olalekan Olaniyi & James Temitope Dada & Nicholas Mbaya Odhiambo & Xuan Vinh Vo, 2023. "Modelling asymmetric structure in the finance-poverty nexus: empirical insights from an emerging market economy," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(1), pages 453-487, February.
    7. Mehdi Seraj & Annette Siakamba & Huseyin Ozdeser, 2025. "The Impact of Economic Indicators on Renewable Energy Consumption in Southern Africa: Evidence from Residual Augmented Least Squares Cointegration and Method of Moments Quantile Regression Models," Sustainability, MDPI, vol. 17(8), pages 1-18, April.

  9. Robert L. Czudaj, 2019. "Is the negative interest rate policy effective?," Chemnitz Economic Papers 034, Department of Economics, Chemnitz University of Technology, revised Dec 2019.

    Cited by:

    1. An, Sungbae & Kim, Hyosang & Kim, Seung-Hyun & Yang, Da Young & Lee, Jinhee & Cho, Ko Un & Kim, Wongi & Kim, Jinill, 2021. "포스트 코로나 시대 주요국의 통화·재정정책 방향과 시사점(hanges, Challenges and Implications of Fiscal and Monetary Policy Directions in the Post Pandemic Era)," Policy Analyses 21-15, Korea Institute for International Economic Policy.
    2. Joscha Beckmann & Robert L Czudaj & Georgios Kouretas, 2021. "Fiscal policy uncertainty and its effects on the real economy: German evidence," Oxford Economic Papers, Oxford University Press, vol. 73(4), pages 1516-1535.
    3. Sigmund, Michael & Agati, Alessandra, 2025. "Banking in the negative: a vector error correction analysis of bank-specific lending and deposit rates," Working Paper Series 3039, European Central Bank.
    4. Joscha Beckmann & Klaus-Jürgen Gern & Nils Jannsen, 2022. "Should they stay or should they go? Negative interest rate policies under review," International Economics and Economic Policy, Springer, vol. 19(4), pages 885-912, October.
    5. Abildgren, Kim & Kuchler, Andreas, 2023. "Firm behaviour under negative deposit rates," European Economic Review, Elsevier, vol. 151(C).
    6. Hiroshi GUNJI, 2018. "Did BOJ's Negative Interest Rate Policy Increase Bank Lending?," Discussion papers 18086, Research Institute of Economy, Trade and Industry (RIETI).
    7. Michael Pirgmann & Petr Wawrosz, 2024. "Assessing the Effective Lower Bound in the Context of Introducing the Digital Euro," Economies, MDPI, vol. 12(6), pages 1-24, June.

  10. Robert Czudaj, 2019. "Crude oil futures trading and uncertainty," Chemnitz Economic Papers 027, Department of Economics, Chemnitz University of Technology, revised Jan 2019.

    Cited by:

    1. Szafranek Karol & Rubaszek Michał, 2024. "Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(3), pages 507-530.
    2. Zhu, Qi & Jin, Sisi & Huang, Yuxuan & Yan, Cheng, 2022. "Oil price uncertainty and stock price informativeness: Evidence from listed U.S. companies," Energy Economics, Elsevier, vol. 113(C).
    3. Ikhlaas Gurrib, 2022. "Technical Analysis, Energy Cryptos and Energy Equity Markets," International Journal of Energy Economics and Policy, Econjournals, vol. 12(2), pages 249-267, March.
    4. Yang, Kun & Wei, Yu & Li, Shouwei & Liu, Liang & Wang, Lei, 2021. "Global financial uncertainties and China’s crude oil futures market: Evidence from interday and intraday price dynamics," Energy Economics, Elsevier, vol. 96(C).
    5. Liu, Yang & Han, Liyan & Xu, Yang, 2021. "The impact of geopolitical uncertainty on energy volatility," International Review of Financial Analysis, Elsevier, vol. 75(C).
    6. Xiaoye Jin, 2022. "Evaluating the predictive power of intraday technical trading in China's crude oil market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(7), pages 1416-1432, November.
    7. Siddique, Md. Abubakar & Nobanee, Haitham & Hasan, Md. Bokhtiar & Uddin, Gazi Salah & Hossain, Md. Naiem & Park, Donghyun, 2023. "How do energy markets react to climate policy uncertainty? Fossil vs. renewable and low-carbon energy assets," Energy Economics, Elsevier, vol. 128(C).
    8. Xiao, Jihong & Wang, Yudong, 2022. "Macroeconomic uncertainty, speculation, and energy futures returns: Evidence from a quantile regression," Energy, Elsevier, vol. 241(C).
    9. Ikhlaas Gurrib & Mohammad Nourani & Rajesh Kumar Bhaskaran, 2022. "Energy crypto currencies and leading U.S. energy stock prices: are Fibonacci retracements profitable?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-27, December.
    10. Zhang, Jing, 2019. "Oil and gas trade between China and countries and regions along the ‘Belt and Road’: A panoramic perspective," Energy Policy, Elsevier, vol. 129(C), pages 1111-1120.
    11. Sun, Chuanwang & Peng, Yiqi & Zhan, Yanhong, 2023. "How does China's crude oil futures affect the crude oil prices at home and abroad? Evidence from the cross-market exchange rate spillovers," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 204-222.
    12. Souropanis, Ioannis & Vivian, Andrew, 2023. "Forecasting realized volatility with wavelet decomposition," Journal of Empirical Finance, Elsevier, vol. 74(C).
    13. Day, Min-Yuh & Ni, Yensen, 2023. "The profitability of seasonal trading timing: Insights from energy-related markets," Energy Economics, Elsevier, vol. 128(C).
    14. Ikhlaas Gurrib & Firuz Kamalov & Elgilani Elshareif, 2021. "Can the Leading US Energy Stock Prices be Predicted using the Ichimoku Cloud?," International Journal of Energy Economics and Policy, Econjournals, vol. 11(1), pages 41-51.
    15. Berger, Theo & Czudaj, Robert L., 2020. "Commodity futures and a wavelet-based risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
    16. Papież, Monika & Rubaszek, Michał & Szafranek, Karol & Śmiech, Sławomir, 2022. "Are European natural gas markets connected? A time-varying spillovers analysis," Resources Policy, Elsevier, vol. 79(C).
    17. Czudaj, Robert L., 2019. "Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach," Econometrics and Statistics, Elsevier, vol. 12(C), pages 78-145.
    18. Alam, Md. Samsul & Shahzad, Syed Jawad Hussain & Ferrer, Román, 2019. "Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility," Energy Economics, Elsevier, vol. 84(C).

  11. Robert Czudaj, 2019. "Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach," Chemnitz Economic Papers 030, Department of Economics, Chemnitz University of Technology, revised May 2019.

    Cited by:

    1. Hauzenberger, Niko, 2021. "Flexible Mixture Priors for Large Time-varying Parameter Models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 87-108.
    2. Joscha Beckmann & Robert L Czudaj & Georgios Kouretas, 2021. "Fiscal policy uncertainty and its effects on the real economy: German evidence," Oxford Economic Papers, Oxford University Press, vol. 73(4), pages 1516-1535.
    3. Jena, Sangram Keshari & Lahiani, Amine & Tiwari, Aviral Kumar & Roubaud, David, 2021. "Uncovering the complex asymmetric relationship between trading activity and commodity futures price: Evidenced from QNARDL study," Resources Policy, Elsevier, vol. 74(C).
    4. Chen, Xiangyu & Tongurai, Jittima, 2023. "Which liquidity indicator is more informative to market volatility? Spectrum analysis of China’s base metal futures market," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).
    5. Schatz, Michael & Wheatley, Spencer & Sornette, Didier, 2022. "The ARMA Point Process and its Estimation," Econometrics and Statistics, Elsevier, vol. 24(C), pages 164-182.
    6. Park, Beum-Jo, 2022. "The COVID-19 pandemic, volatility, and trading behavior in the bitcoin futures market," Research in International Business and Finance, Elsevier, vol. 59(C).
    7. Yamani, Ehab, 2023. "Return–volume nexus in financial markets: A survey of research," Research in International Business and Finance, Elsevier, vol. 65(C).
    8. Algirdas Justinas Staugaitis & Bernardas Vaznonis, 2022. "Financial Speculation Impact on Agricultural and Other Commodity Return Volatility: Implications for Sustainable Development and Food Security," Agriculture, MDPI, vol. 12(11), pages 1-27, November.
    9. Algirdas Justinas Staugaitis & Bernardas Vaznonis, 2022. "Short-Term Speculation Effects on Agricultural Commodity Returns and Volatility in the European Market Prior to and during the Pandemic," Agriculture, MDPI, vol. 12(5), pages 1-26, April.

  12. Joscha Beckmann & Robert Czudaj, 2018. "Monetary policy shocks, expectations and information rigidities," Chemnitz Economic Papers 019, Department of Economics, Chemnitz University of Technology.

    Cited by:

    1. Beckmann, Joscha & Czudaj, Robert L., 2024. "Uncertainty Shocks and Inflation: The Role of Credibility and Expectation Anchoring," MPRA Paper 119971, University Library of Munich, Germany.
    2. Cole, Stephen J. & Martínez-García, Enrique, 2023. "The effect of central bank credibility on forward guidance in an estimated New Keynesian model," Macroeconomic Dynamics, Cambridge University Press, vol. 27(2), pages 532-570, March.
    3. Goldstein, Nathan & Zilberfarb, Ben-Zion, 2021. "Do forecasters really care about consensus?," Economic Modelling, Elsevier, vol. 100(C).
    4. Juan Camilo Galvis Ciro & Juan Camilo Anzoátegui Zapata, 2019. "Disagreement in inflation expectations: empirical evidence for Colombia," Applied Economics, Taylor & Francis Journals, vol. 51(40), pages 4411-4424, August.
    5. Dybowski, T. Philipp & Kempa, Bernd, 2020. "The European Central Bank’s monetary pillar after the financial crisis," Journal of Banking & Finance, Elsevier, vol. 121(C).
    6. Joscha Beckmann & Robert L. Czudaj, 2023. "The role of expectations for currency crisis dynamics—The case of the Turkish lira," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 625-642, April.
    7. Gaurav Kumar Singh & Tathagata Bandyopadhyay, 2024. "Determinants of disagreement: Learning from inflation expectations survey of households," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(2), pages 326-343, March.
    8. Joscha Beckmann & Robert L. Czudaj, 2020. "Professional forecasters' expectations, consistency, and international spillovers," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1001-1024, November.

  13. Dirk G. Baur & Joscha Beckmann & Robert Czudaj, 2017. "The Relative Valuation of Gold," Chemnitz Economic Papers 005, Department of Economics, Chemnitz University of Technology, revised May 2017.

    Cited by:

    1. Paweł Kowalewski & Dominik A. Skopiec, 2024. "Price processes in the global gold market," Bank i Kredyt, Narodowy Bank Polski, vol. 55(4), pages 381-424, January.
    2. Nikolaos Giannellis & Minoas Koukouritakis, 2018. "Gold Price and Exchange Rates: A Panel Smooth Transition Regression Model for the G7 Countries," Working Papers 1806, University of Crete, Department of Economics.
    3. Dibooglu, Sel & Cevik, Emrah I. & Gillman, Max, 2022. "Gold, silver, and the US dollar as harbingers of financial calm and distress," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 200-210.
    4. Dey, Shubhasis & Sampath, Aravind, 2020. "Returns, volatility and spillover – A paradigm shift in India?," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).

  14. Joscha Beckmann & Theo Berger & Robert Czudaj, 2017. "Gold Price Dynamics and the Role of Uncertainty," Chemnitz Economic Papers 006, Department of Economics, Chemnitz University of Technology, revised May 2017.

    Cited by:

    1. Chiang, Thomas C., 2022. "The effects of economic uncertainty, geopolitical risk and pandemic upheaval on gold prices," Resources Policy, Elsevier, vol. 76(C).
    2. Joscha Beckmann & Theo Berger & Robert Czudaj & Thi-Hong-Van Hoang, 2017. "Tail dependence between gold and sectorial stocks in China: Perspectives for portfolio diversication," Chemnitz Economic Papers 012, Department of Economics, Chemnitz University of Technology, revised Jul 2017.
    3. Bonato, Matteo & Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2021. "A note on investor happiness and the predictability of realized volatility of gold," Finance Research Letters, Elsevier, vol. 39(C).
    4. Li, Zheng-Zheng & Meng, Qin & Zhang, Linling & Lobont, Oana-Ramona & Shen, Yijuan, 2023. "How do rare earth prices respond to economic and geopolitical factors?," Resources Policy, Elsevier, vol. 85(PA).
    5. Paweł Kowalewski & Dominik Skopiec, 2023. "Wzrost znaczenia złota w rezerwach dewizowych banków centralnych gospodarek wschodzących," Bank i Kredyt, Narodowy Bank Polski, vol. 54(3), pages 259-284.
    6. Bouoiyour, Jamal & Selmi, Refk & Wohar, Mark E., 2018. "Measuring the response of gold prices to uncertainty: An analysis beyond the mean," Economic Modelling, Elsevier, vol. 75(C), pages 105-116.
    7. Paweł Kowalewski & Dominik A. Skopiec, 2024. "Price processes in the global gold market," Bank i Kredyt, Narodowy Bank Polski, vol. 55(4), pages 381-424, January.
    8. Díaz, Juan D. & Hansen, Erwin & Cabrera, Gabriel, 2023. "Gold risk premium estimation with machine learning methods," Journal of Commodity Markets, Elsevier, vol. 31(C).
    9. António Afonso & José Alves & Sofia Monteiro, 2023. "Beyond Borders: Assessing the Influence of Geopolitical Tensions on Sovereign Risk Dynamics," CESifo Working Paper Series 10801, CESifo.
    10. Riza Demirer & Rangan Gupta & Christian Pierdzioch & Syed Jawad Hussain Shahzad, 2020. "A Note on Oil Price Shocks and the Forecastability of Gold Realized Volatility," Working Papers 202010, University of Pretoria, Department of Economics.
    11. Joseph P. Byrne & Prince Asare Vitenu-Sackey, 2024. "The Macroeconomic Impact of Global and Country-Specific Climate Risk," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 87(3), pages 655-682, March.
    12. António Afonso & José Alves & Sofia Monteiro, 2024. "The Pressure Is On: How Geopolitical Tensions Impact Institutional Fiscal and External Stability Responses," CESifo Working Paper Series 11067, CESifo.
    13. Refk Selmi & Walid Mensi & Shawkat Hammoudeh & Jamal Bouoiyour, 2018. "Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold," Post-Print hal-01879667, HAL.
    14. Sujata Kundu & Archana Dilip, 2023. "Changing Risk Appetite and Price Dynamics of Gold Vis-a-Vis Real and Financial Assets: Perspective from the Indian Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(4), pages 899-923, December.
    15. Asai, Manabu & Gupta, Rangan & McAleer, Michael, 2020. "Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks," International Journal of Forecasting, Elsevier, vol. 36(3), pages 933-948.
    16. Boubaker, Heni & Cunado, Juncal & Gil-Alana, Luis A. & Gupta, Rangan, 2020. "Global crises and gold as a safe haven: Evidence from over seven and a half centuries of data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    17. Kyriazis, Nikolaos & Papadamou, Stephanos & Tzeremes, Panayiotis & Corbet, Shaen, 2024. "Examining spillovers and connectedness among commodities, inflation, and uncertainty: A quantile-VAR framework," Energy Economics, Elsevier, vol. 133(C).
    18. Jamal Bouoiyour & Refk Selmi, 2019. "The Qatar-Gulf Crisis and Risk Management in Oil and Gas Markets," Working Papers hal-02101633, HAL.
    19. Guo, Changrong & Zhang, Xiangyu & Raza, Syed Ali & Masood, Amna, 2024. "Asymmetrical connectedness between infectious diseases-related equity market volatility and prices of precious metals," Resources Policy, Elsevier, vol. 88(C).
    20. Bonato, Matteo & Gupta, Rangan & Lau, Chi Keung Marco & Wang, Shixuan, 2020. "Moments-based spillovers across gold and oil markets," Energy Economics, Elsevier, vol. 89(C).
    21. Refk Selmi & Jamal Bouoiyour & Shawkat Hammoudeh, 2020. "Common and country-specific uncertainty fluctuations in oil-producing countries : Measures, macroeconomic effects and policy challenges," Post-Print hal-02929898, HAL.
    22. Juncal Cunado & Luis A. Gil-Alana & Rangan Gupta, 2018. "Persistence in Trends and Cycles of Gold and Silver Prices: Evidence from Historical Data," Working Papers 201816, University of Pretoria, Department of Economics.
    23. Song, Yu & Song, Yanqiu & Chang, Shiwei & He, Lele, 2024. "The role of gold in terrorism: Risk aversion or financing source?," Resources Policy, Elsevier, vol. 95(C).
    24. Golitsis, Petros & Gkasis, Pavlos & Bellos, Sotirios K., 2022. "Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    25. Rangan Gupta & Sayar Karmakar & Christian Pierdzioch, 2022. "Safe Havens, Machine Learning, and the Sources of Geopolitical Risk: A Forecasting Analysis Using Over a Century of Data," Working Papers 202201, University of Pretoria, Department of Economics.
    26. Du, Pei & Guo, Ju’e & Sun, Shaolong & Wang, Shouyang & Wu, Jing, 2021. "Multi-step metal prices forecasting based on a data preprocessing method and an optimized extreme learning machine by marine predators algorithm," Resources Policy, Elsevier, vol. 74(C).
    27. Refk Selmi & Jamal Bouoiyour & Amal Miftah, 2020. "Oil price jumps and the uncertainty of oil supplies in a geopolitical perspective: The role of OPEC’s spare capacity," Post-Print hal-02933536, HAL.
    28. Baur, Dirk G. & Smales, Lee A., 2020. "Hedging geopolitical risk with precious metals," Journal of Banking & Finance, Elsevier, vol. 117(C).
    29. Rasool Dehghanzadeh Shahabad & Mehmet Balcilar, 2022. "Modelling the Dynamic Interaction between Economic Policy Uncertainty and Commodity Prices in India: The Dynamic Autoregressive Distributed Lag Approach," Mathematics, MDPI, vol. 10(10), pages 1-21, May.
    30. Ali, Syed Riaz Mahmood & Anik, Kaysul Islam & Hasan, Mohammad Nurul & Kamal, Md Rajib, 2023. "Geopolitical threats, equity returns, and optimal hedging," International Review of Financial Analysis, Elsevier, vol. 90(C).
    31. Smales, Lee A., 2020. "Examining the relationship between policy uncertainty and market uncertainty across the G7," International Review of Financial Analysis, Elsevier, vol. 71(C).
    32. Ahmed, Walid M.A., 2022. "On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 135-151.
    33. Tanin, Tauhidul Islam & Sarker, Ashutosh & Hammoudeh, Shawkat & Shahbaz, Muhammad, 2021. "Do volatility indices diminish gold's appeal as a safe haven to investors before and during the COVID-19 pandemic?," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 214-235.
    34. Risse, Marian, 2019. "Combining wavelet decomposition with machine learning to forecast gold returns," International Journal of Forecasting, Elsevier, vol. 35(2), pages 601-615.
    35. Cui, Moyang & Wong, Wing-Keung & Wisetsri, Worakamol & Mabrouk, Fatma & Muda, Iskandar & Li, Zeyun & Hassan, Marria, 2023. "Do oil, gold and metallic price volatilities prove gold as a safe haven during COVID-19 pandemic? Novel evidence from COVID-19 data," Resources Policy, Elsevier, vol. 80(C).
    36. Pham, Quynh Thi Thuy & Rudolf, Markus, 2021. "Gold, platinum, and industry stock returns," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 252-266.
    37. Qin, Meng & Su, Chi-Wei & Tao, Ran & Umar, Muhammad, 2020. "Is factionalism a push for gold price?," Resources Policy, Elsevier, vol. 67(C).
    38. Aslam, Faheem & Hunjra, Ahmed Imran & Memon, Bilal Ahmed & Zhang, Mingda, 2024. "Interplay of multifractal dynamics between shadow policy rates and energy markets," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    39. Ding, Shusheng & Cui, Tianxiang & Zheng, Dandan & Du, Min, 2021. "The effects of commodity financialization on commodity market volatility," Resources Policy, Elsevier, vol. 73(C).
    40. Bei, Zeyun & Lin, Juan & Zhou, Yinggang, 2024. "No safe haven, only diversification and contagion — Intraday evidence around the COVID-19 pandemic," Journal of International Money and Finance, Elsevier, vol. 143(C).
    41. Batra, Shallu & Tiwari, Aviral Kumar & Yadav, Mahender & Danso, Albert, 2025. "Connectedness among diverse financial assets: Evidence from cryptocurrency uncertainty indices," Technological Forecasting and Social Change, Elsevier, vol. 210(C).
    42. Chen, Xiuwen & Yao, Yinhong & Wang, Lin & Huang, Shenwei, 2024. "How EPU, VIX, and GPR interact with the dynamic connectedness among commodity and financial markets: Evidence from wavelet analysis," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    43. Syeda Tayyaba Ijaz, 2024. "Cointegration and Economic Dynamics: Unraveling the Interplay between Gold Prices and Residential Property Prices in Five Different Nations," International Real Estate Review, Global Social Science Institute, vol. 27(4), pages 521-536.
    44. Dibooglu, Sel & Cevik, Emrah I. & Gillman, Max, 2022. "Gold, silver, and the US dollar as harbingers of financial calm and distress," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 200-210.
    45. Tachibana, Minoru, 2022. "Safe haven assets for international stock markets: A regime-switching factor copula approach," Research in International Business and Finance, Elsevier, vol. 60(C).
    46. Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2019. "Forecasting Realized Gold Volatility: Is there a Role of Geopolitical Risks?," Working Papers 201943, University of Pretoria, Department of Economics.
    47. Ai Jun Hou & Ian Khrashchevskyi & Jarkko Peltomäki, 2019. "Hedge and safe haven investing with investment styles," Journal of Asset Management, Palgrave Macmillan, vol. 20(5), pages 351-364, September.
    48. Mohamed Arbi Madani & Zied Ftiti, 2019. "The Generalisation of the DMCA Coefficient to Serve Distinguishing Between Hedge and Safe Haven Capabilities of the Gold," Papers 1912.12590, arXiv.org.
    49. Adediran, Idris A. & Yinusa, Olalekan D. & Lakhani, Kanwal Hammad, 2021. "Where lies the silver lining when uncertainty hang dark clouds over the global financial markets?," Resources Policy, Elsevier, vol. 70(C).
    50. Zhou, Mei-Jing & Huang, Jian-Bai & Chen, Jin-Yu, 2020. "The effects of geopolitical risks on the stock dynamics of China's rare metals: A TVP-VAR analysis," Resources Policy, Elsevier, vol. 68(C).
    51. Selmi, Refk & Bouoiyour, Jamal & Wohar, Mark E., 2022. "“Digital Gold” and geopolitics," Research in International Business and Finance, Elsevier, vol. 59(C).
    52. Sokhanvar, Amin & Hammoudeh, Shawkat, 2024. "Comparative analysis of responses of risky and safe haven assets to stock market risk before and after the yield curve inversions in the U.S," International Review of Economics & Finance, Elsevier, vol. 94(C).
    53. Aktham Maghyereh & Hussein Abdoh, 2022. "Can news-based economic sentiment predict bubbles in precious metal markets?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-29, December.
    54. Arslanalp, Serkan & Eichengreen, Barry & Simpson-Bell, Chima, 2023. "Gold as international reserves: A barbarous relic no more?," Journal of International Economics, Elsevier, vol. 145(C).
    55. Jambotkar Mrunali Manohar & Guntur Anjana Raju, 2021. "Does Gold Retain its Hedge and Safe Haven Role for Energy Sector Indices During COVID-19 Pandemic? A Crossquantilogram Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 11(1), pages 233-240.
    56. Bouoiyour, Jamal & Selmi, Refk & Hammoudeh, Shawkat & Wohar, Mark E., 2019. "What are the categories of geopolitical risks that could drive oil prices higher? Acts or threats?," Energy Economics, Elsevier, vol. 84(C).
    57. Esparcia, Carlos & Jareño, Francisco & Umar, Zaghum, 2022. "Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
    58. Bhatia, Madhur, 2023. "On the efficiency of the gold returns: An econometric exploration for India, USA and Brazil," Resources Policy, Elsevier, vol. 82(C).
    59. Zhou, Mei-Jing & Huang, Jian-Bai & Chen, Jin-Yu, 2022. "Time and frequency spillovers between political risk and the stock returns of China's rare earths," Resources Policy, Elsevier, vol. 75(C).
    60. Liu, Zhenhua & Zhang, Huiying & Ding, Zhihua & Lv, Tao & Wang, Xu & Wang, Deqing, 2022. "When are the effects of economic policy uncertainty on oil–stock correlations larger? Evidence from a regime-switching analysis," Economic Modelling, Elsevier, vol. 114(C).
    61. Min Bai & Ly Ho, 2023. "How do gold and oil react to the COVID-19 pandemic: A review," Energy & Environment, , vol. 34(7), pages 2876-2902, November.
    62. Charteris, Ailie & Kallinterakis, Vasileios, 2021. "Feedback trading in retail-dominated assets: Evidence from the gold bullion coin market," International Review of Financial Analysis, Elsevier, vol. 75(C).
    63. Chen, Peng & Miao, Xinru & Tee, Kai-Hong, 2023. "Do gold prices respond more to uncertainty shocks at the zero lower bound?," Resources Policy, Elsevier, vol. 86(PA).
    64. Mohamed Arbi Madani & Zied Ftiti, 2022. "Is gold a hedge or safe haven against oil and currency market movements? A revisit using multifractal approach," Annals of Operations Research, Springer, vol. 313(1), pages 367-400, June.
    65. Reboredo, Juan C. & Ugolini, Andrea, 2024. "The impact of uncertainty shocks on energy transition metal prices," Resources Policy, Elsevier, vol. 95(C).
    66. Tanin, Tauhidul Islam & Sarker, Ashutosh & Brooks, Robert, 2021. "Do currency exchange rates impact gold prices? New evidence from the ongoing COVID-19 period," International Review of Financial Analysis, Elsevier, vol. 77(C).
    67. Tanin, Tauhidul Islam & Sarker, Ashutosh & Brooks, Robert & Do, Hung Xuan, 2022. "Does oil impact gold during COVID-19 and three other recent crises?," Energy Economics, Elsevier, vol. 108(C).
    68. Li, Xiafei & Guo, Qiang & Liang, Chao & Umar, Muhammad, 2023. "Forecasting gold volatility with geopolitical risk indices," Research in International Business and Finance, Elsevier, vol. 64(C).

  15. Beckmann, Joscha & Czudaj, Robert, 2017. "Exchange rate expectations since the financial crisis: Performance evaluation and the role of monetary policy and safe haven," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168291, Verein für Socialpolitik / German Economic Association.

    Cited by:

    1. Robert L. Czudaj, 2019. "Is the negative interest rate policy effective?," Chemnitz Economic Papers 034, Department of Economics, Chemnitz University of Technology, revised Dec 2019.
    2. Yamani, Ehab, 2019. "Diversification role of currency momentum for carry trade: Evidence from financial crises," Journal of Multinational Financial Management, Elsevier, vol. 49(C), pages 1-19.
    3. Victor Okechukwu Nwatu & Alwell Nteegah & Adewale Dosumu, 2023. "Natural Gas Consumption and Price Stability in Top Gas-Producing Countries in Africa," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 7(11), pages 1096-1108, November.
    4. Klose, Jens, 2023. "European exchange rate adjustments in response to COVID-19, containment measures and stabilization policies," Economic Modelling, Elsevier, vol. 128(C).
    5. Wang, Yonglian & Wang, Lijun & Pan, Changchun & Hong, Songzhi, 2022. "Economic policy uncertainty and price pass-through effect of exchange rate in China," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
    6. Yamani, Ehab, 2021. "Foreign exchange market efficiency and the global financial crisis: Fundamental versus technical information," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 74-89.
    7. Azzam, Islam & El-Masry, Ahmed A. & Yamani, Ehab, 2023. "Foreign exchange market efficiency during COVID-19 pandemic," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 717-730.
    8. Joscha Beckmann & Robert L. Czudaj, 2022. "Fundamental determinants of exchange rate expectations," Chemnitz Economic Papers 056, Department of Economics, Chemnitz University of Technology, revised Mar 2022.
    9. Beckmann, Joscha, 2021. "Measurement and effects of euro/dollar exchange rate uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 773-790.
    10. Yamani, Ehab, 2021. "Can technical trading beat the foreign exchange market in times of crisis?," Global Finance Journal, Elsevier, vol. 48(C).
    11. Joscha Beckmann & Robert L. Czudaj, 2022. "Exchange rate expectation, abnormal returns, and the COVID-19 pandemic," Chemnitz Economic Papers 054, Department of Economics, Chemnitz University of Technology, revised Jan 2022.
    12. Jing Zhang & Shuai Chen & Honglei Liu, 2022. "Central bank communication, shadow banking, and bank risk-taking: Theoretical model and PVAR empirical evidence," PLOS ONE, Public Library of Science, vol. 17(9), pages 1-29, September.
    13. Han, Liyan & Liu, Yang & Yin, Libo, 2019. "Uncertainty and currency performance: A quantile-on-quantile approach," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 702-729.
    14. Kwas, Marek & Beckmann, Joscha & Rubaszek, Michał, 2024. "Are consensus FX forecasts valuable for investors?," International Journal of Forecasting, Elsevier, vol. 40(1), pages 268-284.
    15. Ojeda-Joya, Jair & Romero, José Vicente, 2023. "Global uncertainty shocks and exchange-rate expectations in Latin America," Economic Modelling, Elsevier, vol. 120(C).
    16. Joseph Paul Chunga & Ping YU, 2024. "The impact of external shocks on volatility persistence and market efficiency of the foreign exchange rate regime: evidence from Malawi," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-14, December.
    17. Beirne, John & Sugandi, Eric, 2023. "Risk-off shocks and spillovers in safe havens," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    18. Shamaila Butt & Suresh Ramakrishnan & Nanthakumar Loganathan & Muhammad Ali Chohan, 2020. "Evaluating the exchange rate and commodity price nexus in Malaysia: evidence from the threshold cointegration approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-19, December.
    19. Haskamp, Ulrich, 2017. "Forecasting exchange rates: The time-varying relationship between exchange rates and Taylor rule fundamentals," Ruhr Economic Papers 704, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    20. Frederik Kunze, 2020. "Predicting exchange rates in Asia: New insights on the accuracy of survey forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 313-333, March.
    21. Qian Zhang & Kuo-Jui Wu & Ming-Lang Tseng, 2019. "Exploring Carry Trade and Exchange Rate toward Sustainable Financial Resources: An application of the Artificial Intelligence UKF Method," Sustainability, MDPI, vol. 11(12), pages 1-26, June.
    22. Adam, Tomáš & Benecká, Soňa & Matějů, Jakub, 2018. "Financial stress and its non-linear impact on CEE exchange rates," Journal of Financial Stability, Elsevier, vol. 36(C), pages 346-360.
    23. Kunze, Frederik, 2017. "Predicting exchange rates in Asia: New insights on the accuracy of survey forecasts," University of Göttingen Working Papers in Economics 326, University of Goettingen, Department of Economics.
    24. Grabowski, Wojciech & Welfe, Aleksander, 2020. "The Tobit cointegrated vector autoregressive model: An application to the currency market," Economic Modelling, Elsevier, vol. 89(C), pages 88-100.

  16. Joscha Beckmann & Robert Czudaj, 2017. "Capital Flows and GDP in Emerging Economies and the Role of Global Spillovers," Chemnitz Economic Papers 009, Department of Economics, Chemnitz University of Technology, revised Jun 2017.

    Cited by:

    1. Bingqiang Li & Xi Li & Jinzhi Li & Hongchun Lin & Baojuan Rui, 2023. "Empirical Analysis of Export Tax Rebate on Inwards Foreign Direct Investment in China," SAGE Open, , vol. 13(4), pages 21582440231, December.
    2. Pravakar Sahoo & Ranjan Kumar Dash & Yoon Jung Choi, 2021. "Do Absorptive Capacities matter for FPI-Growth Nexus? Evidence from Cross-country Analysis," IEG Working Papers 435, Institute of Economic Growth.
    3. Joscha Beckmann & Robert Czudaj, 2018. "Monetary policy shocks, expectations and information rigidities," Chemnitz Economic Papers 019, Department of Economics, Chemnitz University of Technology.
    4. Mansur, Alfan, 2023. "Capital flow volatility regimes and monetary policy dilemma: Evidence from New Zealand," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
    5. Mohamed Ibrahim Mugableh, 2021. "An Examination Into the Causal Links Among Inward FDI Determinants: Empirical Evidence From Jordan," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(2), pages 195-201, April.
    6. Bhandari, Krishna Raj & Zámborský, Peter & Ranta, Mikko & Salo, Jari, 2023. "Digitalization, internationalization, and firm performance: A resource-orchestration perspective on new OLI advantages," International Business Review, Elsevier, vol. 32(4).
    7. Eller, Markus & Huber, Florian & Schuberth, Helene, 2018. "How Important are Global Factors for Understanding the Dynamics of International Capital Flows?," Working Papers in Economics 2018-2, University of Salzburg.
    8. Yu Chen & Keyang Li & Qian Zhou & Yuxin Zhang, 2022. "Can Population Mobility Make Cities More Resilient? Evidence from the Analysis of Baidu Migration Big Data in China," IJERPH, MDPI, vol. 20(1), pages 1-25, December.
    9. Joscha Beckmann & Robert L. Czudaj, 2020. "Professional forecasters' expectations, consistency, and international spillovers," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1001-1024, November.
    10. Alimov, Behzod, 2022. "The dynamic effects of debt and equity inflows: Evidence from emerging and developing countries," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).

  17. Joscha Beckmann & Theo Berger & Robert Czudaj & Thi-Hong-Van Hoang, 2016. "Tail dependence between gold and sectorial stocks in China: perspectives for portfolio diversification," Post-Print hal-02053864, HAL.

    Cited by:

    1. Lei Ming & Yao Shen & Shenggang Yang & Sangzhi Zhu & Hong Zhu, 2020. "Does Gold Serve as a Hedge for the Stock Market in China? Evidence from a Time-Frequency Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(3), pages 659-672, February.
    2. Thi Hong Van Hoang & Zhenzhen Zhu & Bing Xiao & Wing‐keung Wong, 2018. "The seasonality of gold prices in China: Does the risk-aversion level matter?," Post-Print hal-01903522, HAL.
    3. Golitsis, Petros & Gkasis, Pavlos & Bellos, Sotirios K., 2022. "Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    4. Mejri, Sami & Aloui, Chaker & Khan, Nasir, 2024. "The gold stock nexus: Assessing the causality dynamics based on advanced multiscale approaches," Resources Policy, Elsevier, vol. 88(C).
    5. Wei Huang & Meng-Shiuh Chang, 2021. "Gold and Government Bonds as Safe-Haven Assets Against Stock Market Turbulence in China," SAGE Open, , vol. 11(1), pages 21582440219, January.
    6. Aikins Abakah, Emmanuel Joel & Gil-Alana, Luis A. & Tripathy, Trilochan, 2022. "Stochastic structure of metal prices: Evidence from fractional integration non-linearities and breaks," Resources Policy, Elsevier, vol. 78(C).
    7. Woraphon Yamaka & Paravee Maneejuk, 2020. "Analyzing the Causality and Dependence between Gold Shocks and Asian Emerging Stock Markets: A Smooth Transition Copula Approach," Mathematics, MDPI, vol. 8(1), pages 1-27, January.
    8. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Karikari, Nana Kwasi & Hammoudeh, Shawkat, 2022. "Time-varying dependence dynamics between international commodity prices and Australian industry stock returns: a Perspective for portfolio diversification," Energy Economics, Elsevier, vol. 108(C).
    9. Pho, Kim Hung & Ly, Sel & Lu, Richard & Hoang, Thi Hong Van & Wong, Wing-Keung, 2021. "Is Bitcoin a better portfolio diversifier than gold? A copula and sectoral analysis for China," International Review of Financial Analysis, Elsevier, vol. 74(C).
    10. Lei Ming & Xinran Zhang & Qianqiu Liu & Shenggang Yang, 2020. "A revisit to the hedge and safe haven properties of gold: New evidence from China," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(9), pages 1442-1456, September.
    11. Tachibana, Minoru, 2022. "Safe haven assets for international stock markets: A regime-switching factor copula approach," Research in International Business and Finance, Elsevier, vol. 60(C).
    12. Muhammad Abubakr Naeem & Mudassar Hasan & Muhammad Arif & Syed Jawad Hussain Shahzad, 2020. "Can Bitcoin Glitter More Than Gold for Investment Styles?," SAGE Open, , vol. 10(2), pages 21582440209, May.
    13. Rob Kim Marjerison & Chungil Chae & Shitong Li, 2021. "Investor Activity in Chinese Financial Institutions: A Precursor to Economic Sustainability," Sustainability, MDPI, vol. 13(21), pages 1-17, November.
    14. Jambotkar Mrunali Manohar & Guntur Anjana Raju, 2021. "Does Gold Retain its Hedge and Safe Haven Role for Energy Sector Indices During COVID-19 Pandemic? A Crossquantilogram Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 11(1), pages 233-240.
    15. Ghulam Mujtaba & Asima Siddique & Nader Naifar & Syed Jawad Hussain Shahzad, 2024. "Hedge and safe haven role of commodities for the US and Chinese equity markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2381-2414, April.
    16. Esparcia, Carlos & Jareño, Francisco & Umar, Zaghum, 2022. "Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
    17. Hanif, Waqas & Mensi, Walid & Alomari, Mohammad & Andraz, Jorge Miguel, 2023. "Downside and upside risk spillovers between precious metals and currency markets: Evidence from before and during the COVID-19 crisis," Resources Policy, Elsevier, vol. 81(C).
    18. Peng, Xiaofan, 2020. "Do precious metals act as hedges or safe havens for China's financial markets?," Finance Research Letters, Elsevier, vol. 37(C).

  18. Beckmann, Joscha & Czudaj, Robert, 2016. "The impact of uncertainty on professional exchange rate forecasts," Ruhr Economic Papers 637, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.

    Cited by:

    1. Joscha Beckmann & Robert Czudaj, 2018. "Monetary policy shocks, expectations and information rigidities," Chemnitz Economic Papers 019, Department of Economics, Chemnitz University of Technology.
    2. Lin Liu, 2022. "Economic Uncertainty and Exchange Market Pressure: Evidence From China," SAGE Open, , vol. 12(1), pages 21582440211, January.
    3. Czudaj Robert L., 2020. "The role of uncertainty on agricultural futures markets momentum trading and volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(3), pages 1-39, June.
    4. Czudaj, Robert L., 2018. "Is equity market volatility driven by migration fear?," Finance Research Letters, Elsevier, vol. 27(C), pages 34-37.
    5. Beckmann, Joscha, 2021. "Measurement and effects of euro/dollar exchange rate uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 773-790.
    6. Ojeda-Joya, Jair, 2019. "A consumption-based approach to exchange rate predictability," MPRA Paper 94231, University Library of Munich, Germany.
    7. Holmes, Mark J. & Iregui, Ana María & Otero, Jesús, 2021. "The effects of FX-interventions on forecasters disagreement: A mixed data sampling view," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    8. Han, Liyan & Liu, Yang & Yin, Libo, 2019. "Uncertainty and currency performance: A quantile-on-quantile approach," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 702-729.
    9. Fracasso, Andrea & Secchi, Angelo & Tomasi, Chiara, 2022. "Export pricing and exchange rate expectations under uncertainty," Journal of Comparative Economics, Elsevier, vol. 50(1), pages 135-152.
    10. Beckmann, Joscha & Czudaj, Robert, 2017. "Exchange rate expectations since the financial crisis: Performance evaluation and the role of monetary policy and safe haven," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 283-300.
    11. Ojeda-Joya, Jair & Romero, José Vicente, 2023. "Global uncertainty shocks and exchange-rate expectations in Latin America," Economic Modelling, Elsevier, vol. 120(C).
    12. Degiannakis, Stavros & Filis, George, 2019. "Forecasting European Economic Policy Uncertainty," MPRA Paper 96268, University Library of Munich, Germany.
    13. Evans, Olaniyi, 2025. "Short‐run and long‐run determinants of exchange rate fluctuations: A tale of the Dollar and the Naira," MPRA Paper 124158, University Library of Munich, Germany.
    14. Joscha Beckmann & Robert L. Czudaj, 2023. "The role of expectations for currency crisis dynamics—The case of the Turkish lira," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 625-642, April.
    15. Lee A. Smales, 2022. "The influence of policy uncertainty on exchange rate forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(5), pages 997-1016, August.
    16. Jerow, Sam & Wolff, Jonathan, 2022. "Fiscal policy and uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 145(C).
    17. Sevcan Uzun & Ahmet Sensoy & Duc Khuong Nguyen, 2023. "Jump forecasting in foreign exchange markets: A high‐frequency analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 578-624, April.
    18. Haskamp, Ulrich, 2017. "Forecasting exchange rates: The time-varying relationship between exchange rates and Taylor rule fundamentals," Ruhr Economic Papers 704, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    19. Ocampo, José Antonio & Ojeda-Joya, Jair, 2022. "Supply shocks and monetary policy responses in emerging economies," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 3(4).
    20. Frederik Kunze, 2020. "Predicting exchange rates in Asia: New insights on the accuracy of survey forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 313-333, March.
    21. Kisswani, Khalid M. & Elian, Mohammad I., 2021. "Analyzing the (a)symmetric impacts of oil price, economic policy uncertainty, and global geopolitical risk on exchange rate," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
    22. Qian Zhang & Kuo-Jui Wu & Ming-Lang Tseng, 2019. "Exploring Carry Trade and Exchange Rate toward Sustainable Financial Resources: An application of the Artificial Intelligence UKF Method," Sustainability, MDPI, vol. 11(12), pages 1-26, June.
    23. Joscha Beckmann & Robert L. Czudaj, 2020. "Professional forecasters' expectations, consistency, and international spillovers," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1001-1024, November.
    24. Chandan Sharma & Rupika Khanna, 2024. "Risk, Uncertainty and Exporting: Evidence from a Developing Economy," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 22(1), pages 151-177, March.
    25. Kunze, Frederik, 2017. "Predicting exchange rates in Asia: New insights on the accuracy of survey forecasts," University of Göttingen Working Papers in Economics 326, University of Goettingen, Department of Economics.
    26. Iregui, Ana María & Núñez, Héctor M. & Otero, Jesús, 2021. "Testing the efficiency of inflation and exchange rate forecast revisions in a changing economic environment," Journal of Economic Behavior & Organization, Elsevier, vol. 187(C), pages 290-314.
    27. Beckmann, Joscha & Reitz, Stefan, 2018. "Information Rigidities and Exchange Rate Expectations," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181628, Verein für Socialpolitik / German Economic Association.
    28. Albulescu, Claudiu Tiberiu & Demirer, Riza & Raheem, Ibrahim D. & Tiwari, Aviral Kumar, 2019. "Does the U.S. economic policy uncertainty connect financial markets? Evidence from oil and commodity currencies," Energy Economics, Elsevier, vol. 83(C), pages 375-388.

  19. Beckmann, Joscha & Czudaj, Robert, 2016. "Effective exchange rates, current accounts and global imbalances," Ruhr Economic Papers 610, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.

    Cited by:

    1. Komain Jiranyakul, 2017. "Asset Prices, Real Exchange Rate and Current Account Fluctuations: Some Structural VAR Evidence for Thailand," Business and Economic Research, Macrothink Institute, vol. 7(2), pages 163-177, December.
    2. Ifedolapo Olabisi Olanipekun & Godwin Olasehinde-Williams & Hasan Güngör, 2019. "Impact of Economic Policy Uncertainty on Exchange Market Pressure," SAGE Open, , vol. 9(3), pages 21582440198, September.
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    1. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2015. "A real-time quantile-regression approach to forecasting gold returns under asymmetric loss," Resources Policy, Elsevier, vol. 45(C), pages 299-306.
    2. Baur, Dirk G. & Beckmann, Joscha & Czudaj, Robert, 2016. "The relative valuation of gold," Ruhr Economic Papers 604, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    3. Drachal, Krzysztof, 2018. "Comparison between Bayesian and information-theoretic model averaging: Fossil fuels prices example," Energy Economics, Elsevier, vol. 74(C), pages 208-251.
    4. Colak, Yasemin & Erden, Lutfi & Ozkan, Ibrahim, 2024. "Time-varying exchange rate pass-through over 2005–2021 using dynamic model averaging," International Review of Economics & Finance, Elsevier, vol. 96(PA).
    5. Drachal, Krzysztof, 2016. "Forecasting spot oil price in a dynamic model averaging framework — Have the determinants changed over time?," Energy Economics, Elsevier, vol. 60(C), pages 35-46.
    6. O'Connor, Fergal A. & Lucey, Brian M. & Batten, Jonathan A. & Baur, Dirk G., 2015. "The financial economics of gold — A survey," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 186-205.
    7. Salisu, Afees A. & Ndako, Umar B. & Oloko, Tirimisiyu F., 2019. "Assessing the inflation hedging of gold and palladium in OECD countries," Resources Policy, Elsevier, vol. 62(C), pages 357-377.
    8. Arnold, Stephan & Auer, Benjamin R., 2015. "What do scientists know about inflation hedging?," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 187-214.
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    10. Bariviera, Aurelio F. & Font-Ferrer, Alejandro & Sorrosal-Forradellas, M. Teresa & Rosso, Osvaldo A., 2019. "An information theory perspective on the informational efficiency of gold price," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).

  21. Beckmann, Joscha & Berger, Theo & Czudaj, Robert, 2014. "Does Gold Act as a Hedge or a Safe Haven for Stocks? A Smooth Transition Approach," Ruhr Economic Papers 502, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.

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    1. Le, Lan-TN & Yarovaya, Larisa & Nasir, Muhammad Ali, 2021. "Did COVID-19 change spillover patterns between Fintech and other asset classes?," Research in International Business and Finance, Elsevier, vol. 58(C).
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    3. Śmiech, Sławomir & Papież, Monika, 2017. "In search of hedges and safe havens: Revisiting the relations between gold and oil in the rolling regression framework," Finance Research Letters, Elsevier, vol. 20(C), pages 238-244.
    4. Joscha Beckmann & Theo Berger & Robert Czudaj & Thi-Hong-Van Hoang, 2017. "Tail dependence between gold and sectorial stocks in China: Perspectives for portfolio diversication," Chemnitz Economic Papers 012, Department of Economics, Chemnitz University of Technology, revised Jul 2017.
    5. Achraf Ghorbel & Ahmed Jeribi, 2021. "Volatility spillovers and contagion between energy sector and financial assets during COVID-19 crisis period," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(3), pages 449-467, September.
    6. Izabela Pruchnicka-Grabias, 2021. "Silver in Equity Portfolio Risk Optimization: Polish Investor Perspective," European Research Studies Journal, European Research Studies Journal, vol. 0(3 - Part ), pages 716-728.
    7. Andrew Urquhart, 2017. "How predictable are precious metal returns?," The European Journal of Finance, Taylor & Francis Journals, vol. 23(14), pages 1390-1413, November.
    8. Su, Chi-Wei & Pang, Lidong & Umar, Muhammad & Lobonţ, Oana-Ramona & Moldovan, Nicoleta-Claudia, 2022. "Does gold's hedging uncertainty aura fade away?," Resources Policy, Elsevier, vol. 77(C).
    9. Ali, Sajid & Bouri, Elie & Czudaj, Robert Lukas & Shahzad, Syed Jawad Hussain, 2020. "Revisiting the valuable roles of commodities for international stock markets," Resources Policy, Elsevier, vol. 66(C).
    10. Kamal, Javed Bin & Wohar, Mark & Kamal, Khaled Bin, 2022. "Do gold, oil, equities, and currencies hedge economic policy uncertainty and geopolitical risks during covid crisis?," Resources Policy, Elsevier, vol. 78(C).
    11. Tareq Saeed & Elie Bouri & Dang Khoa Tran, 2020. "Hedging Strategies of Green Assets against Dirty Energy Assets," Energies, MDPI, vol. 13(12), pages 1-17, June.
    12. Risse, Marian & Ohl, Ludwig, 2017. "Using dynamic model averaging in state space representation with dynamic Occam’s window and applications to the stock and gold market," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 158-176.
    13. Lei Ming & Yao Shen & Shenggang Yang & Sangzhi Zhu & Hong Zhu, 2020. "Does Gold Serve as a Hedge for the Stock Market in China? Evidence from a Time-Frequency Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(3), pages 659-672, February.
    14. Konstantakis, Konstantinos N. & Xidonas, Panos & Michaelides, Panayotis G. & Goutte, Stéphane, 2023. "Gold and CoVid-19: Uncovering the safe haven hypothesis with dynamic MSR modeling," International Review of Financial Analysis, Elsevier, vol. 89(C).
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    1. Martin C. Arnold & Christoph Hanck, 2019. "On Combining Evidence from Heteroskedasticity Robust Panel Unit Root Tests in Pooled Regressions," JRFM, MDPI, vol. 12(3), pages 1-22, July.
    2. Floro, Danvee, 2019. "Testing the predictive ability of house price bubbles for macroeconomic performance: A meta-analytic approach," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 164-181.

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    1. Theocharis, Dimitrios & Rodrigues, Vasco Sanchez & Pettit, Stephen & Haider, Jane, 2019. "Feasibility of the Northern Sea Route: The role of distance, fuel prices, ice breaking fees and ship size for the product tanker market," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 129(C), pages 111-135.
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    3. Guo, Ranran & Ye, Wuyi, 2021. "A model of dynamic tail dependence between crude oil prices and exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    4. Afshan, Sahar & Yaqoob, Tanzeela & Zaied, Younes Ben & Mishra, Shekhar & Mishra, Sibanjan, 2024. "Oil shocks and currency behavior: A dual approach to digital and traditional currencies," Global Finance Journal, Elsevier, vol. 62(C).
    5. Salem Boubakri & Cyriac Guillaumin & Alexandre Silanine, 2019. "Non-linear relationship between real commodity price volatility and real effective exchange rate: The case of commodity-exporting countries," Post-Print halshs-02157574, HAL.
    6. Jean-Pierre Allegret & Cécile Couharde & Valérie Mignon & Tovonony Razafindrabe, 2015. "Oil currencies in the face of oil shocks: What can be learned from time-varying specifications?," Working Papers 2015-18, CEPII research center.
    7. Hyunjoo Kim Karlsson & Kristofer Mnsson & Pr Sjlander, 2020. "Unveiling the Time-dependent Dynamics between Oil Prices and Exchange Rates: A Wavelet-based Panel Analysis," The Energy Journal, , vol. 41(6), pages 87-106, November.
    8. Jin Shang & Shigeyuki Hamori, 2023. "Differential Tail Dependence between Crude Oil and Forex Markets in Oil-Importing and Oil-Exporting Countries during Recent Crisis Periods," Sustainability, MDPI, vol. 15(19), pages 1-24, October.
    9. Castro Rozo, César & Jiménez-Rodríguez, Rebeca, 2018. "Time-varying relationship between oil price and exchange rate," MPRA Paper 87879, University Library of Munich, Germany.
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    38. Theocharis, Dimitrios & Rodrigues, Vasco Sanchez & Pettit, Stephen & Haider, Jane, 2021. "Feasibility of the Northern Sea Route for seasonal transit navigation: The role of ship speed on ice and alternative fuel types for the oil product tanker market," Transportation Research Part A: Policy and Practice, Elsevier, vol. 151(C), pages 259-283.
    39. He, Feng & Ma, Feng & Wang, Ziwei & Yang, Bohan, 2021. "Asymmetric volatility spillover between oil-importing and oil-exporting countries' economic policy uncertainty and China's energy sector," International Review of Financial Analysis, Elsevier, vol. 75(C).
    40. Zhihua Ding & Caicai Feng & Zhenhua Liu & Guangqiang Wang & Lingyun He & Manzhi Liu, 2017. "Coal price fluctuation mechanism in China based on system dynamics model," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 85(2), pages 1151-1167, January.
    41. Jimoh O. Saka, 2021. "Oil Price Behaviour, Exchange Rate Movement And The Covid-19 Pandemic In Nigeria: Analysis Of The First Three Quarters Of 2020," Oradea Journal of Business and Economics, University of Oradea, Faculty of Economics, vol. 6(1), pages 51-61, March.
    42. Alfred A. Haug & Syed Abul Basher, 2019. "Exchange rates of oil exporting countries and global oil price shocks: a nonlinear smooth-transition approach," Applied Economics, Taylor & Francis Journals, vol. 51(48), pages 5282-5296, October.
    43. Zoundi Zakaria, 2017. "Crude Oil Price Volatility and Domestic Price Responses in Developing Countries, Accounting for Asymmetry and Uncertainty," Economics Bulletin, AccessEcon, vol. 37(4), pages 2466-2482.
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    50. Phan, Dinh Hoang Bach & Narayan, Paresh Kumar & Gong, Qiang, 2021. "Terrorist attacks and oil prices: Hypothesis and empirical evidence," International Review of Financial Analysis, Elsevier, vol. 74(C).
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    54. Chatziantoniou, Ioannis & Elsayed, Ahmed H. & Gabauer, David & Gozgor, Giray, 2023. "Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies," Energy Economics, Elsevier, vol. 120(C).
    55. Biresselioglu, Mehmet Efe & Yelkenci, Tezer, 2016. "Scrutinizing the causality relationships between prices, production and consumption of fossil fuels: A panel data approach," Energy, Elsevier, vol. 102(C), pages 44-53.
    56. Harrison, Andre & Liu, Xiaochun & Stewart, Shamar L., 2024. "Are exchange rates absorbers of global oil shocks? A generalized structural analysis," Journal of International Money and Finance, Elsevier, vol. 146(C).
    57. Bouoiyour, jamal & Selmi, Refk, 2014. "Exchange Rate Impact on Russia’s Exports: Some Evidence from an Evolutionary Co-spectral Analysis," MPRA Paper 59368, University Library of Munich, Germany.
    58. Khalid M. Kisswani & Arezou Harraf & Amjad M. Kisswani, 2019. "Revisiting the effects of oil prices on exchange rate: asymmetric evidence from the ASEAN-5 countries," Economic Change and Restructuring, Springer, vol. 52(3), pages 279-300, August.
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    60. Beckmann, Joscha & Belke, Ansgar & Czudaj, Robert, 2014. "Does global liquidity drive commodity prices?," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 224-234.
    61. Changyu Liu & Muhammad Abubakr Naeem & Mobeen Ur Rehman & Saqib Farid & Syed Jawad Hussain Shahzad, 2020. "Oil as Hedge, Safe-Haven, and Diversifier for Conventional Currencies," Energies, MDPI, vol. 13(17), pages 1-19, August.
    62. Turhan, M. Ibrahim & Sensoy, Ahmet & Hacihasanoglu, Erk, 2014. "A comparative analysis of the dynamic relationship between oil prices and exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 397-414.
    63. Nandi, Biplob Kumar & Kabir, Md Humayun & Nandi, Mohitosh Kumar, 2024. "Crude oil price hikes and exchange rate volatility: A lesson from the Bangladesh economy," Resources Policy, Elsevier, vol. 91(C).
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    Cited by:

    1. Koziol, Philipp, 2014. "Inflation and interest rate derivatives for FX risk management: Implications for exporting firms under real wealth," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(4), pages 459-472.
    2. Mehmet Balcilar & Zeynel Abidin Ozdemir & Muhammad Shahbaz & Serkan Gunes, 2017. "Does Inflation Cause Gold Prices? Evidence from G7 Countries," Working Papers 15-31, Eastern Mediterranean University, Department of Economics.
    3. Beckmann, Joscha & Czudaj, Robert, 2013. "Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?," Energy Economics, Elsevier, vol. 40(C), pages 665-678.
    4. Risse, Marian & Ohl, Ludwig, 2017. "Using dynamic model averaging in state space representation with dynamic Occam’s window and applications to the stock and gold market," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 158-176.
    5. Salisu, Afees A. & Raheem, Ibrahim D. & Ndako, Umar B., 2020. "The inflation hedging properties of gold, stocks and real estate: A comparative analysis," Resources Policy, Elsevier, vol. 66(C).
    6. Liu, Chunbo & Zhang, Xuan & Zhou, Zhiping, 2023. "Are commodity futures a hedge against inflation? A Markov-switching approach," International Review of Financial Analysis, Elsevier, vol. 86(C).
    7. Nikolaos Giannellis & Minoas Koukouritakis, 2018. "Gold Price and Exchange Rates: A Panel Smooth Transition Regression Model for the G7 Countries," Working Papers 1806, University of Crete, Department of Economics.
    8. Bahmani-Oskooee, Mohsen & Ghodsi, Seyed Hesam & Hadzic, Muris, 2020. "Asymmetric causality between stock returns and usual hedges: An industry-level analysis," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    9. Beckmann, Joscha & Czudaj, Robert, 2013. "Oil prices and effective dollar exchange rates," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 621-636.
    10. Mohamed Albaity & Hasan Mustafa, 2018. "International and Macroeconomic Determinants of Oil Price: Evidence from Gulf Cooperation Council Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 8(1), pages 69-81.
    11. Othman, Nurhuda & Masih, Mansur, 2018. "Granger-causality between palm oil, gold and stocks (islamic and conventional): Malaysian evidence based on ARDL approach," MPRA Paper 106777, University Library of Munich, Germany.
    12. Naveed Raza & Syed Jawad Hussain Shahzad & Aviral Kumar Tiwari & Muhammad Shahbaz, 2016. "Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets," Post-Print hal-02013747, HAL.
    13. Elena V. Rozhentsova & Anastasiia D. Saltykova & Tatyana М. Devyatkova, 2021. "Unallocated Metal Accounts in Russia: Determinants of Quoted Bid-Ask Spreads," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 1, pages 93-106, February.
    14. Kang, Sang Hoon & McIver, Ron P. & Hernandez, Jose Arreola, 2019. "Co-movements between Bitcoin and Gold: A wavelet coherence analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
    15. Georgios Bampinas & Theodore Panagiotidis, 2016. "Hedging Inflation with Individual US stocks: A long-run portfolio analysis," Working Paper series 16-11, Rimini Centre for Economic Analysis.
    16. Baur, Dirk G. & Beckmann, Joscha & Czudaj, Robert, 2014. "Gold Price Forecasts in a Dynamic Model Averaging Framework – Have the Determinants Changed Over Time?," Ruhr Economic Papers 506, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    17. Michael Murach, 2019. "Global Determinants of the Gold Price: A Multivariate Cointegration Analysis," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(1), pages 198-214, February.
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    19. Richard Synek, 2024. "Cointegration Analysis of US M2 and Gold Price Over the Last Half Century," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2024(1), pages 1-19.
    20. Lucey, Brian M. & Sharma, Susan Sunila & Vigne, Samuel A., 2017. "Gold and inflation(s) – A time-varying relationship," Economic Modelling, Elsevier, vol. 67(C), pages 88-101.
    21. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2022. "Gold and Silver as Safe Havens: A Fractional Integration and Cointegration Analysis," CESifo Working Paper Series 10084, CESifo.
    22. Joscha Beckmann & Theo Berger & Robert Czudaj, 2019. "Gold price dynamics and the role of uncertainty," Quantitative Finance, Taylor & Francis Journals, vol. 19(4), pages 663-681, April.
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    75. Yan, Zichun & Wu, Chaonan & Zhang, Jingjia & Wang, Zehan & Lađevac, Ivona, 2024. "Asymmetric impact of energy prices on financial cycles based on interval time series modeling," International Review of Financial Analysis, Elsevier, vol. 96(PA).
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    84. Bredin, Don & Conlon, Thomas & Potì, Valerio, 2015. "Does gold glitter in the long-run? Gold as a hedge and safe haven across time and investment horizon," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 320-328.
    85. Salisu, Afees A. & Ndako, Umar B. & Oloko, Tirimisiyu F., 2019. "Assessing the inflation hedging of gold and palladium in OECD countries," Resources Policy, Elsevier, vol. 62(C), pages 357-377.
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    88. Mirco Mahlstedt & Rudi Zagst, 2016. "Inflation Protected Investment Strategies," Risks, MDPI, vol. 4(2), pages 1-21, March.
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  25. Ansgar Belke & Robert Czudaj, 2010. "Is Euro Area Money Demand (Still) Stable?: Cointegrated VAR versus Single Equation Techniques," Discussion Papers of DIW Berlin 982, DIW Berlin, German Institute for Economic Research.

    Cited by:

    1. Shijaku, Gerti, 2016. "The role of money as an important pillar for monetary policy: the case of Albania," MPRA Paper 79088, University Library of Munich, Germany.
    2. Kumar, Saten & Webber, Don J., 2010. "Australasian money demand stability: Application of structural break tests," MPRA Paper 27569, University Library of Munich, Germany.
    3. Kateřina Gawthorpe, 2017. "Competition of Currencies: An Alternative to Legal Tender," Prague Economic Papers, Prague University of Economics and Business, vol. 2017(2), pages 198-212.
    4. Asad Jan & Adnan Haider & Syed Kalim Hyder Bukhari, 2013. "On The (Ir)relevance of Monetary Aggregate Targeting in Pakistan: An Eclectic View," SBP Working Paper Series 62, State Bank of Pakistan, Research Department.
    5. Christian Dreger & Jürgen Wolters, 2014. "Unconventional Monetary Policy and Money Demand," Discussion Papers of DIW Berlin 1382, DIW Berlin, German Institute for Economic Research.
    6. Bongumusa Prince Makhoba & Irrshad Kaseeram, 2019. "The Contribution of Foreign Direct Investment (FDI) To Domestic Employment Levels in South Africa: A Vector Autoregressive Approach," Journal of Economics and Behavioral Studies, AMH International, vol. 11(1), pages 110-121.
    7. Belke, Ansgar, 2010. "Die Auswirkungen der Geldmenge und des Kreditvolumens auf die Immobilienpreise: Ein ARDL-Ansatz für Deutschland," IBES Diskussionsbeiträge 183, University of Duisburg-Essen, Institute of Business and Economic Studie (IBES).
    8. Issing, Otmar, 2012. "Central banks: Paradise lost," CFS Working Paper Series 2012/06, Center for Financial Studies (CFS).
    9. Pateiro-Rodríguez, Carlos & Freire-Seoane, María Jesús & López-Bermúdez, Beatriz & Pateiro-López, Carlos, 2020. "Análisis de la tendencia a la liquidez del agregado monetario M3 en la eurozona: 1997-2018," El Trimestre Económico, Fondo de Cultura Económica, vol. 87(345), pages 171-201, enero-mar.
    10. Ufuk CAN & Zeynep Gizem CAN & Süleyman DEĞİRMEN, 2019. "Paranın Dolaşım Hızının ve Para Talebi Fonksiyonunun Ekonometrik Analizi: Türkiye Örneği," Istanbul Business Research, Istanbul University Business School, vol. 48(2), pages 218-247, November.
    11. Jenny Koerner, 2015. "Monetary Transmission in the Czech Republic after the Transformation," Eastern European Business and Economics Journal, Eastern European Business and Economics Studies Centre, vol. 1(3), pages 19-47.
    12. Otmar Issing, 2012. "The Mayekawa Lecture: Central Banks-Paradise Lost," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 30, pages 55-74, November.
    13. Asad Jan & Mansoor Saleem & Aqeel Ahmad & Arshad Riaz, 2013. "Disaggregate Analysis of Broad Money and Outlook of Key Monetary Aggregates," SBP Working Paper Series 58, State Bank of Pakistan, Research Department.
    14. ALBULESCU, Claudiu Tiberiu & Pepin, Dominique, 2018. "Monetary Integration, Money-Demand Stability, and the Role of Monetary Overhang in Forecasting Inflation in CEE Countries," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 33(4), pages 841-879.
    15. Erjona REBI, 2014. "Mortgage lending and house prices in Albania - a co-integrated analysis based on VECM," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 5, pages 79-98, June.
    16. Muhammad Arshad Khan & Saima Nawaz, 2018. "Does Pak-Rupee Exchange Rate Respond to Monetary Fundamentals? A Structural Analysis," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 57(2), pages 175-202.
    17. Ingrid Groessl & Artur Tarassow, 2015. "A Microfounded Model of Money Demand Under Uncertainty, and some Empirical Evidence," Macroeconomics and Finance Series 201504, University of Hamburg, Department of Socioeconomics, revised Jan 2018.
    18. Jung, Alexander, 2016. "A portfolio demand approach for broad money in the euro area," Working Paper Series 1929, European Central Bank.
    19. Arkadiusz Manikowski, 2017. "Analysis of the denomination structure of the Polish currency in the context of the launch of the new 500 zloty banknote," Bank i Kredyt, Narodowy Bank Polski, vol. 48(5), pages 495-530.
    20. Otmar Issing, 2012. "Central Banks - Paradise Lost," IMES Discussion Paper Series 12-E-10, Institute for Monetary and Economic Studies, Bank of Japan.
    21. Czudaj, Robert, 2011. "P-star in times of crisis - Forecasting inflation for the euro area," Economic Systems, Elsevier, vol. 35(3), pages 390-407, September.

Articles

  1. Joscha Beckmann & Robert L. Czudaj, 2023. "Dimensions and Determinants of Inflation Anchoring," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 92(2), pages 31-43.

    Cited by:

    1. Czudaj, Robert L., 2023. "Expectation Formation and the Phillips Curve Revisited," MPRA Paper 119478, University Library of Munich, Germany.

  2. Beckmann, Joscha & Czudaj, Robert L., 2023. "Perceived monetary policy uncertainty," Journal of International Money and Finance, Elsevier, vol. 130(C).
    See citations under working paper version above.
  3. Beckmann, Joscha & Czudaj, Robert L., 2022. "Exchange rate expectation, abnormal returns, and the COVID-19 pandemic," Journal of Economic Behavior & Organization, Elsevier, vol. 196(C), pages 1-25.
    See citations under working paper version above.
  4. Czudaj, Robert L., 2022. "Heterogeneity of beliefs and information rigidity in the crude oil market: Evidence from survey data," European Economic Review, Elsevier, vol. 143(C).
    See citations under working paper version above.
  5. Borgards, Oliver & Czudaj, Robert L., 2021. "Features of overreactions in the cryptocurrency market," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 31-48.

    Cited by:

    1. Zhou, Xinxing & Gao, Yan & Wang, Ping & Zhu, Bangzhu, 2022. "Examining the overconfidence and overreaction in China’s carbon markets," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 472-489.
    2. Almeida, José & Gonçalves, Tiago Cruz, 2023. "A systematic literature review of investor behavior in the cryptocurrency markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    3. Ahmed, Mohamed Shaker & El-Masry, Ahmed A. & Al-Maghyereh, Aktham I. & Kumar, Satish, 2024. "Cryptocurrency volatility: A review, synthesis, and research agenda," Research in International Business and Finance, Elsevier, vol. 71(C).
    4. Xin, Ling, 2024. "Short-term contrarian in the carbon emission market," Energy Economics, Elsevier, vol. 139(C).

  6. Borgards, Oliver & Czudaj, Robert L. & Hoang, Thi Hong Van, 2021. "Price overreactions in the commodity futures market: An intraday analysis of the Covid-19 pandemic impact," Resources Policy, Elsevier, vol. 71(C).

    Cited by:

    1. Du, He & Zhang, Chunguang, 2024. "Economic policy uncertainty and natural resources commodity prices: A comparative analysis of pre- and post-pandemic quantile trends in China," Resources Policy, Elsevier, vol. 88(C).
    2. Yongmin Zhang & Shusheng Ding & Haili Shi, 2022. "The impact of COVID‐19 on the interdependence between US and Chinese oil futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(11), pages 2041-2052, November.
    3. Urom, Christian & Mzoughi, Hela & Abid, Ilyes & Brahim, Mariem, 2021. "Green markets integration in different time scales: A regional analysis," Energy Economics, Elsevier, vol. 98(C).
    4. Hong Shen & Qi Pan & Lili Zhao & Pin Ng, 2022. "Risk Contagion between Global Commodities from the Perspective of Volatility Spillover," Energies, MDPI, vol. 15(7), pages 1-21, March.
    5. Umar, Zaghum & Gubareva, Mariya & Teplova, Tamara, 2021. "The impact of Covid-19 on commodity markets volatility: Analyzing time-frequency relations between commodity prices and coronavirus panic levels," Resources Policy, Elsevier, vol. 73(C).
    6. Văn, Lê & Bảo, Nguyễn Khắc Quốc, 2022. "The relationship between global stock and precious metals under Covid-19 and happiness perspectives," Resources Policy, Elsevier, vol. 77(C).
    7. Wei, Yu & Wang, Yizhi & Vigne, Samuel A. & Ma, Zhenyu, 2023. "Alarming contagion effects: The dangerous ripple effect of extreme price spillovers across crude oil, carbon emission allowance, and agriculture futures markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    8. Tang, Wenjin & Bu, Hui & Ji, Yuqiong & Li, Zhongfei, 2024. "Market uncertainty and information content in complex seasonality of prices," Pacific-Basin Finance Journal, Elsevier, vol. 86(C).
    9. Ouyang, Ruolan & Zhuang, Chengkai & Wang, Tingting & Zhang, Xuan, 2022. "Network analysis of risk transmission among energy futures: An industrial chain perspective," Energy Economics, Elsevier, vol. 107(C).
    10. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2022. "The growth of oil futures in China: Evidence of market maturity through global crises," Energy Economics, Elsevier, vol. 114(C).
    11. Hardy, Nicolás & Ferreira, Tiago & Quinteros, Maria J. & Magner, Nicolás S., 2023. "“Watch your tone!”: Forecasting mining industry commodity prices with financial report tone," Resources Policy, Elsevier, vol. 86(PA).
    12. Mo, Bin & Nie, He & Zhao, Rongjie, 2024. "Dynamic nonlinear effects of geopolitical risks on commodities: Fresh evidence from quantile methods," Energy, Elsevier, vol. 288(C).
    13. Galán-Gutiérrez, Juan Antonio & Labeaga, José M. & Martín-García, Rodrigo, 2023. "Cointegration between high base metals prices and backwardation: Getting ready for the metals super-cycle," Resources Policy, Elsevier, vol. 81(C).
    14. Boateng, Ebenezer & Asafo-Adjei, Emmanuel & Addison, Alex & Quaicoe, Serebour & Yusuf, Mawusi Ayisat & Abeka, Mac Junior & Adam, Anokye M., 2022. "Interconnectedness among commodities, the real sector of Ghana and external shocks," Resources Policy, Elsevier, vol. 75(C).
    15. Mehmet Balcilar & Ojonugwa Usman & Busra Agan, 2024. "On the connectedness of commodity markets: A critical and selective survey of empirical studies and bibliometric analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 38(1), pages 97-136, February.
    16. Alex Plastun & Elie Bouri & Rangan Gupta & Qiang Ji, 2021. "Price Effects after One-Day Abnormal Returns in Developed and Emerging Markets: ESG versus Traditional Indices," Working Papers 202119, University of Pretoria, Department of Economics.
    17. Iuga, Iulia Cristina & Mudakkar, Syeda Rabab & Dragolea, Larisa Loredana, 2024. "Agricultural commodities market reaction to COVID-19," Research in International Business and Finance, Elsevier, vol. 69(C).
    18. Ran Lu & Hongjun Zeng, 2022. "VIX and major agricultural future markets: dynamic linkage and time-frequency relations around the COVID-19 outbreak," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 40(2), pages 334-353, September.
    19. Ren, Zhaomin & Zhang, Xuan & Zhang, Zhekai, 2021. "New evidence on COVID-19 and firm performance," Economic Analysis and Policy, Elsevier, vol. 72(C), pages 213-225.
    20. Daniel Stefan Armeanu & Stefan Cristian Gherghina & Jean Vasile Andrei & Camelia Catalina Joldes, 2023. "Evidence from the nonlinear autoregressive distributed lag model on the asymmetric influence of the first wave of the COVID-19 pandemic on energy markets," Energy & Environment, , vol. 34(5), pages 1433-1470, August.
    21. Cao, Yan & Cheng, Sheng, 2021. "Impact of COVID-19 outbreak on multi-scale asymmetric spillovers between food and oil prices," Resources Policy, Elsevier, vol. 74(C).
    22. Urom, Christian & Ndubuisi, Gideon & Del Lo, Gaye & Yuni, Denis, 2023. "Global commodity and equity markets spillovers to Africa during the COVID-19 pandemic," Emerging Markets Review, Elsevier, vol. 55(C).
    23. Agnieszka Moskal, 2025. "Energy vs. Precious Metals Funds Performance During Commodity Markets Volatility—Evidence from Poland," Energies, MDPI, vol. 18(5), pages 1-15, February.
    24. Hung, Ngo Thai, 2021. "Oil prices and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak," Resources Policy, Elsevier, vol. 73(C).
    25. Juan Antonio Galán-Gutiérrez & Rodrigo Martín-García, 2022. "Fundamentals vs. Financialization during Extreme Events: From Backwardation to Contango, a Copper Market Analysis during the COVID-19 Pandemic," Mathematics, MDPI, vol. 10(4), pages 1-23, February.
    26. Ahmed, Maruf Yakubu & Sarkodie, Samuel Asumadu, 2021. "COVID-19 pandemic and economic policy uncertainty regimes affect commodity market volatility," Resources Policy, Elsevier, vol. 74(C).
    27. Umar, Zaghum & Polat, Onur & Choi, Sun-Yong & Teplova, Tamara, 2022. "Dynamic connectedness between non-fungible tokens, decentralized finance, and conventional financial assets in a time-frequency framework," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
    28. Ruano, Fábio & Barros, Victor, 2022. "Commodities and portfolio diversification: Myth or fact?," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 281-295.
    29. Jin, Chenglu & Lu, Xingyu & Zhang, Yihan, 2022. "Market reaction, COVID-19 pandemic and return distribution," Finance Research Letters, Elsevier, vol. 47(PB).
    30. Lo, Gaye-Del & Marcelin, Isaac & Bassène, Théophile & Lo, Assane, 2024. "Connectedness and risk spillovers among sub-Saharan Africa and MENA equity markets," Emerging Markets Review, Elsevier, vol. 63(C).
    31. Memon, Bilal Ahmed & Yao, Hongxing & Naveed, Hafiz Muhammad, 2022. "Examining the efficiency and herding behavior of commodity markets using multifractal detrended fluctuation analysis. Empirical evidence from energy, agriculture, and metal markets," Resources Policy, Elsevier, vol. 77(C).
    32. Prachi Jain & Debasish Maitra, 2025. "Commodity Price Crash Risk and Crash Risk Contagion," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(4), pages 343-378, April.
    33. Fiaz Ahmad Sulehri & Noor Fatima, 2022. "Nexus Among Commodity Markets And Stock Markets In Asian Countries Before & During Covid," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 11(4), pages 1-14.
    34. Shivani Narayan & Dilip Kumar, 2023. "Systemic Risk Transmission from the United States to Asian Economies During the COVID-19 Period," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 22(1), pages 57-84, March.
    35. Algirdas Justinas Staugaitis & Bernardas Vaznonis, 2022. "Financial Speculation Impact on Agricultural and Other Commodity Return Volatility: Implications for Sustainable Development and Food Security," Agriculture, MDPI, vol. 12(11), pages 1-27, November.

  7. Joscha Beckmann & Robert L Czudaj & Georgios Kouretas, 2021. "Fiscal policy uncertainty and its effects on the real economy: German evidence," Oxford Economic Papers, Oxford University Press, vol. 73(4), pages 1516-1535.
    See citations under working paper version above.
  8. Baur, Dirk G. & Beckmann, Joscha & Czudaj, Robert L., 2020. "The Relative Valuation Of Gold," Macroeconomic Dynamics, Cambridge University Press, vol. 24(6), pages 1346-1391, September.
    See citations under working paper version above.
  9. Czudaj, Robert L., 2020. "Is the negative interest rate policy effective?," Journal of Economic Behavior & Organization, Elsevier, vol. 174(C), pages 75-86.
    See citations under working paper version above.
  10. Borgards, Oliver & Czudaj, Robert L., 2020. "The prevalence of price overreactions in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).

    Cited by:

    1. Nesrine Dardouri & Abdelkader Aguir & Mounir Smida, 2023. "The Effect of COVID-19 Transmission on Cryptocurrencies," Risks, MDPI, vol. 11(8), pages 1-12, July.
    2. Jia, Yuecheng & Wu, Yangru & Yan, Shu & Liu, Yuzheng, 2023. "A seesaw effect in the cryptocurrency market: Understanding the return cross predictability of cryptocurrencies," Journal of Empirical Finance, Elsevier, vol. 74(C).
    3. Tang, Tao & Wang, Yanchen, 2022. "Liquidity Shocks, Price Volatilities, and Risk-managed Strategy: Evidence from Bitcoin and Beyond," Journal of Multinational Financial Management, Elsevier, vol. 64(C).
    4. Borgards, Oliver & Czudaj, Robert L. & Hoang, Thi Hong Van, 2021. "Price overreactions in the commodity futures market: An intraday analysis of the Covid-19 pandemic impact," Resources Policy, Elsevier, vol. 71(C).
    5. Fayssal Jamhamed & Franck Martin & Fabien Rondeau & Josué Thélissaint & Stéphane Tufféry, 2024. "Regime-Specific Dynamics and Informational Efficiency in Cryptomarkets: Evidence from Gaussian Mixture Models," Economics Working Paper Archive (University of Rennes & University of Caen) 2024-13, Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS.
    6. Borgards, Oliver, 2021. "Dynamic time series momentum of cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    7. Lamia Kalai, 2022. "Time Varying Dependence in the Cryptocurrency Market and COVID 19 Panic Index: An Empirical Investigation," International Journal of Economics and Financial Issues, Econjournals, vol. 12(2), pages 37-51, March.
    8. Gambarelli, Luca & Marchi, Gianluca & Muzzioli, Silvia, 2023. "Hedging effectiveness of cryptocurrencies in the European stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
    9. Saggu, Aman, 2022. "The Intraday Bitcoin Response to Tether Minting and Burning Events: Asymmetry, Investor Sentiment, and “Whale Alerts” on Twitter," Finance Research Letters, Elsevier, vol. 49(C).
    10. Josué Thélissaint, 2024. "Assessing Cryptomarket Risks: Macroeconomic Forces, Market Shocks and Behavioural Dynamics," Economics Working Paper Archive (University of Rennes & University of Caen) 2024-14, Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS.
    11. Iqbal, Najaf & Fareed, Zeeshan & Wan, Guangcai & Shahzad, Farrukh, 2021. "Asymmetric nexus between COVID-19 outbreak in the world and cryptocurrency market," International Review of Financial Analysis, Elsevier, vol. 73(C).
    12. Almeida, José & Gonçalves, Tiago Cruz, 2023. "A systematic literature review of investor behavior in the cryptocurrency markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    13. Zaremba, Adam & Bilgin, Mehmet Huseyin & Long, Huaigang & Mercik, Aleksander & Szczygielski, Jan J., 2021. "Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 78(C).
    14. Natashya NATASHYA & Yanuar Nanok SOENARNO, 2022. "How Quarterly Reports Support the Market," CECCAR Business Review, Body of Expert and Licensed Accountants of Romania (CECCAR), vol. 3(9), pages 55-61, September.
    15. Nesrine Dardouri & Abdelkader Aguir & Mounir Smida, 2023. "The Effect of COVID-19 Transmission on Cryptocurrencies," Post-Print hal-04173029, HAL.
    16. Borgards, Oliver & Czudaj, Robert L., 2021. "Features of overreactions in the cryptocurrency market," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 31-48.

  11. Joscha Beckmann & Robert L. Czudaj, 2020. "Professional forecasters' expectations, consistency, and international spillovers," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1001-1024, November.

    Cited by:

    1. Klein, Tony, 2021. "Agree to Disagree? Predictions of U.S. Nonfarm Payroll Changes between 2008 and 2020 and the Impact of the COVID19 Labor Shock," QBS Working Paper Series 2021/07, Queen's University Belfast, Queen's Business School.
    2. Klein, Tony, 2022. "Agree to disagree? Predictions of U.S. nonfarm payroll changes between 2008 and 2020 and the impact of the COVID19 labor shock," Journal of Economic Behavior & Organization, Elsevier, vol. 194(C), pages 264-286.

  12. Beckmann, Joscha & Czudaj, Robert L. & Arora, Vipin, 2020. "The relationship between oil prices and exchange rates: Revisiting theory and evidence," Energy Economics, Elsevier, vol. 88(C).

    Cited by:

    1. Lutz Kilian & Xiaoqing Zhou, 2019. "Oil Prices, Exchange Rates and Interest Rates," Working Papers 1914, Federal Reserve Bank of Dallas.
    2. Syeda Beena Zaidi & Abidullah Khan & Shabeer Khan & Mohd Ziaur Rehman & Wadi B. Alonazi & Abul Ala Noman, 2023. "Connectedness between Pakistan’s Stock Markets with Global Factors: An Application of Quantile VAR Network Model," Mathematics, MDPI, vol. 11(19), pages 1-17, October.
    3. Afshan, Sahar & Yaqoob, Tanzeela & Zaied, Younes Ben & Mishra, Shekhar & Mishra, Sibanjan, 2024. "Oil shocks and currency behavior: A dual approach to digital and traditional currencies," Global Finance Journal, Elsevier, vol. 62(C).
    4. Rodrigo da Silva Souza & Leonardo Bornacki Mattos, 2022. "Oil price shocks and global liquidity: macroeconomic effects on the Brazilian real," International Economics and Economic Policy, Springer, vol. 19(4), pages 761-781, October.
    5. Ivan, Miruna-Daniela & Banti, Chiara & Kellard, Neil, 2022. "Prime money market funds regulation, global liquidity, and the crude oil market," Journal of International Money and Finance, Elsevier, vol. 127(C).
    6. Davood Pirayesh Neghab & Mucahit Cevik & M. I. M. Wahab, 2023. "Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning," Papers 2303.16149, arXiv.org.
    7. Vincenzo Candila & Denis Maximov & Alexey Mikhaylov & Nikita Moiseev & Tomonobu Senjyu & Nicole Tryndina, 2021. "On the Relationship between Oil and Exchange Rates of Oil-Exporting and Oil-Importing Countries: From the Great Recession Period to the COVID-19 Era," Energies, MDPI, vol. 14(23), pages 1-18, December.
    8. Yang Liu & Tongshuai Qiao & Liyan Han, 2022. "Does clean energy matter? Revisiting the spillovers between energy and foreign exchange markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(11), pages 2068-2083, November.
    9. Supanee Harnphattananusorn, 2022. "Asymmetric Relationship between Exchange Rate Volatility and Oil Price: Case Study of Thai-Baht," International Journal of Energy Economics and Policy, Econjournals, vol. 12(1), pages 86-92.
    10. Zhao, Yinglan & Feng, Chen & Xu, Nuo & Peng, Song & Liu, Chang, 2023. "Early warning of exchange rate risk based on structural shocks in international oil prices using the LSTM neural network model," Energy Economics, Elsevier, vol. 126(C).
    11. Das, Debojyoti & Maitra, Debasish & Dutta, Anupam & Basu, Sankarshan, 2022. "Financial stress and crude oil implied volatility: New evidence from continuous wavelet transformation framework," Energy Economics, Elsevier, vol. 115(C).
    12. Carlos J. Rincon, 2024. "Equity Market Pricing and Central Bank Interventions: A Panel Data Approach," JRFM, MDPI, vol. 17(10), pages 1-24, September.
    13. Hlongwane, Nyiko Worship, 2022. "The relationship between oil prices and exchange rates in South Africa," MPRA Paper 113209, University Library of Munich, Germany.
    14. Panpan Wang & Xiaoxing Liu & Tsungwu Ho & Yishi Li, 2024. "The effect of the US dollar exchange rate on oil prices: An oil financialization perspective," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1301-1317, April.
    15. Abraham Deka & Behiye Cavusoglu, 2022. "Examining the role of renewable energy on the foreign exchange rate of the OECD economies with dynamic panel GMM and Bayesian VAR model," SN Business & Economics, Springer, vol. 2(9), pages 1-19, September.
    16. Rufei Zhang & Haizhen Zhang & Wang Gao & Ting Li & Shixiong Yang, 2022. "The Dynamic Effects of Oil Price Shocks on Exchange Rates—From a Time-Varying Perspective," Sustainability, MDPI, vol. 14(14), pages 1-20, July.
    17. Witold Orzeszko, 2021. "Nonlinear Causality between Crude Oil Prices and Exchange Rates: Evidence and Forecasting," Energies, MDPI, vol. 14(19), pages 1-16, September.
    18. Albulescu, Claudiu Tiberiu & Ajmi, Ahdi Noomen, 2021. "Oil price and US dollar exchange rate: Change detection of bi-directional causal impact," Energy Economics, Elsevier, vol. 100(C).
    19. Fasanya, Ismail O. & Adekoya, Oluwasegun B. & Adetokunbo, Abiodun M., 2021. "On the connection between oil and global foreign exchange markets: The role of economic policy uncertainty," Resources Policy, Elsevier, vol. 72(C).
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    21. Hiroyuki Okawa, 2023. "Markov-Regime Switches in Oil Markets: The Fear Factor Dynamics," JRFM, MDPI, vol. 16(2), pages 1-20, January.
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    23. Wu, Tao & Sun, Xiaotong & Xu, Xin & Jia, Nanfei & Xuan, Siyuan, 2024. "New evidence of interdependence in forex markets: A connection of connection analysis," International Review of Financial Analysis, Elsevier, vol. 95(PA).
    24. Gulmira Moldabekova & Zhanarys Raimbekov & Arsen Tleppayev & Yuliya Tyurina & Raushan Yesbergen & Gulimai Amaniyazova, 2022. "The Impact of Oil Prices on the Macroeconomic Indicators of Kazakhstan and the Consequences for the Formation of Social Policy," International Journal of Energy Economics and Policy, Econjournals, vol. 12(4), pages 447-454, July.
    25. Yingce Yang & Junjie Guo & Ruihong He, 2023. "The Asymmetric Impact of the Oil Price and Disaggregate Shocks on Economic Policy Uncertainty: Evidence From China," SAGE Open, , vol. 13(2), pages 21582440231, June.
    26. Ouyang, Zi-sheng & Liu, Meng-tian & Huang, Su-su & Yao, Ting, 2022. "Does the source of oil price shocks matter for the systemic risk?," Energy Economics, Elsevier, vol. 109(C).
    27. RAJI Jimoh Olajide & ADEEL-FAROOQ Rana Muhammad & OYEWOLE Tajudeen Toyin, 2023. "Modelling The Impact Of Crude Oil Prices And Stock Price Index On Indonesia’S Exchange Rates," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 18(3), pages 244-260, December.
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    30. Andrej Privara & Raheel Gohar & Haitham M. Alzoubi & Akash Kalra & Mohammed Ahmar Uddin & Bisharat Hussain Chang, 2025. "Exploring exchange rate sensitivity to crude oil futures: A study of selected global economies," International Economics and Economic Policy, Springer, vol. 22(1), pages 1-21, February.
    31. Davood Pirayesh Neghab & Mucahit Cevik & M. I. M. Wahab & Ayse Basar, 2025. "Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning," Computational Economics, Springer;Society for Computational Economics, vol. 65(4), pages 1857-1899, April.
    32. Baghestani, Hamid & Chazi, Abdelaziz & Khallaf, Ashraf, 2019. "A directional analysis of oil prices and real exchange rates in BRIC countries," Research in International Business and Finance, Elsevier, vol. 50(C), pages 450-456.
    33. Emmanuel Uche & Lionel Effiom, 2021. "Oil price, exchange rate and stock price in Nigeria: Fresh insights based on quantile ARDL model," ECONOMICS AND POLICY OF ENERGY AND THE ENVIRONMENT, FrancoAngeli Editore, vol. 2021(1), pages 59-79.
    34. Nyiko Worship Hlongwane & Olebogeng David Daw & Leeto Shogole & Selinah Ribese, 2022. "Exchange Rate Volatility and Oil Prices in South Africa," International Journal of Energy Economics and Policy, Econjournals, vol. 12(3), pages 315-322, May.
    35. Zhang, Jiaming & Guo, Songlin & Dou, Bin & Xie, Bingyuan, 2023. "Evidence of the internationalization of China's crude oil futures: Asymmetric linkages to global financial risks," Energy Economics, Elsevier, vol. 127(PA).
    36. Boris I. Alekhin, 2021. "Oil and the Ruble: Collapse of Cointegration," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 1, pages 58-74, February.
    37. Pincheira, Pablo & Jarsun, Nabil, 2020. "Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate," MPRA Paper 105056, University Library of Munich, Germany.
    38. Alex Twinomuhwezi & Benjamin Musiita & Frederick Nsambu Kijjambu, 2025. "Macro-Financial Determinants of Electricity Power Loss in Uganda," Journal of Economics and Behavioral Studies, AMH International, vol. 17(1), pages 96-107.
    39. Wu, Tao & An, Feng & Gao, Xiangyun & Wang, Ze, 2023. "Hidden causality between oil prices and exchange rates," Resources Policy, Elsevier, vol. 82(C).
    40. Supanee Harnphattananusorn, 2024. "Spillover Effects between Oil, Gold, Stock, and Exchange Rate Returns in Thailand: An Extended Joint Connected TVP-VAR Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 14(5), pages 62-72, September.
    41. Akram, Q. Farooq, 2020. "Oil price drivers, geopolitical uncertainty and oil exporters' currencies," Energy Economics, Elsevier, vol. 89(C).
    42. Ohikhuare, Obaika M., 2023. "How geopolitical risk drives spillover interconnectedness between crude oil and exchange rate markets: Evidence from the Russia-Ukraine war," Resources Policy, Elsevier, vol. 86(PB).
    43. Lv, Xin & Lien, Donald & Chen, Qian & Yu, Chang, 2018. "Does exchange rate management affect the causality between exchange rates and oil prices? Evidence from oil-exporting countries," Energy Economics, Elsevier, vol. 76(C), pages 325-343.
    44. Shiying Chen & Bisharat Hussain Chang & Hu Fu & ShiQi Xie, 2024. "Dynamic analysis of the relationship between exchange rates and oil prices: a comparison between oil exporting and oil importing countries," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-12, December.
    45. Qiao, Hui & Qin, Ping & Liu, Yang & Yang, Yugang, 2023. "International energy trade and inflation dynamics: The role of invoicing currency use during the low carbon transition," Energy Economics, Elsevier, vol. 128(C).
    46. Lei Ming & Yao Shen & Shenggang Yang & Minyi Dong, 2022. "Contagion or flight‐to‐quality? The linkage between oil price and the US dollar based on the local Gaussian approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 722-750, April.
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    69. Chatziantoniou, Ioannis & Elsayed, Ahmed H. & Gabauer, David & Gozgor, Giray, 2023. "Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies," Energy Economics, Elsevier, vol. 120(C).
    70. Benjamin Musiita & Frederick Nsambu Kijjambu & Asaph Kaburura Katarangi, 2024. "Factor Input Prices and Unemployment in Uganda," Journal of Economics and Behavioral Studies, AMH International, vol. 16(1), pages 52-66.
    71. Harrison, Andre & Liu, Xiaochun & Stewart, Shamar L., 2024. "Are exchange rates absorbers of global oil shocks? A generalized structural analysis," Journal of International Money and Finance, Elsevier, vol. 146(C).
    72. Khalid M. Kisswani & Arezou Harraf & Amjad M. Kisswani, 2019. "Revisiting the effects of oil prices on exchange rate: asymmetric evidence from the ASEAN-5 countries," Economic Change and Restructuring, Springer, vol. 52(3), pages 279-300, August.
    73. Changyu Liu & Muhammad Abubakr Naeem & Mobeen Ur Rehman & Saqib Farid & Syed Jawad Hussain Shahzad, 2020. "Oil as Hedge, Safe-Haven, and Diversifier for Conventional Currencies," Energies, MDPI, vol. 13(17), pages 1-19, August.
    74. Marek Szturo & Bogdan Włodarczyk & Ireneusz Miciuła & Karolina Szturo, 2021. "The Essence of Relationships between the Crude Oil Market and Foreign Currencies Market Based on a Study of Key Currencies," Energies, MDPI, vol. 14(23), pages 1-17, November.
    75. Xu Wang & Xueyan Wu & Yingying Zhou, 2022. "Conditional Dynamic Dependence and Risk Spillover between Crude Oil Prices and Foreign Exchange Rates: New Evidence from a Dynamic Factor Copula Model," Energies, MDPI, vol. 15(14), pages 1-21, July.
    76. Zhepeng Hu & Lei Yan, 2024. "Nonlinear responses of crude oil prices to the US dollar exchange rates: the role of inventories," Empirical Economics, Springer, vol. 66(4), pages 1491-1510, April.
    77. K.S., Sujit & Ray, Subhajyoti, 2023. "Linear and nonlinear asymmetric relationship in crude oil, gold, stock market and exchange rates: An evidence from the UAE," Resources Policy, Elsevier, vol. 83(C).
    78. Asadi, Mehrad & Roudari, Soheil & Tiwari, Aviral Kumar & Roubaud, David, 2023. "Scrutinizing commodity markets by quantile spillovers: A case study of the Australian economy," Energy Economics, Elsevier, vol. 118(C).
    79. Luyanda Majenge & Sakhile Mpungose & Simiso Msomi, 2025. "Comparative Analysis of VAR and SVAR Models in Assessing Oil Price Shocks and Exchange Rate Transmission to Consumer Prices in South Africa," Econometrics, MDPI, vol. 13(1), pages 1-36, February.
    80. Antonio J., Garzón & Luis A., Hierro, 2022. "Inflation, oil prices and exchange rates. The Euro’s dampening effect," Journal of Policy Modeling, Elsevier, vol. 44(1), pages 130-146.
    81. Lu, Man & Chang, Bisharat Hussain & Salman, Asma & Razzaq, Muthanna G. Abdul & Uddin, Mohammed Ahmar, 2023. "Time varying connectedness between foreign exchange markets and crude oil futures prices," Resources Policy, Elsevier, vol. 86(PB).
    82. Yildirim, Zekeriya & Guloglu, Hasan, 2024. "Macro-financial transmission of global oil shocks to BRIC countries — International financial (uncertainty) conditions matter," Energy, Elsevier, vol. 306(C).
    83. Trabelsi, Nader & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2022. "Spillovers and directional predictability between international energy commodities and their implications for optimal portfolio and hedging," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    84. 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).
    85. Chowdhury, Kushal Banik & Garg, Bhavesh, 2022. "Has COVID-19 intensified the oil price–exchange rate nexus?," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 280-298.
    86. Krzysztof Drachal, 2022. "Forecasting the Crude Oil Spot Price with Bayesian Symbolic Regression," Energies, MDPI, vol. 16(1), pages 1-29, December.
    87. Jiaying Peng & Zhenghui Li & Benjamin M. Drakeford, 2020. "Dynamic Characteristics of Crude Oil Price Fluctuation—From the Perspective of Crude Oil Price Influence Mechanism," Energies, MDPI, vol. 13(17), pages 1-19, August.

  13. Berger, Theo & Czudaj, Robert L., 2020. "Commodity futures and a wavelet-based risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).

    Cited by:

    1. Rehman, Mobeen Ur & Nautiyal, Neeraj & Zeitun, Rami & Vo, Xuan Vinh & Ghardallou, Wafa, 2024. "Unraveling the multiscale comovement of green bonds and structural shocks: An oil-driven analysis," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    2. Zheng, Chengli & Su, Kuangxi & Yao, Yinhong, 2021. "Hedging futures performance with denoising and noise-assisted strategies," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    3. Kuangxi Su & Yinhong Yao & Chengli Zheng & Wenzhao Xie, 2024. "Portfolio Selection Based on EMD Denoising with Correlation Coefficient Test Criterion," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 391-421, January.
    4. Aamir Aijaz Syed & Farhan Ahmed & Muhammad Abdul Kamal & Assad Ullah & Jose Pedro Ramos-Requena, 2022. "Is There an Asymmetric Relationship between Economic Policy Uncertainty, Cryptocurrencies, and Global Green Bonds? Evidence from the United States of America," Mathematics, MDPI, vol. 10(5), pages 1-15, February.
    5. Esparcia, Carlos & Jareño, Francisco & Umar, Zaghum, 2022. "Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).

  14. Hoang, Thi Hong Van & Shahzad, Syed Jawad Hussain & Czudaj, Robert L., 2020. "Renewable energy consumption and industrial production: A disaggregated time-frequency analysis for the U.S," Energy Economics, Elsevier, vol. 85(C).

    Cited by:

    1. Tu, Zhe & Chang, Bisharat Hussain & Gohar, Raheel & Kim, Eunchan & Uddin, Mohammed Ahmar, 2024. "Climate policy uncertainty and its impact on energy demand: An empirical evidence using the Fourier augmented ARDL model," Economic Analysis and Policy, Elsevier, vol. 84(C), pages 374-390.
    2. Cai, Yifei & Wu, Yanrui, 2021. "Time-varying interactions between geopolitical risks and renewable energy consumption," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 116-137.
    3. Hong, Yanran & Wang, Lu & Ye, Xiaoqing & Zhang, Yaojie, 2022. "Dynamic asymmetric impact of equity market uncertainty on energy markets: A time-varying causality analysis," Renewable Energy, Elsevier, vol. 196(C), pages 535-546.
    4. Yang, Mian & Wang, En-Ze & Hou, Yaru, 2021. "The relationship between manufacturing growth and CO2 emissions: Does renewable energy consumption matter?," Energy, Elsevier, vol. 232(C).
    5. Zhou, Anhua & Li, Jun, 2022. "How do trade liberalization and human capital affect renewable energy consumption? Evidence from the panel threshold model," Renewable Energy, Elsevier, vol. 184(C), pages 332-342.
    6. Wang, Yangjie & Shinwari, Riazullah & Naeem, Muhammad Abubakr, 2024. "The effects of green technology and globalization on energy demand in emerging economies," Renewable Energy, Elsevier, vol. 237(PC).
    7. Liang, Chao & Goodell, John W. & Li, Xiafei, 2024. "Impacts of carbon market and climate policy uncertainties on financial and economic stability: Evidence from connectedness network analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
    8. Lester C. Hunt & Paraskevas Kipouros & Zafeirios Lamprakis, 2024. "The Drivers of Renewable Energy: A Global Empirical Analysis of Developed and Developing Countries," Energies, MDPI, vol. 17(12), pages 1-19, June.
    9. Guo, Yaoqi & Yu, Chenxi & Zhang, Hongwei & Cheng, Hui, 2021. "Asymmetric between oil prices and renewable energy consumption in the G7 countries," Energy, Elsevier, vol. 226(C).
    10. Montassar Kahia & Anis Omri & Bilel Jarraya, 2021. "Green Energy, Economic Growth and Environmental Quality Nexus in Saudi Arabia," Sustainability, MDPI, vol. 13(3), pages 1-13, January.
    11. Syed, Qasim Raza & Apergis, Nicholas & Goh, Soo Khoon, 2023. "The dynamic relationship between climate policy uncertainty and renewable energy in the US: Applying the novel Fourier augmented autoregressive distributed lags approach," Energy, Elsevier, vol. 275(C).
    12. Ding, Qian & Huang, Jianbai & Chen, Jinyu & Luo, Xianfeng, 2024. "Climate warming, renewable energy consumption and rare earth market: Evidence from the United States," Energy, Elsevier, vol. 290(C).
    13. David Guan & Ubaldo Comite & Muhammad Safdar Sial & Asma Salman & Boyao Zhang & Stefan B. Gunnlaugsson & Urszula Mentel & Grzegorz Mentel, 2021. "The Impact of Renewable Energy Sources on Financial Development, and Economic Growth: The Empirical Evidence from an Emerging Economy," Energies, MDPI, vol. 14(23), pages 1-13, December.

  15. Ali, Sajid & Bouri, Elie & Czudaj, Robert Lukas & Shahzad, Syed Jawad Hussain, 2020. "Revisiting the valuable roles of commodities for international stock markets," Resources Policy, Elsevier, vol. 66(C).

    Cited by:

    1. Lei, Heng & Xue, Minggao & Liu, Huiling & Ye, Jing, 2023. "Precious metal as a safe haven for global ESG stocks: Portfolio implications for socially responsible investing," Resources Policy, Elsevier, vol. 80(C).
    2. Wil Martens & Prem W. S. Yapa & Maryam Safari, 2020. "The Impact of Financial Statement Comparability on Earnings Management: Evidence from Frontier Markets," IJFS, MDPI, vol. 8(4), pages 1-25, November.
    3. Mei, Dexiang & Xie, Yutang, 2022. "U.S. grain commodity futures price volatility: Does trade policy uncertainty matter?," Finance Research Letters, Elsevier, vol. 48(C).
    4. Ustaoglu, Erkan, 2023. "Diversification, hedge, and safe-haven properties of gold and bitcoin with portfolio implications during the Russia–Ukraine war," Resources Policy, Elsevier, vol. 84(C).
    5. Syed Jawad Hussain Shahzad & Elie Bouri & Mobeen Ur Rehman & David Roubaud, 2022. "The hedge asset for BRICS stock markets: Bitcoin, gold or VIX," The World Economy, Wiley Blackwell, vol. 45(1), pages 292-316, January.
    6. Najaf Iqbal & Elie Bouri & Oksana Grebinevych & David Roubaud, 2023. "Modelling extreme risk spillovers in the commodity markets around crisis periods including COVID19," Annals of Operations Research, Springer, vol. 330(1), pages 305-334, November.
    7. Borgards, Oliver & Czudaj, Robert L. & Hoang, Thi Hong Van, 2021. "Price overreactions in the commodity futures market: An intraday analysis of the Covid-19 pandemic impact," Resources Policy, Elsevier, vol. 71(C).
    8. Mathieu Gomes & Thi Ngoc Mai Lê & Benjamin Williams, 2023. "Gold in a portfolio: Why, when, and where?," Post-Print hal-03925429, HAL.
    9. Naeem, Muhammad Abubakr & Hasan, Mudassar & Arif, Muhammad & Suleman, Muhammad Tahir & Kang, Sang Hoon, 2022. "Oil and gold as a hedge and safe-haven for metals and agricultural commodities with portfolio implications," Energy Economics, Elsevier, vol. 105(C).
    10. Ali, Sajid & Raza, Naveed & Vinh Vo, Xuan & Le, Van, 2022. "Modelling the joint dynamics of financial assets using MGARCH family models: Insights into hedging and diversification strategies," Resources Policy, Elsevier, vol. 78(C).
    11. Talbi, Marwa & Bedoui, Rihab & de Peretti, Christian & Belkacem, Lotfi, 2021. "Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches," Resources Policy, Elsevier, vol. 73(C).
    12. Kołodziejczyk, Hanna, 2023. "Stablecoins as diversifiers, hedges and safe havens: A quantile coherency approach," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    13. Rehman, Mobeen Ur & Shahzad, Syed Jawad Hussain & Ahmad, Nasir & Vo, Xuan Vinh, 2021. "Dependence among metals and mining companies of the US and Europe during normal and crises periods," Resources Policy, Elsevier, vol. 73(C).
    14. Awasthi, Kritika & Ahmad, Wasim & Rahman, Abdul & Phani, B.V., 2020. "When US sneezes, clichés spread: How do the commodity index funds react then?," Resources Policy, Elsevier, vol. 69(C).
    15. Văn, Lê & Bảo, Nguyễn Khắc Quốc, 2022. "The relationship between global stock and precious metals under Covid-19 and happiness perspectives," Resources Policy, Elsevier, vol. 77(C).
    16. Dai, Zhifeng & Zhu, Junxin & Zhang, Xinhua, 2022. "Time-frequency connectedness and cross-quantile dependence between crude oil, Chinese commodity market, stock market and investor sentiment," Energy Economics, Elsevier, vol. 114(C).
    17. Polat, Onur & Ertuğrul, Hasan Murat & Sakarya, Burçhan & Akgül, Ali, 2024. "TVP-VAR based time and frequency domain food & energy commodities connectedness an analysis for financial/geopolitical turmoil episodes," Applied Energy, Elsevier, vol. 357(C).
    18. Kumar, Satish & Khalfaoui, Rabeh & Tiwari, Aviral Kumar, 2021. "Does geopolitical risk improve the directional predictability from oil to stock returns? Evidence from oil-exporting and oil-importing countries," Resources Policy, Elsevier, vol. 74(C).
    19. Md Akhtaruzzaman & Sabri Boubaker & Brian M Lucey & Ahmet Sensoy, 2021. "Is gold a hedge or a safe-haven asset in the COVID–19 crisis?," Post-Print hal-04998990, HAL.
    20. Al-Nassar, Nassar S. & Assaf, Rima & Chaibi, Anis & Makram, Beljid, 2024. "The nexus between mineral, renewable commodities, and regional stock sectors during health and military crises," Resources Policy, Elsevier, vol. 96(C).
    21. Zhu, Xuehong & Chen, Ying & Chen, Jinyu, 2021. "Effects of non-ferrous metal prices and uncertainty on industry stock market under different market conditions," Resources Policy, Elsevier, vol. 73(C).
    22. Guannan Wang & Juan Meng & Bin Mo, 2023. "Dynamic Volatility Spillover Effects and Portfolio Strategies among Crude Oil, Gold, and Chinese Electricity Companies," Mathematics, MDPI, vol. 11(4), pages 1-25, February.
    23. Lee, Chien-Chiang & Lee, Hsiang-Tai, 2023. "Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model," Global Finance Journal, Elsevier, vol. 55(C).
    24. Qadan, Mahmoud & Idilbi, Yasmeen, 2022. "Presidential honeymoons, political cycles and the commodity market," Resources Policy, Elsevier, vol. 77(C).
    25. Imran, Zulfiqar Ali & Ahad, Muhammad & Shahzad, Khurram & Ahmad, Mobeen & Hameed, Imran, 2024. "Safe haven properties of industrial stocks against ESG in the United States: Portfolio implication for sustainable investments," Energy Economics, Elsevier, vol. 136(C).
    26. Karel Janda & Ladislav Kristoufek & Binyi Zhang, 2022. "Return and Volatility Spillovers between Chinese and U.S. Clean Energy Related Stocks," CAMA Working Papers 2022-17, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    27. Tarchella, Salma & Khalfaoui, Rabeh & Hammoudeh, Shawkat, 2024. "The safe haven, hedging, and diversification properties of oil, gold, and cryptocurrency for the G7 equity markets: Evidence from the pre- and post-COVID-19 periods," Research in International Business and Finance, Elsevier, vol. 67(PB).
    28. Wen, Danyan & Wang, Yudong, 2021. "Volatility linkages between stock and commodity markets revisited: Industry perspective and portfolio implications," Resources Policy, Elsevier, vol. 74(C).
    29. Mensi, Walid & Ahmadian-Yazdi, Farzaneh & Al-Kharusi, Sami & Roudari, Soheil & Kang, Sang Hoon, 2024. "Extreme Connectedness Across Chinese Stock and Commodity Futures Markets," Research in International Business and Finance, Elsevier, vol. 70(PA).
    30. Wang, Shu & Zhou, Baicheng & Gao, Tianshu, 2023. "Speculation or actual demand? The return spillover effect between stock and commodity markets," Journal of Commodity Markets, Elsevier, vol. 29(C).
    31. Maghyereh, Aktham & Abdoh, Hussein, 2020. "The tail dependence structure between investor sentiment and commodity markets," Resources Policy, Elsevier, vol. 68(C).
    32. Bernardina Algieri & Arturo Leccadito & Pietro Toscano, 2021. "A Time-Varying Gerber Statistic: Application of a Novel Correlation Metric to Commodity Price Co-Movements," Forecasting, MDPI, vol. 3(2), pages 1-16, May.
    33. Bayaa, Yasmeen & Qadan, Mahmoud, 2024. "The shape of the Treasury yield curve and commodity prices," International Review of Financial Analysis, Elsevier, vol. 94(C).
    34. Abuzayed, Bana & Al-Fayoumi, Nedal & Bouri, Elie, 2022. "Hedging UK stock portfolios with gold and oil: The impact of Brexit," Resources Policy, Elsevier, vol. 75(C).
    35. Adekoya, Oluwasegun B. & Oliyide, Johnson A. & Olubiyi, Ebenezer A. & Adedeji, Adedayo O., 2023. "The inflation-hedging performance of industrial metals in the world's most industrialized countries," Resources Policy, Elsevier, vol. 81(C).
    36. Ali, Fahad & Bouri, Elie & Naifar, Nader & Shahzad, Syed Jawad Hussain & AlAhmad, Mohammad, 2022. "An examination of whether gold-backed Islamic cryptocurrencies are safe havens for international Islamic equity markets," Research in International Business and Finance, Elsevier, vol. 63(C).
    37. Adekoya, Oluwasegun B. & Oliyide, Johnson A., 2020. "The hedging effectiveness of industrial metals against different oil shocks: Evidence from the four newly developed oil shocks datasets," Resources Policy, Elsevier, vol. 69(C).
    38. Hampl, Filip & Vágnerová Linnertová, Dagmar & Horváth, Matúš, 2024. "Crypto havens during war times? Evidence from the Russian invasion of Ukraine," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    39. Wang, Peijin & Zhang, Hongwei & Yang, Cai & Guo, Yaoqi, 2021. "Time and frequency dynamics of connectedness and hedging performance in global stock markets: Bitcoin versus conventional hedges," Research in International Business and Finance, Elsevier, vol. 58(C).
    40. Arfaoui, Nadia & Yousaf, Imran & Jareño, Francisco, 2023. "Return and volatility connectedness between gold and energy markets: Evidence from the pre- and post-COVID vaccination phases," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 617-634.
    41. Bernardina Algieri, 2021. "Fast & furious: Do psychological and legal factors affect commodity price volatility?," The World Economy, Wiley Blackwell, vol. 44(4), pages 980-1017, April.
    42. Imran Yousaf & Elie Bouri & Shoaib Ali & Nehme Azoury, 2021. "Gold against Asian Stock Markets during the COVID-19 Outbreak," JRFM, MDPI, vol. 14(4), pages 1-23, April.
    43. Echaust, Krzysztof & Just, Małgorzata, 2022. "Is gold still a safe haven for stock markets? New insights through the tail thickness of portfolio return distributions," Research in International Business and Finance, Elsevier, vol. 63(C).
    44. Naeem, Muhammad Abubakr & Peng, Zhe & Bouri, Elie & Hussain Shahzad, Syed Jawad & Karim, Sitara, 2022. "Examining the asymmetries between equity and commodity ETFs during COVID-19," Resources Policy, Elsevier, vol. 79(C).
    45. Kaczmarek, Tomasz & Będowska-Sójka, Barbara & Grobelny, Przemysław & Perez, Katarzyna, 2022. "False Safe Haven Assets: Evidence From the Target Volatility Strategy Based on Recurrent Neural Network," Research in International Business and Finance, Elsevier, vol. 60(C).
    46. Ghulam Mujtaba & Asima Siddique & Nader Naifar & Syed Jawad Hussain Shahzad, 2024. "Hedge and safe haven role of commodities for the US and Chinese equity markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2381-2414, April.
    47. Asadi, Mehrad & Roubaud, David & Tiwari, Aviral Kumar, 2022. "Volatility spillovers amid crude oil, natural gas, coal, stock, and currency markets in the US and China based on time and frequency domain connectedness," Energy Economics, Elsevier, vol. 109(C).
    48. Niu, Hongli & Hu, Ziang, 2021. "Information transmission and entropy-based network between Chinese stock market and commodity futures market," Resources Policy, Elsevier, vol. 74(C).
    49. Bouri, Elie & Gök, Remzi & Gemi̇ci̇, Eray & Kara, Erkan, 2024. "Do geopolitical risk, economic policy uncertainty, and oil implied volatility drive assets across quantiles and time-horizons?," The Quarterly Review of Economics and Finance, Elsevier, vol. 93(C), pages 137-154.
    50. Ruano, Fábio & Barros, Victor, 2022. "Commodities and portfolio diversification: Myth or fact?," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 281-295.
    51. Jiang, Yonghong & Ao, Zhiming & Mo, Bin, 2023. "The risk spillover between China’s economic policy uncertainty and commodity markets: Evidence from frequency spillover and quantile connectedness approaches," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    52. Farid, Saqib & Kayani, Ghulam Mujtaba & Naeem, Muhammad Abubakr & Shahzad, Syed Jawad Hussain, 2021. "Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic," Resources Policy, Elsevier, vol. 72(C).
    53. Zaighum, Isma & Aman, Ameenullah & Sharif, Arshian & Suleman, Muhammad Tahir, 2021. "Do energy prices interact with global Islamic stocks? Fresh insights from quantile ARDL approach," Resources Policy, Elsevier, vol. 72(C).
    54. Raggad, Bechir & Bouri, Elie, 2023. "Gold and crude oil: A time-varying causality across various market conditions," Resources Policy, Elsevier, vol. 86(PA).
    55. Nicolas Pesci & Jean-Philippe Aguilar & Victor James & Fabien Rouillé, 2022. "Inflation Forecasts and European Asset Returns: A Regime-Switching Approach," JRFM, MDPI, vol. 15(10), pages 1-20, October.
    56. Stoupos, Nikolaos & Kiohos, Apostolos, 2021. "Energy commodities and advanced stock markets: A post-crisis approach," Resources Policy, Elsevier, vol. 70(C).

  16. Muhammad Shahbaz & Naceur Khraief & Robert L. Czudaj, 2020. "Renewable energy consumption-economic growth nexus in G7 countries: New evidence from a nonlinear ARDL approach," Economics Bulletin, AccessEcon, vol. 40(4), pages 2828-2843.
    See citations under working paper version above.
  17. Joscha Beckmann & Robert L. Czudaj, 2020. "Net Foreign Asset Positions, Capital Flows and GDP Spillovers," Open Economies Review, Springer, vol. 31(2), pages 295-308, April.

    Cited by:

    1. Alin Marius Andries & Alexandra-Maria Chiper & Steven Ongena & Nicu Sprincean, 2022. "External Wealth of Nations and Systemic Risk," Swiss Finance Institute Research Paper Series 22-74, Swiss Finance Institute.

  18. Joscha Beckmann & Theo Berger & Robert Czudaj, 2019. "Gold price dynamics and the role of uncertainty," Quantitative Finance, Taylor & Francis Journals, vol. 19(4), pages 663-681, April.
    See citations under working paper version above.
  19. Czudaj, Robert L., 2019. "Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach," Econometrics and Statistics, Elsevier, vol. 12(C), pages 78-145.
    See citations under working paper version above.
  20. Thi Hong Van Hoang, Syed Jawad Hussain Shahzad, Robert L. Czudaj, and Javed Ahmad Bhat, 2019. "How Do Oil Shocks Impact Energy Consumption? A Disaggregated Analysis for the U.S," The Energy Journal, International Association for Energy Economics, vol. 0(The New E).

    Cited by:

    1. Md. Bokhtiar Hasan & Gazi Salah Uddin & Md. Sumon Ali & Md. Mamunur Rashid & Donghyun Park & Sang Hoon Kang, 2024. "Examining time–frequency quantile dependence between green bond and green equity markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-28, December.
    2. Qiang Ji & Syed Jawad Hussain Shahzad & Elie Bouri & Muhammad Tahir Suleman, 2020. "Dynamic structural impacts of oil shocks on exchange rates: lessons to learn," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 9(1), pages 1-19, December.
    3. Hoang, Thi Hong Van & Shahzad, Syed Jawad Hussain & Czudaj, Robert L., 2020. "Renewable energy consumption and industrial production: A disaggregated time-frequency analysis for the U.S," Energy Economics, Elsevier, vol. 85(C).
    4. Chen, Shiu-Sheng & Huang, Shiangtsz & Lin, Tzu-Yu, 2022. "How do oil prices affect emerging market sovereign bond spreads?," Journal of International Money and Finance, Elsevier, vol. 128(C).
    5. Zhang, Hao & Cai, Guixin & Yang, Dongxiao, 2020. "The impact of oil price shocks on clean energy stocks: Fresh evidence from multi-scale perspective," Energy, Elsevier, vol. 196(C).

  21. Czudaj, Robert L., 2019. "Crude oil futures trading and uncertainty," Energy Economics, Elsevier, vol. 80(C), pages 793-811.
    See citations under working paper version above.
  22. Joscha Beckmann & Theo Berger & Robert Czudaj & Thi-Hong-Van Hoang, 2019. "Tail dependence between gold and sectorial stocks in China: perspectives for portfolio diversification," Empirical Economics, Springer, vol. 56(3), pages 1117-1144, March.
    See citations under working paper version above.
  23. Czudaj, Robert L., 2018. "Is equity market volatility driven by migration fear?," Finance Research Letters, Elsevier, vol. 27(C), pages 34-37.

    Cited by:

    1. Michael Donadelli & Luca Gerotto & Marcella Lucchetta & Daniela Arzu, 2018. "Migration Fear, Uncertainty, and Macroeconomic Dynamics," Working Papers 2018:29, Department of Economics, University of Venice "Ca' Foscari".
    2. Kuntal K. Das & Mona Yaghoubi, 2024. "Migration Fear and Stock Price Crash Risk," Working Papers in Economics 24/01, University of Canterbury, Department of Economics and Finance.
    3. Olaniran, Abeeb & Akanni, Lateef & Salisu, Afees, 2024. "Migration fears and exchange rate volatility in France, Germany, and the UK: A GARCH-MIDAS framework," MPRA Paper 123196, University Library of Munich, Germany.
    4. Hadhri, Sinda, 2024. "The role of migration fear in (dis)connecting stock markets," Finance Research Letters, Elsevier, vol. 61(C).

  24. Joscha Beckmann & Robert L. Czudaj, 2018. "Monetary Policy Shocks, Expectations, And Information Rigidities," Economic Inquiry, Western Economic Association International, vol. 56(4), pages 2158-2176, October.
    See citations under working paper version above.
  25. Beckmann, Joscha & Czudaj, Robert, 2017. "Capital flows and GDP in emerging economies and the role of global spillovers," Journal of Economic Behavior & Organization, Elsevier, vol. 142(C), pages 140-163.
    See citations under working paper version above.
  26. Beckmann, Joscha & Czudaj, Robert, 2017. "Exchange rate expectations and economic policy uncertainty," European Journal of Political Economy, Elsevier, vol. 47(C), pages 148-162.

    Cited by:

    1. Yao, Can-Zhong & Sun, Bo-Yi, 2018. "The study on the tail dependence structure between the economic policy uncertainty and several financial markets," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 245-265.
    2. Karol Szafranek & Grzegorz Szafrański & Agnieszka Leszczyńska-Paczesna, 2023. "Inflation returns. Revisiting the role of external and domestic shocks with Bayesian structural VAR," NBP Working Papers 357, Narodowy Bank Polski.
    3. Serdengeçti, Süleyman & Sensoy, Ahmet & Nguyen, Duc Khuong, 2021. "Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
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  27. Beckmann, Joscha & Czudaj, Robert, 2017. "Exchange rate expectations since the financial crisis: Performance evaluation and the role of monetary policy and safe haven," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 283-300.
    See citations under working paper version above.
  28. Beckmann, Joscha & Czudaj, Robert, 2017. "The impact of uncertainty on professional exchange rate forecasts," Journal of International Money and Finance, Elsevier, vol. 73(PB), pages 296-316.
    See citations under working paper version above.
  29. Joscha Beckmann & Robert Czudaj, 2017. "Effective Exchange Rates, Current Accounts and Global Imbalances," Review of International Economics, Wiley Blackwell, vol. 25(3), pages 500-533, August.
    See citations under working paper version above.
  30. Joscha Beckmann & Theo Berger & Robert Czudaj, 2016. "Oil price and FX-rates dependency," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 477-488, March.

    Cited by:

    1. Joscha Beckmann & Theo Berger & Robert Czudaj & Thi-Hong-Van Hoang, 2017. "Tail dependence between gold and sectorial stocks in China: Perspectives for portfolio diversication," Chemnitz Economic Papers 012, Department of Economics, Chemnitz University of Technology, revised Jul 2017.
    2. Mohamed Albaity & Hasan Mustafa, 2018. "International and Macroeconomic Determinants of Oil Price: Evidence from Gulf Cooperation Council Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 8(1), pages 69-81.
    3. Karol Szafranek, 2018. "Determinanty zmiennej w czasie korelacji pomiędzy cenami ropy naftowej a kursem walutowym dolara amerykańskiego," Bank i Kredyt, Narodowy Bank Polski, vol. 49(6), pages 671-708.
    4. Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z & Pawe{l} O'swic{e}cimka & Marek Stanuszek, 2018. "Multifractal cross-correlations between the World Oil and other Financial Markets in 2012-2017," Papers 1812.08548, arXiv.org, revised Jun 2019.
    5. Joscha Beckmann & Theo Berger & Robert Czudaj, 2019. "Gold price dynamics and the role of uncertainty," Quantitative Finance, Taylor & Francis Journals, vol. 19(4), pages 663-681, April.
    6. Yang, Lu & Cai, Xiao Jing & Hamori, Shigeyuki, 2018. "What determines the long-term correlation between oil prices and exchange rates?," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 140-152.
    7. Bruna, Karel & Van Tran, Quang, 2023. "Asymmetric effects of oil price shocks on EUR/USD exchange rate and structural shock decomposition in a BVAR model with sign restriction," Energy Economics, Elsevier, vol. 128(C).
    8. Yihong Ma, Simon Cottrell, Sarath Delpachitra, Xiao Yu, Ping Jiang, and Quan Tran Ha Minh, 2023. "What Drives Credit Spreads of Oil Companies? Evidence from the Upstream, Integrated and Downstream Industries," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
    9. Olayeni, Olaolu Richard & Tiwari, Aviral Kumar & Wohar, Mark E., 2020. "Global economic activity, crude oil price and production, stock market behaviour and the Nigeria-US exchange rate," Energy Economics, Elsevier, vol. 92(C).
    10. Kumar, Suresh & Choudhary, Sangita & Singh, Gurcharan & Singhal, Shelly, 2021. "Crude oil, gold, natural gas, exchange rate and indian stock market: Evidence from the asymmetric nonlinear ARDL model," Resources Policy, Elsevier, vol. 73(C).
    11. Mensah, Lord & Obi, Pat & Bokpin, Godfred, 2017. "Cointegration test of oil price and us dollar exchange rates for some oil dependent economies," Research in International Business and Finance, Elsevier, vol. 42(C), pages 304-311.
    12. Lin, Boqiang & Su, Tong, 2020. "Does oil price have similar effects on the exchange rates of BRICS?," International Review of Financial Analysis, Elsevier, vol. 69(C).
    13. Wu, Tao & An, Feng & Gao, Xiangyun & Wang, Ze, 2023. "Hidden causality between oil prices and exchange rates," Resources Policy, Elsevier, vol. 82(C).
    14. Qiang Ji & Syed Jawad Hussain Shahzad & Elie Bouri & Muhammad Tahir Suleman, 2020. "Dynamic structural impacts of oil shocks on exchange rates: lessons to learn," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 9(1), pages 1-19, December.
    15. Lv, Xin & Lien, Donald & Chen, Qian & Yu, Chang, 2018. "Does exchange rate management affect the causality between exchange rates and oil prices? Evidence from oil-exporting countries," Energy Economics, Elsevier, vol. 76(C), pages 325-343.
    16. Wang, Fang & Han, Guosheng, 2023. "Coupling correlation adaptive detrended analysis for multiple nonstationary series," Chaos, Solitons & Fractals, Elsevier, vol. 177(C).
    17. Maud Korley & Evangelos Giouvris, 2022. "The Impact of Oil Price and Oil Volatility Index (OVX) on the Exchange Rate in Sub-Saharan Africa: Evidence from Oil Importing/Exporting Countries," Economies, MDPI, vol. 10(11), pages 1-29, November.
    18. Kyriaki G. Louka & Nektarios A. Michail, 2024. "Oil prices and the euro exchange rate," International Economics and Economic Policy, Springer, vol. 21(4), pages 969-983, October.
    19. Shang, Jin & Hamori, Shigeyuki, 2021. "Do crude oil prices and the sentiment index influence foreign exchange rates differently in oil-importing and oil-exporting countries? A dynamic connectedness analysis," Resources Policy, Elsevier, vol. 74(C).
    20. Kumar, Pawan & Singh, Vipul Kumar, 2022. "Does crude oil fire the emerging markets currencies contagion spillover? A systemic perspective," Energy Economics, Elsevier, vol. 116(C).
    21. Jung, Young Cheol & Das, Anupam & McFarlane, Adian, 2020. "The asymmetric relationship between the oil price and the US-Canada exchange rate," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 198-206.
    22. Ding, Qian & Huang, Jianbai & Chen, Jinyu, 2021. "Dynamic and frequency-domain risk spillovers among oil, gold, and foreign exchange markets: Evidence from implied volatility," Energy Economics, Elsevier, vol. 102(C).
    23. Habimana, Olivier, 2016. "Oil price, exchange rate and consumer price co-movement: A continuous-wavelet analysis," MPRA Paper 71886, University Library of Munich, Germany.
    24. Xu, Yang & Han, Liyan & Wan, Li & Yin, Libo, 2019. "Dynamic link between oil prices and exchange rates: A non-linear approach," Energy Economics, Elsevier, vol. 84(C).
    25. Huang, Shupei & An, Haizhong & Lucey, Brian, 2020. "How do dynamic responses of exchange rates to oil price shocks co-move? From a time-varying perspective," Energy Economics, Elsevier, vol. 86(C).
    26. Marek Szturo & Bogdan Włodarczyk & Ireneusz Miciuła & Karolina Szturo, 2021. "The Essence of Relationships between the Crude Oil Market and Foreign Currencies Market Based on a Study of Key Currencies," Energies, MDPI, vol. 14(23), pages 1-17, November.
    27. Korotin, Vladimir & Dolgonosov, Maxim & Popov, Victor & Korotina, Olesya & Korolkova, Inna, 2019. "The Ukrainian crisis, economic sanctions, oil shock and commodity currency: Analysis based on EMD approach," Research in International Business and Finance, Elsevier, vol. 48(C), pages 156-168.
    28. Beckmann, Joscha & Czudaj, Robert L. & Arora, Vipin, 2020. "The relationship between oil prices and exchange rates: Revisiting theory and evidence," Energy Economics, Elsevier, vol. 88(C).
    29. Antonio J., Garzón & Luis A., Hierro, 2022. "Inflation, oil prices and exchange rates. The Euro’s dampening effect," Journal of Policy Modeling, Elsevier, vol. 44(1), pages 130-146.
    30. Alam, Md. Samsul & Shahzad, Syed Jawad Hussain & Ferrer, Román, 2019. "Causal flows between oil and forex markets using high-frequency data: Asymmetries from good and bad volatility," Energy Economics, Elsevier, vol. 84(C).
    31. Christoph Wegener & Tobias Basse & Frederik Kunze & Hans-Jörg von Mettenheim, 2016. "Oil prices and sovereign credit risk of oil producing countries: an empirical investigation," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1961-1968, December.
    32. Yuri Salazar Flores & Adán Díaz-Hernández, 2021. "Counterdiagonal/nonpositive tail dependence in Vine copula constructions: application to portfolio management," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(2), pages 375-407, June.

  31. Baur, Dirk G. & Beckmann, Joscha & Czudaj, Robert, 2016. "A melting pot — Gold price forecasts under model and parameter uncertainty," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 282-291.

    Cited by:

    1. Nima Nonejad, 2021. "An Overview Of Dynamic Model Averaging Techniques In Time‐Series Econometrics," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 566-614, April.
    2. Risse, Marian & Ohl, Ludwig, 2017. "Using dynamic model averaging in state space representation with dynamic Occam’s window and applications to the stock and gold market," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 158-176.
    3. Bonato, Matteo & Demirer, Riza & Gupta, Rangan & Pierdzioch, Christian, 2018. "Gold futures returns and realized moments: A forecasting experiment using a quantile-boosting approach," Resources Policy, Elsevier, vol. 57(C), pages 196-212.
    4. Pattnaik, Debidutta & Hassan, M. Kabir & DSouza, Arun & Ashraf, Ali, 2023. "Investment in gold: A bibliometric review and agenda for future research," Research in International Business and Finance, Elsevier, vol. 64(C).
    5. Dichtl, Hubert, 2020. "Forecasting excess returns of the gold market: Can we learn from stock market predictions?," Journal of Commodity Markets, Elsevier, vol. 19(C).
    6. Sui, Meng & Rengifo, Erick W. & Court, Eduardo, 2021. "Gold, inflation and exchange rate in dollarized economies – A comparative study of Turkey, Peru and the United States," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 82-99.
    7. Dong, Xiyong & Yoon, Seong-Min, 2019. "What global economic factors drive emerging Asian stock market returns? Evidence from a dynamic model averaging approach," Economic Modelling, Elsevier, vol. 77(C), pages 204-215.
    8. Krzysztof Drachal, 2018. "Some Novel Bayesian Model Combination Schemes: An Application to Commodities Prices," Sustainability, MDPI, vol. 10(8), pages 1-27, August.
    9. Baur, Dirk G. & Dichtl, Hubert & Drobetz, Wolfgang & Wendt, Viktoria-Sophie, 2020. "Investing in gold – Market timing or buy-and-hold?," International Review of Financial Analysis, Elsevier, vol. 71(C).
    10. Baur, Dirk G. & Beckmann, Joscha & Czudaj, Robert, 2016. "The relative valuation of gold," Ruhr Economic Papers 604, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    11. Risse, Marian, 2019. "Combining wavelet decomposition with machine learning to forecast gold returns," International Journal of Forecasting, Elsevier, vol. 35(2), pages 601-615.
    12. Vasilios Plakandaras & Periklis Gogas & Theophilos Papadimitriou, 2021. "Gold Against the Machine," Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 5-28, January.
    13. Mensi, Walid & Sensoy, Ahmet & Vo, Xuan Vinh & Kang, Sang Hoon, 2020. "Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices," Resources Policy, Elsevier, vol. 69(C).
    14. Nonejad, Nima, 2021. "Predicting equity premium using dynamic model averaging. Does the state–space representation matter?," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    15. Krzysztof Drachal, 2019. "Analysis of Agricultural Commodities Prices with New Bayesian Model Combination Schemes," Sustainability, MDPI, vol. 11(19), pages 1-23, September.
    16. Drachal, Krzysztof, 2019. "Forecasting prices of selected metals with Bayesian data-rich models," Resources Policy, Elsevier, vol. 64(C).
    17. Plakandaras, Vasilios & Ji, Qiang, 2022. "Intrinsic decompositions in gold forecasting," Journal of Commodity Markets, Elsevier, vol. 28(C).

  32. Robert Czudaj & Jan Prüser, 2015. "International parity relationships between Germany and the USA revisited: evidence from the post-DM period," Applied Economics, Taylor & Francis Journals, vol. 47(26), pages 2745-2767, June.

    Cited by:

    1. Manabu Asai & Shelton Peiris & Michael McAleer & David E. Allen, 2018. "Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates," Documentos de Trabajo del ICAE 2018-22, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    2. António Afonso & José Alves & Wojciech Grabowski & Sofia Monteiro, 2025. "Stock and sovereign returns linkages: time-varying causality and extreme-quantile determinants," Working Papers REM 2025/0366, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    3. Nikolaos Giannellis & Minoas Koukouritakis, 2016. "Eurozone's Leader and its Followers: Are their Markets Integrated Enough?," Working Papers 1607, University of Crete, Department of Economics.
    4. Asai, M. & Peiris, S. & McAleer, M.J. & Allen, D.E., 2018. "Cointegrated Dynamics for A Generalized Long Memory Process," Econometric Institute Research Papers EI 2018-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

  33. Beckmann, Joscha & Berger, Theo & Czudaj, Robert, 2015. "Does gold act as a hedge or a safe haven for stocks? A smooth transition approach," Economic Modelling, Elsevier, vol. 48(C), pages 16-24.
    See citations under working paper version above.
  34. Christoph Hanck & Robert Czudaj, 2015. "Nonstationary-volatility robust panel unit root tests and the great moderation," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 99(2), pages 161-187, April.
    See citations under working paper version above.
  35. Joscha Beckmann & Ansgar Belke & Robert Czudaj, 2015. "Productivity Shocks and Real Effective Exchange Rates," Review of Development Economics, Wiley Blackwell, vol. 19(3), pages 502-515, August.

    Cited by:

    1. Josh R. Stillwagon, 2014. "Non-Linear Exchange Rate Relationships: An Automated Model Selection Approach with Indicator Saturation," Working Papers 1405, Trinity College, Department of Economics.
    2. Juan Carlos Cuestas, 2019. "On the evolution of competitiveness in Central and Eastern Europe: Is it broken?," Working Papers 2019/07, Economics Department, Universitat Jaume I, Castellón (Spain).
    3. Jingfei Wu & Mohsen Bahmani-Oskooee & Tsangyao Chang, 2018. "Revisiting purchasing power parity in G6 countries: an application of smooth time-varying cointegration approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 187-196, February.

  36. Beckmann, Joscha & Czudaj, Robert & Pilbeam, Keith, 2015. "Causality and volatility patterns between gold prices and exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 292-300.

    Cited by:

    1. Chiang, Thomas C., 2022. "The effects of economic uncertainty, geopolitical risk and pandemic upheaval on gold prices," Resources Policy, Elsevier, vol. 76(C).
    2. Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch, 2015. "On Exchange-Rate Movements and Gold-Price Fluctuations: Evidence for Gold-Producing Countries from a Nonparametric Causality-in-Quantiles Test," Working Papers 201598, University of Pretoria, Department of Economics.
    3. Su, Chi-Wei & Pang, Lidong & Umar, Muhammad & Lobonţ, Oana-Ramona & Moldovan, Nicoleta-Claudia, 2022. "Does gold's hedging uncertainty aura fade away?," Resources Policy, Elsevier, vol. 77(C).
    4. Roman Grynberg & Teresa Kaulihowa & Fwasa K Singogo, 2019. "Structural Changes of the 21st Century and their Impact on the Gold Price," Journal of Economics and Behavioral Studies, AMH International, vol. 11(3), pages 72-83.
    5. Shahbaz, Muhammad & Balcilar, Mehmet & Abidin Ozdemir, Zeynel, 2017. "Does oil predict gold? A nonparametric causality-in-quantiles approach," Resources Policy, Elsevier, vol. 52(C), pages 257-265.
    6. Qian, Yao & Ralescu, Dan A. & Zhang, Bo, 2019. "The analysis of factors affecting global gold price," Resources Policy, Elsevier, vol. 64(C).
    7. Gozgor, Giray & Lau, Chi Keung Marco & Sheng, Xin & Yarovaya, Larisa, 2019. "The role of uncertainty measures on the returns of gold," Economics Letters, Elsevier, vol. 185(C).
    8. Joscha Beckmann & Theo Berger & Robert Czudaj, 2019. "Gold price dynamics and the role of uncertainty," Quantitative Finance, Taylor & Francis Journals, vol. 19(4), pages 663-681, April.
    9. Golitsis, Petros & Gkasis, Pavlos & Bellos, Sotirios K., 2022. "Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    10. Qin, Meng & Su, Chi-Wei & Pirtea, Marilen Gabriel & Dumitrescu Peculea, Adelina, 2023. "The essential role of Russian geopolitics: A fresh perception into the gold market," Resources Policy, Elsevier, vol. 81(C).
    11. Cai, Yifei & Chang, Hao-Wen & Xiang, Feiyun & Chang, Tsangyao, 2023. "Can precious metals hedge the risks of Sino–US political relation?–Evidence from Toda–Yamamoto causality test in quantiles," Finance Research Letters, Elsevier, vol. 58(PA).
    12. Hemant Manuj, 2021. "Is Gold a Hedge against Stock Price Risk in U.S. or Indian Markets?," Risks, MDPI, vol. 9(10), pages 1-14, September.
    13. Naeem, Muhammad Abubakr & Qureshi, Fiza & Arif, Muhammad & Balli, Faruk, 2021. "Asymmetric relationship between gold and Islamic stocks in bearish, normal and bullish market conditions," Resources Policy, Elsevier, vol. 72(C).
    14. Le, Thai-Ha & Chang, Youngho, 2016. "Dynamics between strategic commodities and financial variables: Evidence from Japan," Resources Policy, Elsevier, vol. 50(C), pages 1-9.
    15. Chi-Wei Su & Lidong Pang & Muhammad Umar & Oana-Ramona Lobonţ, 2022. "Will Gold Always Shine amid World Uncertainty?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 58(12), pages 3425-3438, September.
    16. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2016. "Are precious metals a hedge against exchange-rate movements? An empirical exploration using bayesian additive regression trees," The North American Journal of Economics and Finance, Elsevier, vol. 38(C), pages 27-38.
    17. Zulfiqar Ali Imran & Muhammad Ahad, 2022. "Safe-haven investments against stock returns in Pakistan: a role of real estate, gold, oil and US dollar," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 16(1), pages 167-189, February.
    18. Imran, Zulfiqar Ali & Ahad, Muhammad, 2021. "Safe Haven or Hedge: Diversification Abilities of Asset Classes in Pakistan," MPRA Paper 107613, University Library of Munich, Germany, revised 02 May 2021.
    19. Akbar, Muhammad & Iqbal, Farhan & Noor, Farzana, 2019. "Bayesian analysis of dynamic linkages among gold price, stock prices, exchange rate and interest rate in Pakistan," Resources Policy, Elsevier, vol. 62(C), pages 154-164.
    20. Trabelsi, Nader & Gozgor, Giray & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2021. "Effects of Price of Gold on Bombay Stock Exchange Sectoral Indices: New Evidence for Portfolio Risk Management," Research in International Business and Finance, Elsevier, vol. 55(C).
    21. Chen, Jinyu & Wang, Yilin & Ren, Xiaohang, 2023. "Asymmetric effect of financial stress on China’s precious metals market: Evidence from a quantile-on-quantile regression," Research in International Business and Finance, Elsevier, vol. 64(C).
    22. Salman, Firdaus & Masih, Mansur, 2017. "Is gold worth an investment ? a case study of Malaysia," MPRA Paper 108469, University Library of Munich, Germany.
    23. Zhang, Pinyi & Ci, Bicong, 2020. "Deep belief network for gold price forecasting," Resources Policy, Elsevier, vol. 69(C).
    24. Swamy, Vighneswara & Lagesh, M.A., 2023. "Does happy Twitter forecast gold price?," Resources Policy, Elsevier, vol. 81(C).
    25. Bilgin, Mehmet Huseyin & Gozgor, Giray & Lau, Chi Keung Marco & Sheng, Xin, 2018. "The effects of uncertainty measures on the price of gold," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 1-7.
    26. Zhong, Wanxing & Kong, Rui & Chen, Guang, 2019. "Gold prices fluctuation of co-movement forecast between China and Russia," Resources Policy, Elsevier, vol. 62(C), pages 218-230.
    27. Qureshi, Saba & Rehman, Ijaz Ur & Qureshi, Fiza, 2018. "Does gold act as a safe haven against exchange rate fluctuations? The case of Pakistan rupee," Journal of Policy Modeling, Elsevier, vol. 40(4), pages 685-708.
    28. Taoufik Bouraoui & Helmi Hammami, 2017. "Does political instability affect exchange rates in Arab Spring countries?," Applied Economics, Taylor & Francis Journals, vol. 49(55), pages 5627-5637, November.

  37. Beckmann, Joscha & Belke, Ansgar & Czudaj, Robert, 2014. "Does global liquidity drive commodity prices?," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 224-234.

    Cited by:

    1. Shahriyar Aliyev & Evzen Kocenda, 2020. "ECB Monetary Policy and Commodity Prices," Working Papers IES 2020/8, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2020.
    2. Kang, Wensheng & Ratti, Ronald. A. & Vespignani, Joaquin, 2016. "The implications of liquidity expansion in China for the US dollar," Working Papers 2016-02, University of Tasmania, Tasmanian School of Business and Economics.
    3. Liu, Jingzhen & Kemp, Alexander, 2019. "Forecasting the sign of U.S. oil and gas industry stock index excess returns employing macroeconomic variables," Energy Economics, Elsevier, vol. 81(C), pages 672-686.
    4. Rodrigo da Silva Souza & Leonardo Bornacki Mattos, 2022. "Oil price shocks and global liquidity: macroeconomic effects on the Brazilian real," International Economics and Economic Policy, Springer, vol. 19(4), pages 761-781, October.
    5. Ivan, Miruna-Daniela & Banti, Chiara & Kellard, Neil, 2022. "Prime money market funds regulation, global liquidity, and the crude oil market," Journal of International Money and Finance, Elsevier, vol. 127(C).
    6. Juan Ignacio Guzmán & Enrique Silva, 2018. "Copper price determination: fundamentals versus non-fundamentals," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 31(3), pages 283-300, October.
    7. Hyunju Kang & Bok-Keun Yu & Jongmin Yu, 2016. "Global Liquidity and Commodity Prices," Review of International Economics, Wiley Blackwell, vol. 24(1), pages 20-36, February.
    8. Joscha Beckmann & Robert Czudaj, 2018. "Monetary policy shocks, expectations and information rigidities," Chemnitz Economic Papers 019, Department of Economics, Chemnitz University of Technology.
    9. Smimou, K., 2017. "Does gold Liquidity learn from the greenback or the equity?," Research in International Business and Finance, Elsevier, vol. 41(C), pages 461-479.
    10. Zhang, Dayong & Broadstock, David C., 2020. "Global financial crisis and rising connectedness in the international commodity markets," International Review of Financial Analysis, Elsevier, vol. 68(C).
    11. Bessler, Wolfgang & Wolff, Dominik, 2015. "Do commodities add value in multi-asset portfolios? An out-of-sample analysis for different investment strategies," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 1-20.
    12. Agnello, Luca & Castro, Vítor & Hammoudeh, Shawkat & Sousa, Ricardo M., 2020. "Global factors, uncertainty, weather conditions and energy prices: On the drivers of the duration of commodity price cycle phases," Energy Economics, Elsevier, vol. 90(C).
    13. Ellington, Michael & Milas, Costas, 2019. "Global liquidity, money growth and UK inflation," Journal of Financial Stability, Elsevier, vol. 42(C), pages 67-74.
    14. Loïc Maréchal, 2023. "A tale of two premiums revisited," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(5), pages 580-614, May.
    15. Aydin, Celil & Esen, Ömer, 2018. "Does the level of energy intensity matter in the effect of energy consumption on the growth of transition economies? Evidence from dynamic panel threshold analysis," Energy Economics, Elsevier, vol. 69(C), pages 185-195.
    16. Liu, Yang & Han, Liyan & Xu, Yang, 2021. "The impact of geopolitical uncertainty on energy volatility," International Review of Financial Analysis, Elsevier, vol. 75(C).
    17. Ronald A. Ratti & Joaquin L. Vespignani, 2015. "What drives the global interest rate," Globalization Institute Working Papers 241, Federal Reserve Bank of Dallas.
    18. Zhiping Zhou & Xuan Zhang, 2022. "Quantifying nonlinear effects of BRIC and G4 liquidity on oil prices," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-13, December.
    19. Ratti, Ronald A. & Vespignani, Joaquin L., 2015. "Commodity prices and BRIC and G3 liquidity: A SFAVEC approach," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 18-33.
    20. Ding, Qian & Huang, Jianbai & Zhang, Hongwei, 2021. "The time-varying effects of financial and geopolitical uncertainties on commodity market dynamics: A TVP-SVAR-SV analysis," Resources Policy, Elsevier, vol. 72(C).
    21. Shahbaz, Muhammad & Zakaria, Muhammad & Syed, Jawad & Kumar, Mantu, 2018. "The Energy Consumption and Economic Growth Nexus in Top Ten Energy-Consuming Countries: Fresh Evidence from Using the Quantile-on-Quantile Approach," MPRA Paper 84920, University Library of Munich, Germany, revised 01 Mar 2018.
    22. Martin Enilov & Giorgio Fazio & Atanu Ghoshray, 2023. "Global connectivity between commodity prices and national stock markets: A time‐varying MIDAS analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2607-2619, July.
    23. Ahmet Ihsan Kaya & Lutfi Erden & Ibrahim Ozkan, 2022. "Detecting capital flow surges in developing countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3510-3530, July.
    24. Joscha Beckmann & Mariarosaria Comunale, 2020. "Exchange rate fluctuations and the financial channel in emerging economies," Bank of Lithuania Working Paper Series 83, Bank of Lithuania.
    25. BenSaïda, Ahmed & Litimi, Houda & Abdallah, Oussama, 2018. "Volatility spillover shifts in global financial markets," Economic Modelling, Elsevier, vol. 73(C), pages 343-353.
    26. Lyu, Yongjian & Yi, Heling & Cao, Jin & Yang, Mo, 2022. "Time-varying monetary policy shocks and the dynamics of Chinese commodity prices," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
    27. Hoang, Thi Hong Van & Shahzad, Syed Jawad Hussain & Czudaj, Robert L., 2020. "Renewable energy consumption and industrial production: A disaggregated time-frequency analysis for the U.S," Energy Economics, Elsevier, vol. 85(C).
    28. Joscha Beckmann & Robert L. Czudaj, 2020. "Net Foreign Asset Positions, Capital Flows and GDP Spillovers," Open Economies Review, Springer, vol. 31(2), pages 295-308, April.
    29. Israr Ahmad Shah Hashmi & Arshad Ali Bhatti, 2019. "On the monetary measures of global liquidity," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-23, December.
    30. Kpughur Moses Tule & Osana Jackson Odonye & Udoma Johnson Afangideh & Godday Uwawunkonye Ebuh & Elijah Abasifreke Paul Udoh & Augustine Ujunwa, 2019. "Assessing the spillover effects of U.S. monetary policy normalization on Nigeria sovereign bond yield," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-16, December.
    31. Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin L., 2016. "The implications of monetary expansion in China for the US dollar," Journal of Asian Economics, Elsevier, vol. 46(C), pages 71-84.
    32. Anthony N. Rezitis & Panagiotis Andrikopoulos & Theodoros Daglis, 2024. "Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(3), pages 451-483, March.
    33. Khalid M. Kisswani & Mahelet G. Fikru, 2023. "A Review of Econometric Approaches for the Oil Price-Exchange Rate Nexus: Lessons for ASEAN-5 Countries," Energies, MDPI, vol. 16(9), pages 1-15, April.
    34. Joscha Beckmann & Robert Czudaj, 2017. "Effective Exchange Rates, Current Accounts and Global Imbalances," Review of International Economics, Wiley Blackwell, vol. 25(3), pages 500-533, August.
    35. Han, Liyan & Jin, Jiayu & Wu, Lei & Zeng, Hongchao, 2020. "The volatility linkage between energy and agricultural futures markets with external shocks," International Review of Financial Analysis, Elsevier, vol. 68(C).
    36. Brana, Sophie & Prat, Stéphanie, 2016. "The effects of global excess liquidity on emerging stock market returns: Evidence from a panel threshold model," Economic Modelling, Elsevier, vol. 52(PA), pages 26-34.
    37. Mesut Turkay, 2018. "Does International Liquidity Matter For G-7 Countries? A PVAR Approach," International Econometric Review (IER), Econometric Research Association, vol. 10(1), pages 1-13, April.
    38. Juan Laborda & Sonia Ruano & Ignacio Zamanillo, 2023. "Multi-Country and Multi-Horizon GDP Forecasting Using Temporal Fusion Transformers," Mathematics, MDPI, vol. 11(12), pages 1-26, June.
    39. Wang, Qiao & Balvers, Ronald, 2021. "Determinants and predictability of commodity producer returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
    40. Belke, Ansgar & Rees, Andreas, 2014. "Globalisation and monetary policy—A FAVAR analysis for the G7 and the eurozone," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 306-321.
    41. Grassi, Stefano & Ravazzolo, Francesco & Vespignani, Joaquin & Vocalelli, Giorgio, 2023. "Global money supply and energy and non-energy commodity prices: A MS-TV-VAR approach," Working Papers 2023-01, University of Tasmania, Tasmanian School of Business and Economics.
    42. Joscha Beckmann & Robert L. Czudaj, 2020. "Professional forecasters' expectations, consistency, and international spillovers," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1001-1024, November.
    43. Yang Liu & Liyan Han & Libo Yin, 2018. "Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(10), pages 1246-1261, October.
    44. Joscha Beckmann & Ansgar Belke & Irina Dubova, 2022. "What drives updates of inflation expectations? A Bayesian VAR analysis for the G‐7 countries," The World Economy, Wiley Blackwell, vol. 45(9), pages 2748-2765, September.
    45. Julio Pindado & Ignacio Requejo & Juan C. Rivera, 2020. "Does money supply shape corporate capital structure? International evidence from a panel data analysis," The European Journal of Finance, Taylor & Francis Journals, vol. 26(6), pages 554-584, April.
    46. Li, Bingxin, 2018. "Speculation, risk aversion, and risk premiums in the crude oil market," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 64-81.
    47. Libo Yin & Jing Nie & Liyan Han, 2020. "Intermediary asset pricing in commodity futures returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1711-1730, November.

  38. Joscha Beckmann & Robert Czudaj, 2014. "Non-linearities in the relationship of agricultural futures prices," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 41(1), pages 1-23, February.

    Cited by:

    1. Cornelis Gardebroek & Manuel A. Hernandez & Miguel Robles, 2016. "Market interdependence and volatility transmission among major crops," Agricultural Economics, International Association of Agricultural Economists, vol. 47(2), pages 141-155, March.
    2. Carlotta Penone & Samuele Trestini, 2022. "Testing for asymmetric cointegration of Italian agricultural commodities prices: Evidence from the futures-spot market relationship," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 68(2), pages 50-58.
    3. Karagiannis, Stelios & Panagopoulos, Yannis & Vlamis, Prodromos, 2015. "Are unleaded gasoline and diesel price adjustments symmetric? A comparison of the four largest EU retail fuel markets," Economic Modelling, Elsevier, vol. 48(C), pages 281-291.
    4. Jia, Rui-Lin & Wang, Dong-Hua & Tu, Jing-Qing & Li, Sai-Ping, 2016. "Correlation between agricultural markets in dynamic perspective—Evidence from China and the US futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 464(C), pages 83-92.
    5. Go, You-How & Lau, Wee-Yeap, 2020. "The impact of global financial crisis on informational efficiency: Evidence from price-volume relation in crude palm oil futures market," Journal of Commodity Markets, Elsevier, vol. 17(C).
    6. Bahram Adrangi & Arjun Chatrath & Saman Hatamerad & Kambiz Raffiee, 2025. "Equity Markets Volatility, Regime Dependence and Economic Uncertainty: The Case of Pacific Basin," Bulletin of Applied Economics, Risk Market Journals, vol. 12(1), pages 75-105.
    7. Czudaj Robert L., 2020. "The role of uncertainty on agricultural futures markets momentum trading and volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(3), pages 1-39, June.
    8. Bahram Adrangi & Arjun Chatrath & Kambiz Raffiee, 2025. "Latin American Equities, Volatility Regimes, and the US Economic Policy Uncertainty," Bulletin of Applied Economics, Risk Market Journals, vol. 12(2), pages 15-44.
    9. Haase, Marco & Seiler Zimmermann, Yvonne & Zimmermann, Heinz, 2016. "The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies," Journal of Commodity Markets, Elsevier, vol. 3(1), pages 1-15.
    10. Zhuo Chen & Bo Yan & Hanwen Kang & Liyu Liu, 2023. "Asymmetric price adjustment and price discovery in spot and futures markets of agricultural commodities," Review of Economic Design, Springer;Society for Economic Design, vol. 27(1), pages 139-162, February.
    11. Teresa Vollmer & Helmut Herwartz & Stephan von Cramon-Taubadel, 2020. "Measuring price discovery in the European wheat market using the partial cointegration approach," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 47(3), pages 1173-1200.
    12. Go, You-How & Lau, Wee-Yeap, 2024. "Terms of trade or market power? Further evidence from dynamic spillovers in return and volatility between Malaysian crude palm oil and foreign exchange markets," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
    13. Beckmann, Joscha & Czudaj, Robert, 2014. "Volatility transmission in agricultural futures markets," Economic Modelling, Elsevier, vol. 36(C), pages 541-546.
    14. Kurmas Akdogan, 2018. "Mean-reversion and structural change in European food prices," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 18(4), pages 163-173.
    15. Jean-Paul Chavas, 2025. "Stochastic instability: a dynamic quantile approach," Empirical Economics, Springer, vol. 68(2), pages 485-509, February.
    16. Lof, Matthijs & Nyberg, Henri, 2017. "Noncausality and the commodity currency hypothesis," Energy Economics, Elsevier, vol. 65(C), pages 424-433.
    17. Beckmann, Joscha & Belke, Ansgar & Czudaj, Robert, 2014. "Regime-dependent adjustment in energy spot and futures markets," Economic Modelling, Elsevier, vol. 40(C), pages 400-409.

  39. Beckmann, Joscha & Belke, Ansgar & Czudaj, Robert, 2014. "Regime-dependent adjustment in energy spot and futures markets," Economic Modelling, Elsevier, vol. 40(C), pages 400-409.

    Cited by:

    1. Chang, Chun-Ping & Lee, Chien-Chiang, 2015. "Do oil spot and futures prices move together?," Energy Economics, Elsevier, vol. 50(C), pages 379-390.
    2. Balli, Faruk & Balli, Hatice Ozer & Dang, Tam Hoang Nhat & Gabauer, David, 2023. "Contemporaneous and lagged R2 decomposed connectedness approach: New evidence from the energy futures market," Finance Research Letters, Elsevier, vol. 57(C).
    3. Marek Kwas & Michał Rubaszek, 2021. "Forecasting Commodity Prices: Looking for a Benchmark," Forecasting, MDPI, vol. 3(2), pages 1-13, June.
    4. Salami, Monsurat Ayojimi & Tanrıvermiş, Harun & Tanrıvermiş, Yesim, 2024. "Influence of Ukraine invasion by Russia on Turkish markets," The Journal of Economic Asymmetries, Elsevier, vol. 29(C).
    5. Mounir Ben Mbarek & Kais Saidi & Mohammad Mafizur Rahman, 2018. "Renewable and non-renewable energy consumption, environmental degradation and economic growth in Tunisia," Quality & Quantity: International Journal of Methodology, Springer, vol. 52(3), pages 1105-1119, May.
    6. Aydin, Celil & Esen, Ömer, 2018. "Does the level of energy intensity matter in the effect of energy consumption on the growth of transition economies? Evidence from dynamic panel threshold analysis," Energy Economics, Elsevier, vol. 69(C), pages 185-195.
    7. Rubaszek Michal & Karolak Zuzanna & Kwas Marek & Uddin Gazi Salah, 2020. "The role of the threshold effect for the dynamics of futures and spot prices of energy commodities," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(5), pages 1-20, December.
    8. Dong, Minyi & Chang, Chun-Ping & Gong, Qiang & Chu, Yin, 2019. "Revisiting global economic activity and crude oil prices: A wavelet analysis," Economic Modelling, Elsevier, vol. 78(C), pages 134-149.
    9. Shahbaz, Muhammad & Zakaria, Muhammad & Syed, Jawad & Kumar, Mantu, 2018. "The Energy Consumption and Economic Growth Nexus in Top Ten Energy-Consuming Countries: Fresh Evidence from Using the Quantile-on-Quantile Approach," MPRA Paper 84920, University Library of Munich, Germany, revised 01 Mar 2018.
    10. Jorge Antunes & Luis Alberiko Gil-Alana & Rossana Riccardi & Yong Tan & Peter Wanke, 2022. "Unveiling endogeneity and temporal dependence in energy prices and demand in Iberian countries: a stochastic hidden Markov model approach," Annals of Operations Research, Springer, vol. 313(1), pages 191-229, June.
    11. Beckmann, Joscha & Berger, Theo & Czudaj, Robert, 2015. "Does gold act as a hedge or a safe haven for stocks? A smooth transition approach," Economic Modelling, Elsevier, vol. 48(C), pages 16-24.
    12. Robert Czudaj, 2019. "Crude oil futures trading and uncertainty," Chemnitz Economic Papers 027, Department of Economics, Chemnitz University of Technology, revised Jan 2019.
    13. Jebabli, Ikram & Roubaud, David, 2018. "Time-varying efficiency in food and energy markets: Evidence and implications," Economic Modelling, Elsevier, vol. 70(C), pages 97-114.
    14. Hoang, Thi Hong Van & Shahzad, Syed Jawad Hussain & Czudaj, Robert L., 2020. "Renewable energy consumption and industrial production: A disaggregated time-frequency analysis for the U.S," Energy Economics, Elsevier, vol. 85(C).
    15. Dejan Živkov & Slavica Manić & Ivan Pavkov, 2022. "Nonlinear examination of the ‘Heat Wave’ and ‘Meteor Shower’ effects between spot and futures markets of the precious metals," Empirical Economics, Springer, vol. 63(2), pages 1109-1134, August.
    16. Long, Shaobo & Guo, Jiaqi, 2022. "Infectious disease equity market volatility, geopolitical risk, speculation, and commodity returns: Comparative analysis of five epidemic outbreaks," Research in International Business and Finance, Elsevier, vol. 62(C).
    17. Boying Li & Chun-Ping Chang & Yin Chu & Bo Sui, 2020. "Oil prices and geopolitical risks: What implications are offered via multi-domain investigations?," Energy & Environment, , vol. 31(3), pages 492-516, May.
    18. Xianfang Su & Huiming Zhu & Xinxia Yang, 2019. "Heterogeneous Causal Relationships between Spot and Futures Oil Prices: Evidence from Quantile Causality Analysis," Sustainability, MDPI, vol. 11(5), pages 1-17, March.
    19. Admasu Asfaw Maruta & Rajabrata Banerjee, 2021. "Does energy aid improve energy efficiency in developing countries?," Empirical Economics, Springer, vol. 61(1), pages 355-388, July.
    20. Charfeddine, Lanouar & Khediri, Karim Ben & Mrabet, Zouhair, 2019. "The forward premium anomaly in the energy futures markets: A time-varying approach," Research in International Business and Finance, Elsevier, vol. 47(C), pages 600-615.

  40. Joscha Beckmann & Ansgar Belke & Robert Czudaj, 2014. "The Importance of Global Shocks for National Policymakers – Rising Challenges for Sustainable Monetary Policies," The World Economy, Wiley Blackwell, vol. 37(8), pages 1101-1127, August.

    Cited by:

    1. Bouri, Elie & Harb, Etienne, 2022. "The size of good and bad volatility shocks does matter for spillovers," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    2. Belke, Ansgar & Osowski, Thomas, 2017. "International effects of euro area versus US policy uncertainty: A FAVAR approach," Ruhr Economic Papers 689, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    3. Belke, Ansgar & Dubova, Irina, 2017. "International spillovers in global asset markets," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168087, Verein für Socialpolitik / German Economic Association.
    4. Ronald A. Ratti & Joaquin L. Vespignani, 2015. "What drives the global interest rate," Globalization Institute Working Papers 241, Federal Reserve Bank of Dallas.
    5. Uluc Aysun & Takeshi Yagihashi, 2017. "The common sources of business cycles in Trans-Pacific countries and the U.S.? A comparison with NAFTA," Working Papers 2017-03, University of Central Florida, Department of Economics.
    6. Belke, Ansgar, 2014. "Exit Strategies and Their Impact on the Euro Area - A Model Based View," Ruhr Economic Papers 467, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    7. Stolbov, Mikhail, 2013. "Anatomy of international banking crises at the onset of the Great Recession," MPRA Paper 51236, University Library of Munich, Germany.
    8. Roy, Saktinil & Kemme, David M., 2020. "The run-up to the global financial crisis: A longer historical view of financial liberalization, capital inflows, and asset bubbles," International Review of Financial Analysis, Elsevier, vol. 69(C).
    9. Popiel Michal Ksawery, 2017. "Interest rate pass-through: a nonlinear vector error-correction approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(5), pages 1-20, December.
    10. Ansgar Belke & Florian Verheyen, 2014. "The Low-Interest-Rate Environment, Global Liquidity Spillovers and Challenges for Monetary Policy Ahead," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 56(2), pages 313-334, June.
    11. Belke, Ansgar & Rees, Andreas, 2014. "Globalisation and monetary policy—A FAVAR analysis for the G7 and the eurozone," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 306-321.
    12. Beckmann, Joscha & Belke, Ansgar & Czudaj, Robert, 2014. "Does global liquidity drive commodity prices?," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 224-234.
    13. Ratti, Ronald A. & Vespignani, Joaquin L., 2014. "Oil prices and the economy: A global perspective," MPRA Paper 59407, University Library of Munich, Germany.
    14. Ratti, Ronald A. & Vespignani, Joaquin L., 2016. "Oil prices and global factor macroeconomic variables," Energy Economics, Elsevier, vol. 59(C), pages 198-212.
    15. Selover, David D. & Yagihashi, Takeshi, 2015. "Examining industrial interdependence between Japan and South Korea: A FAVAR approach," Japan and the World Economy, Elsevier, vol. 36(C), pages 67-87.
    16. Ansgar Belke & Gunther Schnabl, 2015. "Exchange Rate Challenges in Emerging Markets and Developing Countries—Introduction," Review of Development Economics, Wiley Blackwell, vol. 19(3), pages 449-454, August.

  41. Beckmann, Joscha & Czudaj, Robert, 2014. "Volatility transmission in agricultural futures markets," Economic Modelling, Elsevier, vol. 36(C), pages 541-546.

    Cited by:

    1. Matteo Bonato & Oğuzhan Çepni & Rangan Gupta & Christian Pierdzioch, 2023. "El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 785-801, July.
    2. Jia, Rui-Lin & Wang, Dong-Hua & Tu, Jing-Qing & Li, Sai-Ping, 2016. "Correlation between agricultural markets in dynamic perspective—Evidence from China and the US futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 464(C), pages 83-92.
    3. Thi Hong Van Hoang & Zhenzhen Zhu & Bing Xiao & Wing‐keung Wong, 2018. "The seasonality of gold prices in China: Does the risk-aversion level matter?," Post-Print hal-01903522, HAL.
    4. Konstantinos D. Melas & Anastasia Faitatzoglou & Nektarios A. Michail & Anastasia Artemiou, 2024. "Volatility Spillovers among the Major Commodities: A Review," JRFM, MDPI, vol. 17(8), pages 1-36, August.
    5. de Oliveira, Felipe A. & Maia, Sinézio F. & de Jesus, Diego P. & Besarria, Cássio da N., 2018. "Which information matters to market risk spreading in Brazil? Volatility transmission modelling using MGARCH-BEKK, DCC, t-Copulas," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 83-100.
    6. Sensoy, Ahmet & Hacihasanoglu, Erk & Nguyen, Duc Khuong, 2015. "Dynamic convergence of commodity futures: Not all types of commodities are alike," Resources Policy, Elsevier, vol. 44(C), pages 150-160.
    7. Kun Ma & Gang Diao, 2017. "Study on spillover effect between international soybean market and China's domestic soybean market," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 35(84), pages 260-266, December.
    8. Kun Ma & Gang Diao, 2017. "Study on spillover effect between international soybean market and China's domestic soybean market," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 35(84), pages 260-266, December.
    9. Aliaga Lordemann, Javier & Mora-García, Claudio & Mulder, Nanno, 2021. "Speculation and price volatility in the coffee market," Documentos de Proyectos 46923, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    10. Śmiech, Sławomir & Papież, Monika & Fijorek, Kamil & Dąbrowski, Marek A., 2019. "What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-32.
    11. Zhou, Liyun & Huang, Jialiang, 2020. "Contagion of future-level sentiment in Chinese Agricultural Futures Markets," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
    12. Salah Uddin, Gazi & Lucey, Brian & Rahman, Md Lutfur & Stenvall, David, 2024. "Quantile coherency across bonds, commodities, currencies, and equities," Journal of Commodity Markets, Elsevier, vol. 33(C).
    13. Ayesha Sayed & Christo Auret, 2025. "Is corn still king? Unravelling time-varying interactions among soft commodities," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 15(1), pages 259-284, March.
    14. Chen, Xiangyu & Tongurai, Jittima, 2024. "Price spillovers and interdependences in China's agricultural commodity futures market: Evidence from the US-China trade dispute," International Review of Economics & Finance, Elsevier, vol. 96(PA).
    15. Ganneval, S., 2016. "Spatial price transmission on agricultural commodity markets under different volatility regimes," Economic Modelling, Elsevier, vol. 52(PA), pages 173-185.
    16. Caporin, Massimiliano & Naeem, Muhammad Abubakr & Arif, Muhammad & Hasan, Mudassar & Vo, Xuan Vinh & Hussain Shahzad, Syed Jawad, 2021. "Asymmetric and time-frequency spillovers among commodities using high-frequency data," Resources Policy, Elsevier, vol. 70(C).
    17. Qunwei Wang & Xingyu Dai & Dequn Zhou, 2020. "Dynamic Correlation and Risk Contagion Between “Black” Futures in China: A Multi-scale Variational Mode Decomposition Approach," Computational Economics, Springer;Society for Computational Economics, vol. 55(4), pages 1117-1150, April.
    18. Leung, Henry & Furfaro, Frank, 2020. "Comovement of dairy product futures and firm value: returns and volatility," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 64(3), July.
    19. Basher, Syed Abul & Sadorsky, Perry, 2016. "Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH," Energy Economics, Elsevier, vol. 54(C), pages 235-247.
    20. Ana I. Sanjuán-López & Philip J. Dawson, 2017. "Volatility Effects of Index Trading and Spillovers on US Agricultural Futures Markets: A Multivariate GARCH Approach," Journal of Agricultural Economics, Wiley Blackwell, vol. 68(3), pages 822-838, September.
    21. Ayesha Sayed & Christo Auret, 2020. "Volatility transmission in the South African white maize futures market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 10(1), pages 71-88, March.
    22. Beckmann, Joscha & Czudaj, Robert & Pilbeam, Keith, 2015. "Causality and volatility patterns between gold prices and exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 292-300.
    23. Ceballos, Francisco & Hernandez, Manuel A. & Minot, Nicholas & Robles, Miguel, 2015. "Grain price and volatility transmission from international to domestic markets in developing countries," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 206057, Agricultural and Applied Economics Association.
    24. Pattnaik, Debidutta & Kumar, Satish & Burton, Bruce & Lim, Weng Marc, 2022. "Economic Modelling at thirty-five: A retrospective bibliometric survey," Economic Modelling, Elsevier, vol. 107(C).
    25. Karanasos, Menelaos & Menla Ali, Faek & Margaronis, Zannis & Nath, Rajat, 2018. "Modelling time varying volatility spillovers and conditional correlations across commodity metal futures," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 246-256.
    26. Magkonis, Georgios & Tsouknidis, Dimitris A., 2017. "Dynamic spillover effects across petroleum spot and futures volatilities, trading volume and open interest," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 104-118.
    27. Sadorsky, Perry, 2014. "Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat," Energy Economics, Elsevier, vol. 43(C), pages 72-81.
    28. Chiang, Shu-Mei & Chen, Chun-Da & Huang, Chien-Ming, 2019. "Analyzing the impacts of foreign exchange and oil price on biofuel commodity futures," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 37-48.
    29. Cruz, Jose Cesar Jr. & Silveira, Rodrigo L. F. & Capitani, Daniel H. D. & Urso, Fabiana S. P. & Martines, Joao G. Filho, 2016. "The effect of Brazilian corn and soybean crop expansion on price and volatility transmission," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 236127, Agricultural and Applied Economics Association.
    30. Feng, Yun & Yang, Jie & Huang, Qian, 2023. "Multiscale correlation analysis of Sino-US corn futures markets and the impact of international crude oil price: A new perspective from the multifractal method," Finance Research Letters, Elsevier, vol. 53(C).
    31. Giannoccaro, Giacomo & de Gennaro, Bernardo C. & De Meo, Emilio & Prosperi, Maurizio, 2017. "Assessing farmers' willingness to supply biomass as energy feedstock: Cereal straw in Apulia (Italy)," Energy Economics, Elsevier, vol. 61(C), pages 179-185.
    32. Zhang, Chuanguo & Qu, Xuqin, 2015. "The effect of global oil price shocks on China's agricultural commodities," Energy Economics, Elsevier, vol. 51(C), pages 354-364.
    33. Dejan Živkov & Boris Kuzman & Jonel Subić, 2020. "What Bayesian quantiles can tell about volatility transmission between the major agricultural futures?," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 66(5), pages 215-225.
    34. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2017. "The kidnapping of Europe: High-order moments' transmission between developed and emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 96-115.
    35. Dejan Živkov & Jasmina Đurašković & Marina Gajić‐Glamočlija, 2022. "Multiscale downside risk interdependence between the major agricultural commodities," Agribusiness, John Wiley & Sons, Ltd., vol. 38(4), pages 990-1011, October.
    36. Rangan Gupta & Christian Pierdzioch, 2024. "Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices," Working Papers 202423, University of Pretoria, Department of Economics.
    37. Wang, Hao & Dong, Yizhe & Sun, Mingli & Shi, Baofeng & Ji, Hao, 2024. "Dynamic dependence of futures basis between the Chinese and international grains markets," Economic Modelling, Elsevier, vol. 130(C).
    38. Ahmadian-Yazdi, Farzaneh & Roudari, Soheil & Omidi, Vahid & Mensi, Walid & Al-Yahyaee, Khamis Hamed, 2024. "Contagion effect between fuel fossil energies and agricultural commodity markets and portfolio management implications," International Review of Economics & Finance, Elsevier, vol. 95(C).
    39. Kun Ma & Gang Diao, 2017. "Study on spillover effect between international soybean market and China's domestic soybean market," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 35(84), pages 260-266, December.
    40. Huayun Jiang & Neda Todorova & Eduardo Roca & Jen-Je Su, 2017. "Dynamics of volatility transmission between the U.S. and the Chinese agricultural futures markets," Applied Economics, Taylor & Francis Journals, vol. 49(34), pages 3435-3452, July.
    41. Lu, Xinjie & Su, Yuandong & Huang, Dengshi, 2023. "Chinese agricultural futures volatility: New insights from potential domestic and global predictors," International Review of Financial Analysis, Elsevier, vol. 89(C).
    42. Czudaj, Robert L., 2019. "Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach," Econometrics and Statistics, Elsevier, vol. 12(C), pages 78-145.
    43. Christian Gross, 2017. "Examining the Common Dynamics of Commodity Futures Prices," CQE Working Papers 6317, Center for Quantitative Economics (CQE), University of Muenster.
    44. Kang, Sang Hoon & McIver, Ron & Yoon, Seong-Min, 2017. "Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets," Energy Economics, Elsevier, vol. 62(C), pages 19-32.
    45. Felipe de Oliveira & Sinézio Fernandes Maia & Diego Pita de Jesus, 2017. "Which information matters to Market risk spreading in Brazil? Volatility transmission modeling using MGARH-BEKK, DCC, t-COPULAS," EcoMod2017 10378, EcoMod.
    46. Faruk Urak, 2025. "Unraveling Turkish agricultural market challenges: Consequences of COVID‐19, Russia–Ukraine conflict, and energy market dynamics," Agribusiness, John Wiley & Sons, Ltd., vol. 41(2), pages 307-341, April.
    47. Qingjie Zhou & Panpan Zhu & You Wu & Yinpeng Zhang, 2022. "Research on the Volatility of the Cotton Market under Different Term Structures: Perspective from Investor Attention," Sustainability, MDPI, vol. 14(21), pages 1-20, November.
    48. Qureshi, Saba & Rehman, Ijaz Ur & Qureshi, Fiza, 2018. "Does gold act as a safe haven against exchange rate fluctuations? The case of Pakistan rupee," Journal of Policy Modeling, Elsevier, vol. 40(4), pages 685-708.
    49. Zainudin, Ahmad Danial & Mohamad, Azhar, 2021. "Financial contagion in the futures markets amidst global geo-economic events," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 288-308.
    50. Hasanov, Akram Shavkatovich & Do, Hung Xuan & Shaiban, Mohammed Sharaf, 2016. "Fossil fuel price uncertainty and feedstock edible oil prices: Evidence from MGARCH-M and VIRF analysis," Energy Economics, Elsevier, vol. 57(C), pages 16-27.

  42. Beckmann, Joscha & Czudaj, Robert, 2013. "Gold as an inflation hedge in a time-varying coefficient framework," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 208-222.
    See citations under working paper version above.
  43. Beckmann, Joscha & Czudaj, Robert, 2013. "Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?," Energy Economics, Elsevier, vol. 40(C), pages 665-678.
    See citations under working paper version above.
  44. Joscha Beckmann & Robert Czudaj, 2013. "Oil and gold price dynamics in a multivariate cointegration framework," International Economics and Economic Policy, Springer, vol. 10(3), pages 453-468, September.

    Cited by:

    1. Beckmann, Joscha & Czudaj, Robert, 2013. "Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?," Energy Economics, Elsevier, vol. 40(C), pages 665-678.
    2. Bonato, Matteo & Demirer, Riza & Gupta, Rangan & Pierdzioch, Christian, 2018. "Gold futures returns and realized moments: A forecasting experiment using a quantile-boosting approach," Resources Policy, Elsevier, vol. 57(C), pages 196-212.
    3. Rehman, Mobeen Ur & Apergis, Nicholas, 2019. "Determining the predictive power between cryptocurrencies and real time commodity futures: Evidence from quantile causality tests," Resources Policy, Elsevier, vol. 61(C), pages 603-616.
    4. Shahbaz, Muhammad & Balcilar, Mehmet & Abidin Ozdemir, Zeynel, 2017. "Does oil predict gold? A nonparametric causality-in-quantiles approach," Resources Policy, Elsevier, vol. 52(C), pages 257-265.
    5. Papadamou, Stephanos & Kyriazis, Nikolaos A. & Tzeremes, Panayiotis & Corbet, Shaen, 2021. "Herding behaviour and price convergence clubs in cryptocurrencies during bull and bear markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
    6. Adekoya, Oluwasegun B. & Oliyide, Johnson A., 2021. "How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques," Resources Policy, Elsevier, vol. 70(C).
    7. Liao, Jianhui & Zhu, Xuehong & Chen, Jinyu, 2021. "Dynamic spillovers across oil, gold and stock markets in the presence of major public health emergencies," International Review of Financial Analysis, Elsevier, vol. 77(C).
    8. Abid, Fathi & Kaffel, Bilel, 2018. "Time–frequency wavelet analysis of the interrelationship between the global macro assets and the fear indexes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1028-1045.
    9. Jia, Zhenzhen & Tiwari, Sunil & Zhou, Jianhua & Farooq, Muhammad Umar & Fareed, Zeeshan, 2023. "Asymmetric nexus between Bitcoin, gold resources and stock market returns: Novel findings from quantile estimates," Resources Policy, Elsevier, vol. 81(C).
    10. Rohloff, Sebastian & Pierdzioch, Christian & Risse, Marian, 2014. "Fluctuations of the Real Exchange Rate, Real Interest Rates, and the Dynamics of the Price of Gold in a Small Open Economy," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100429, Verein für Socialpolitik / German Economic Association.
    11. Kumar, Suresh & Choudhary, Sangita & Singh, Gurcharan & Singhal, Shelly, 2021. "Crude oil, gold, natural gas, exchange rate and indian stock market: Evidence from the asymmetric nonlinear ARDL model," Resources Policy, Elsevier, vol. 73(C).
    12. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2015. "A real-time quantile-regression approach to forecasting gold returns under asymmetric loss," Resources Policy, Elsevier, vol. 45(C), pages 299-306.
    13. Rehman, Mobeen Ur & Vinh Vo, Xuan, 2020. "Cryptocurrencies and precious metals: A closer look from diversification perspective," Resources Policy, Elsevier, vol. 66(C).
    14. Gun Il Kim & Beakcheol Jang, 2023. "Petroleum Price Prediction with CNN-LSTM and CNN-GRU Using Skip-Connection," Mathematics, MDPI, vol. 11(3), pages 1-16, January.
    15. Shahzad, Syed Jawad Hussain & Raza, Naveed & Balcilar, Mehmet & Ali, Sajid & Shahbaz, Muhammad, 2017. "Can economic policy uncertainty and investors sentiment predict commodities returns and volatility?," Resources Policy, Elsevier, vol. 53(C), pages 208-218.
    16. Rangan Gupta & Anandamayee Majumdar & Christian Pierdzioch & Mark Wohar, 2016. "Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach," Working Papers 201626, University of Pretoria, Department of Economics.
    17. Guo Jianhua & Xu Songjin, 2014. "The Relationship and Spillover Effects between Chinese and Foreign Gold Markets an Empirical Study based on Var-Mvgarch-Bekk Model," Journal of Empirical Economics, Research Academy of Social Sciences, vol. 3(1), pages 25-30.
    18. Balcilar, Mehmet & Gupta, Rangan & Pierdzioch, Christian, 2016. "Does uncertainty move the gold price? New evidence from a nonparametric causality-in-quantiles test," Resources Policy, Elsevier, vol. 49(C), pages 74-80.
    19. Raza Syed Ali & Shah Nida & Ali Muhammad & Shahbaz Muhammad, 2021. "Do Exchange Rates Fluctuations Influence Gold Price in G7 Countries? New Insights from a Nonparametric Causality-in-Quantiles Test," Zagreb International Review of Economics and Business, Sciendo, vol. 24(2), pages 37-57.
    20. Le, Thai-Ha & Chang, Youngho, 2016. "Dynamics between strategic commodities and financial variables: Evidence from Japan," Resources Policy, Elsevier, vol. 50(C), pages 1-9.
    21. Baur, Dirk G. & Beckmann, Joscha & Czudaj, Robert, 2016. "The relative valuation of gold," Ruhr Economic Papers 604, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    22. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2016. "Are precious metals a hedge against exchange-rate movements? An empirical exploration using bayesian additive regression trees," The North American Journal of Economics and Finance, Elsevier, vol. 38(C), pages 27-38.
    23. Samih Antoine Azar, 2015. "The Relation of the US Dollar with Oil Prices, Gold Prices, and the US Stock Market," Research in World Economy, Research in World Economy, Sciedu Press, vol. 6(1), pages 159-171, March.
    24. Balcilar, Mehmet & Bonato, Matteo & Demirer, Riza & Gupta, Rangan, 2017. "The effect of investor sentiment on gold market return dynamics: Evidence from a nonparametric causality-in-quantiles approach," Resources Policy, Elsevier, vol. 51(C), pages 77-84.
    25. Mensi, Walid & Ziadat, Salem Adel & Rababa'a, Abdel Razzaq Al & Vo, Xuan Vinh & Kang, Sang Hoon, 2024. "Oil, gold and international stock markets: Extreme spillovers, connectedness and its determinants," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 1-17.
    26. Drachal, Krzysztof, 2016. "Forecasting spot oil price in a dynamic model averaging framework — Have the determinants changed over time?," Energy Economics, Elsevier, vol. 60(C), pages 35-46.
    27. Husain, Shaiara & Tiwari, Aviral Kumar & Sohag, Kazi & Shahbaz, Muhammad, 2019. "Connectedness among crude oil prices, stock index and metal prices: An application of network approach in the USA," Resources Policy, Elsevier, vol. 62(C), pages 57-65.
    28. Muhammad Shafiullah & Sajid M. Chaudhry & Muhammad Shahbaz & Juan C. Reboredo, 2021. "Quantile causality and dependence between crude oil and precious metal prices," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6264-6280, October.
    29. Paul J. J. Welfens & Nan Yu & David Hanrahan & Yong Geng, 2017. "The ETS in China and Europe: dynamics, policy options and global sustainability perspectives," International Economics and Economic Policy, Springer, vol. 14(3), pages 517-535, July.
    30. Charbel Bassil & Hassan Hamadi & Patrick Mardini, 2019. "Gold and oil prices: stable or unstable long-run relationship," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(1), pages 57-72, January.
    31. Aguilera, Roberto F. & Radetzki, Marian, 2017. "The synchronized and exceptional price performance of oil and gold: Explanations and prospects," Resources Policy, Elsevier, vol. 54(C), pages 81-87.
    32. Nawaz Ahmad & Syed Kashif Rafi & Muhammad Tariq, 2018. "Modeling Nonlinear Granger Causality And Co-Integration Between Gold Price Returns And Crude Oil Price Returns," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 14(2), pages 106-116.
    33. Christian Pierdzioch & Marian Risse, 2020. "Forecasting precious metal returns with multivariate random forests," Empirical Economics, Springer, vol. 58(3), pages 1167-1184, March.

  45. Beckmann, Joscha & Czudaj, Robert, 2013. "Oil prices and effective dollar exchange rates," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 621-636.

    Cited by:

    1. Beckmann, Joscha & Czudaj, Robert, 2013. "Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?," Energy Economics, Elsevier, vol. 40(C), pages 665-678.
    2. Salem Boubakri & Cyriac Guillaumin & Alexandre Silanine, 2019. "Non-linear relationship between real commodity price volatility and real effective exchange rate: The case of commodity-exporting countries," Post-Print halshs-02157574, HAL.
    3. Jin Shang & Shigeyuki Hamori, 2023. "Differential Tail Dependence between Crude Oil and Forex Markets in Oil-Importing and Oil-Exporting Countries during Recent Crisis Periods," Sustainability, MDPI, vol. 15(19), pages 1-24, October.
    4. Gomis-Porqueras, Pedro & Shi, Shuping & Tan, David, 2020. "Gold as a Financial Instrument," MPRA Paper 102782, University Library of Munich, Germany.
    5. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2015. "Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate," Energy Economics, Elsevier, vol. 48(C), pages 46-60.
    6. Baek, Jungho, 2023. "Supply and demand shocks in the global oil market: How much do they matter for exchange rates in OPEC members?," Resources Policy, Elsevier, vol. 81(C).
    7. Karol Szafranek, 2018. "Determinanty zmiennej w czasie korelacji pomiędzy cenami ropy naftowej a kursem walutowym dolara amerykańskiego," Bank i Kredyt, Narodowy Bank Polski, vol. 49(6), pages 671-708.
    8. Muhammad Shahbaz & Aviral Kumar Tiwari & Mohammad Iqbal Tahir, 2015. "Analyzing time-frequency relationship between oil price and exchange rate in Pakistan through wavelets," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(4), pages 690-704, April.
    9. Adekoya, Oluwasegun B. & Oliyide, Johnson A., 2021. "How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques," Resources Policy, Elsevier, vol. 70(C).
    10. Jungho Baek, 2021. "The role of crude oil prices in the movement of the Indonesian rupiah: a quantile ARDL approach," Economic Change and Restructuring, Springer, vol. 54(4), pages 975-994, November.
    11. Xu Gong & Mingchao Wang & Liuguo Shao, 2022. "The impact of macro economy on the oil price volatility from the perspective of mixing frequency," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4487-4514, October.
    12. Albulescu, Claudiu Tiberiu & Ajmi, Ahdi Noomen, 2021. "Oil price and US dollar exchange rate: Change detection of bi-directional causal impact," Energy Economics, Elsevier, vol. 100(C).
    13. Onder BUBERKOKU, 2017. "ABD Dolarinin Emtia Fiyatlari Uzerindeki Etkisinin Incelenmesi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 17(3), pages 323-336.
    14. Fasanya, Ismail O. & Adekoya, Oluwasegun B. & Adetokunbo, Abiodun M., 2021. "On the connection between oil and global foreign exchange markets: The role of economic policy uncertainty," Resources Policy, Elsevier, vol. 72(C).
    15. Jiang, Yong & Ren, Yi-Shuai & Narayan, Seema & Ma, Chao-Qun & Yang, Xiao-Guang, 2022. "Heterogeneity dependence between oil prices and exchange rate: Evidence from a parametric test of Granger causality in quantiles," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    16. Yang, Lu & Cai, Xiao Jing & Hamori, Shigeyuki, 2018. "What determines the long-term correlation between oil prices and exchange rates?," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 140-152.
    17. Sarit Maitra & Vivek Mishra & Sukanya Kundu & Manav Chopra, 2023. "Econometric Model Using Arbitrage Pricing Theory and Quantile Regression to Estimate the Risk Factors Driving Crude Oil Returns," Papers 2309.13096, arXiv.org, revised Oct 2023.
    18. Apergis, Nicholas, 2014. "Can gold prices forecast the Australian dollar movements?," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 75-82.
    19. Nazeer Ahmed & Ma Dingchou & Abdul Qayyum, 2021. "Further Evidence on Asymmetry in the Impact of Oil Price on Exchange Rate and Stock Price in China using Daily Data," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 13(5), pages 1-83, May.
    20. Jungho Baek & Yoon Jung Choi, 2021. "Do fluctuations in crude oil prices have symmetric or asymmetric effects on the real exchange rate? Empirical evidence from Indonesia," The World Economy, Wiley Blackwell, vol. 44(1), pages 312-325, January.
    21. Forhad, Md. Abdur Rahman & Alam, Md. Rafayet, 2022. "Impact of oil demand and supply shocks on the exchange rates of selected Southeast Asian countries," Global Finance Journal, Elsevier, vol. 54(C).
    22. Zoltán Lakner & Anna Kiss & József Popp & Zoltán Zéman & Domicián Máté & Judit Oláh, 2019. "From Basic Research to Competitiveness: An Econometric Analysis of the Global Pharmaceutical Sector," Sustainability, MDPI, vol. 11(11), pages 1-17, June.
    23. Wanling Huang & André Varella Mollick & Khoa Huu Nguyen, 2017. "Dynamic responses and tail-dependence among commodities, the US real interest rate and the dollar," Empirical Economics, Springer, vol. 53(3), pages 959-997, November.
    24. Krzysztof Drachal, 2018. "Exchange Rate and Oil Price Interactions in Selected CEE Countries," Economies, MDPI, vol. 6(2), pages 1-21, May.
    25. Baghestani, Hamid & Chazi, Abdelaziz & Khallaf, Ashraf, 2019. "A directional analysis of oil prices and real exchange rates in BRIC countries," Research in International Business and Finance, Elsevier, vol. 50(C), pages 450-456.
    26. Turhan, M. Ibrahim & Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk, 2014. "A view to the long-run dynamic relationship between crude oil and the major asset classes," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 286-299.
    27. Shahbaz, Muhammad & Zakaria, Muhammad & Syed, Jawad & Kumar, Mantu, 2018. "The Energy Consumption and Economic Growth Nexus in Top Ten Energy-Consuming Countries: Fresh Evidence from Using the Quantile-on-Quantile Approach," MPRA Paper 84920, University Library of Munich, Germany, revised 01 Mar 2018.
    28. Joscha Beckmann & Theo Berger & Robert Czudaj, 2016. "Oil price and FX-rates dependency," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 477-488, March.
    29. Aleksander Olstad & George Filis & Stavros Degiannakis, 2021. "Oil and currency volatilities: Co‐movements and hedging opportunities," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2351-2374, April.
    30. Lin, Boqiang & Su, Tong, 2020. "Does oil price have similar effects on the exchange rates of BRICS?," International Review of Financial Analysis, Elsevier, vol. 69(C).
    31. Wan, Jer-Yuh & Kao, Chung-Wei, 2015. "Interactions between oil and financial markets — Do conditions of financial stress matter?," Energy Economics, Elsevier, vol. 52(PA), pages 160-175.
    32. Walid Mensi & Shawkat Hammoude & Seong-Min Yoon, 2014. "Structural Breaks, Dynamic Correlations, Volatility Transmission, and Hedging Strategies for International Petroleum Prices and U.S. Dollar Exchange Rate," Working Papers 884, Economic Research Forum, revised Dec 2014.
    33. Beckmann, Joscha & Czudaj, Robert & Pilbeam, Keith, 2015. "Causality and volatility patterns between gold prices and exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 292-300.
    34. Ahmed, Syed Shujaat & Nazir, Sidra, 2016. "Oil Prices and REER with Impact of Regime Dummies," MPRA Paper 68779, University Library of Munich, Germany.
    35. Jiranyakul, Komain, 2014. "Oil price volatility and real effective exchange rate: the case of Thailand," MPRA Paper 57196, University Library of Munich, Germany.
    36. Balcilar, Mehmet & Hammoudeh, Shawkat & Asaba, Nwin-Anefo Fru, 2015. "A regime-dependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange rates," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 72-89.
    37. Salah A. Nusair & Khalid M. Kisswani, 2015. "Asian Real Exchange Rates And Oil Prices: A Cointegration Analysis Under Structural Breaks," Bulletin of Economic Research, Wiley Blackwell, vol. 67(S1), pages 1-25, December.
    38. Qiang Ji & Syed Jawad Hussain Shahzad & Elie Bouri & Muhammad Tahir Suleman, 2020. "Dynamic structural impacts of oil shocks on exchange rates: lessons to learn," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 9(1), pages 1-19, December.
    39. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2016. "Are precious metals a hedge against exchange-rate movements? An empirical exploration using bayesian additive regression trees," The North American Journal of Economics and Finance, Elsevier, vol. 38(C), pages 27-38.
    40. Lv, Xin & Lien, Donald & Chen, Qian & Yu, Chang, 2018. "Does exchange rate management affect the causality between exchange rates and oil prices? Evidence from oil-exporting countries," Energy Economics, Elsevier, vol. 76(C), pages 325-343.
    41. Lei Ming & Yao Shen & Shenggang Yang & Minyi Dong, 2022. "Contagion or flight‐to‐quality? The linkage between oil price and the US dollar based on the local Gaussian approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 722-750, April.
    42. Degiannakis, Stavros & Filis, George, 2016. "Forecasting oil price realized volatility: A new approach," MPRA Paper 69105, University Library of Munich, Germany.
    43. Singh, Vipul Kumar & Nishant, Shreyank & Kumar, Pawan, 2018. "Dynamic and directional network connectedness of crude oil and currencies: Evidence from implied volatility," Energy Economics, Elsevier, vol. 76(C), pages 48-63.
    44. Huang, Wanling & Mollick, André Varella & Nguyen, Khoa Huu, 2016. "U.S. stock markets and the role of real interest rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 231-242.
    45. Josh Stillwagon & Peter Sullivan, 2020. "Markov switching in exchange rate models: will more regimes help?," Empirical Economics, Springer, vol. 59(1), pages 413-436, July.
    46. Raheem, Ibrahim D., 2017. "Asymmetry and break effects of oil price -macroeconomic fundamentals dynamics: The trade effect channel," The Journal of Economic Asymmetries, Elsevier, vol. 16(C), pages 12-25.
    47. Daren Conrad & Jaymieon Jagessar, 2018. "Real Exchange Rate Misalignment and Economic Growth: The Case of Trinidad and Tobago," Economies, MDPI, vol. 6(4), pages 1-23, September.
    48. Laborda, Juan & Laborda, Ricardo & Olmo, Jose, 2014. "Optimal currency carry trade strategies," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 52-66.
    49. Libo Yin, 2022. "The role of intermediary capital risk in predicting oil volatility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 401-416, January.
    50. Drachal, Krzysztof, 2016. "Forecasting spot oil price in a dynamic model averaging framework — Have the determinants changed over time?," Energy Economics, Elsevier, vol. 60(C), pages 35-46.
    51. Narayan, Seema, 2013. "Foreign exchange markets and oil prices in Asia," Journal of Asian Economics, Elsevier, vol. 28(C), pages 41-50.
    52. An, Lian & Kim, Yoonbai & You, Yu, 2016. "Floating exchange rates and macroeconomic independence," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 23-35.
    53. Joscha Beckmann & Robert Czudaj, 2017. "Effective Exchange Rates, Current Accounts and Global Imbalances," Review of International Economics, Wiley Blackwell, vol. 25(3), pages 500-533, August.
    54. Gu, Fu & Wang, Jiqiang & Guo, Jianfeng & Fan, Ying, 2020. "Dynamic linkages between international oil price, plastic stock index and recycle plastic markets in China," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 167-179.
    55. Khraief, Naceur & Shahbaz, Muhammad & Mahalik, Mantu Kumar & Bhattacharya, Mita, 2021. "Movements of oil prices and exchange rates in China and India: New evidence from wavelet-based, non-linear, autoregressive distributed lag estimations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 563(C).
    56. Shamaila Butt & Suresh Ramakrishnan & Nanthakumar Loganathan & Muhammad Ali Chohan, 2020. "Evaluating the exchange rate and commodity price nexus in Malaysia: evidence from the threshold cointegration approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-19, December.
    57. Habimana, Olivier, 2016. "Oil price, exchange rate and consumer price co-movement: A continuous-wavelet analysis," MPRA Paper 71886, University Library of Munich, Germany.
    58. Blau, Benjamin M. & Griffith, Todd G. & Whitby, Ryan J., 2021. "Inflation and Bitcoin: A descriptive time-series analysis," Economics Letters, Elsevier, vol. 203(C).
    59. Xu, Yang & Han, Liyan & Wan, Li & Yin, Libo, 2019. "Dynamic link between oil prices and exchange rates: A non-linear approach," Energy Economics, Elsevier, vol. 84(C).
    60. Khalid M. Kisswani & Arezou Harraf & Amjad M. Kisswani, 2019. "Revisiting the effects of oil prices on exchange rate: asymmetric evidence from the ASEAN-5 countries," Economic Change and Restructuring, Springer, vol. 52(3), pages 279-300, August.
    61. Zankawah, Mutawakil M. & Stewart, Chris, 2019. "Measuring volatility spill-over effects of crude oil prices on Ghana’s exchange rate and stock market between 1991 and 2015," Economics Discussion Papers 2019-1, School of Economics, Kingston University London.
    62. Chang, Kuang-Liang, 2014. "The symmetrical and positive relationship between crude oil and nominal exchange rate returns," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 266-284.
    63. Papież, Monika & Śmiech, Sławomir, 2015. "Dynamic steam coal market integration: Evidence from rolling cointegration analysis," Energy Economics, Elsevier, vol. 51(C), pages 510-520.
    64. Marek Szturo & Bogdan Włodarczyk & Ireneusz Miciuła & Karolina Szturo, 2021. "The Essence of Relationships between the Crude Oil Market and Foreign Currencies Market Based on a Study of Key Currencies," Energies, MDPI, vol. 14(23), pages 1-17, November.
    65. Turhan, M. Ibrahim & Sensoy, Ahmet & Hacihasanoglu, Erk, 2014. "A comparative analysis of the dynamic relationship between oil prices and exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 397-414.
    66. Zhepeng Hu & Lei Yan, 2024. "Nonlinear responses of crude oil prices to the US dollar exchange rates: the role of inventories," Empirical Economics, Springer, vol. 66(4), pages 1491-1510, April.
    67. Abdul Razak Abdul Hadi & Hafezali Iqbal Hussain & Zalina Zainudin, 2019. "Did Conventional Interest Rate Influence Islamic Total Deposits? Evidence From January 2007 Till January 2019," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(5), pages 11-18, August.
    68. Beckmann, Joscha & Czudaj, Robert L. & Arora, Vipin, 2020. "The relationship between oil prices and exchange rates: Revisiting theory and evidence," Energy Economics, Elsevier, vol. 88(C).
    69. Emrah I. Cevik & Sel Dibooglu & Max Gillman & Szilard Benk, 2025. "Granger predictability of real oil prices by us money and inflation in Markov-switching regimes," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 15(1), pages 29-52, March.
    70. Salma Bibi & Mirajul Haq & Abdul Rashid, 2021. "Oil Price Fluctuation and Current Accounts: Exploring Mediation Effects for Oil Importing Nations," International Journal of Energy Economics and Policy, Econjournals, vol. 11(3), pages 517-528.
    71. Zhang, Xiang & Baek, Jungho, 2022. "The role of oil price shocks on exchange rates for the selected Asian countries: Asymmetric evidence from nonlinear ARDL and generalized IRFs approaches," Energy Economics, Elsevier, vol. 112(C).
    72. Antonio J., Garzón & Luis A., Hierro, 2022. "Inflation, oil prices and exchange rates. The Euro’s dampening effect," Journal of Policy Modeling, Elsevier, vol. 44(1), pages 130-146.
    73. Agudze, Komla & Ibhagui, Oyakhilome, 2020. "Oil Price Dynamics and Currency-Hedging Behavior," MPRA Paper 100949, University Library of Munich, Germany.
    74. Ogundipe, Adeyemi & Ogundipe, Oluwatomisin, 2013. "Oil Price and Exchange Rate Volatility in Nigeria," MPRA Paper 51668, University Library of Munich, Germany.
    75. Amin Sokhanvar & Chien-Chiang Lee, 2023. "How do energy price hikes affect exchange rates during the war in Ukraine?," Empirical Economics, Springer, vol. 64(5), pages 2151-2164, May.
    76. Radmila Krkošková, 2020. "Relationship Between the Brent Oil Price and the US Dollar Exchange Rate," Prague Economic Papers, Prague University of Economics and Business, vol. 2020(2), pages 187-206.
    77. Youssef, Manel & Mokni, Khaled, 2020. "Modeling the relationship between oil and USD exchange rates: Evidence from a regime-switching-quantile regression approach," Journal of Multinational Financial Management, Elsevier, vol. 55(C).
    78. Nusair, Salah A. & Olson, Dennis, 2019. "The effects of oil price shocks on Asian exchange rates: Evidence from quantile regression analysis," Energy Economics, Elsevier, vol. 78(C), pages 44-63.
    79. Olesia Kozlova & Jose Noguera-Santaella, 2019. "Relative efficiency of oil price versus oil output in promoting economic growth: Is OPEC’s strategy right?," Empirical Economics, Springer, vol. 57(6), pages 1997-2012, December.
    80. Sarit Maitra, 2023. "Impact of Economic Uncertainty, Geopolitical Risk, Pandemic, Financial & Macroeconomic Factors on Crude Oil Returns -- An Empirical Investigation," Papers 2310.01123, arXiv.org, revised Oct 2023.
    81. Joscha Beckmann & Dionysius Glycopantis & Keith Pilbeam, 2018. "The dollar–euro exchange rate and monetary fundamentals," Empirical Economics, Springer, vol. 54(4), pages 1389-1410, June.
    82. Albulescu, Claudiu Tiberiu & Demirer, Riza & Raheem, Ibrahim D. & Tiwari, Aviral Kumar, 2019. "Does the U.S. economic policy uncertainty connect financial markets? Evidence from oil and commodity currencies," Energy Economics, Elsevier, vol. 83(C), pages 375-388.

  46. Joscha Beckmann & Robert Czudaj, 2013. "The forward pricing function of industrial metal futures -- evidence from cointegration and smooth transition regression analysis," International Review of Applied Economics, Taylor & Francis Journals, vol. 27(4), pages 472-490, July.

    Cited by:

    1. Ciner, Cetin & Lucey, Brian & Yarovaya, Larisa, 2020. "Spillovers, integration and causality in LME non-ferrous metal markets," Journal of Commodity Markets, Elsevier, vol. 17(C).
    2. Duc Huynh, Toan Luu & Burggraf, Tobias & Nasir, Muhammad Ali, 2020. "Financialisation of natural resources & instability caused by risk transfer in commodity markets," Resources Policy, Elsevier, vol. 66(C).
    3. Beckmann, Joscha & Berger, Theo & Czudaj, Robert, 2015. "Does gold act as a hedge or a safe haven for stocks? A smooth transition approach," Economic Modelling, Elsevier, vol. 48(C), pages 16-24.
    4. Dejan Živkov & Slavica Manić & Ivan Pavkov, 2022. "Nonlinear examination of the ‘Heat Wave’ and ‘Meteor Shower’ effects between spot and futures markets of the precious metals," Empirical Economics, Springer, vol. 63(2), pages 1109-1134, August.
    5. Beckmann, Joscha & Czudaj, Robert, 2014. "Volatility transmission in agricultural futures markets," Economic Modelling, Elsevier, vol. 36(C), pages 541-546.
    6. Yahya, Muhammad & Ghosh, Sajal & Kanjilal, Kakali & Dutta, Anupam & Uddin, Gazi Salah, 2020. "Evaluation of cross-quantile dependence and causality between non-ferrous metals and clean energy indexes," Energy, Elsevier, vol. 202(C).
    7. Beckmann, Joscha & Belke, Ansgar & Czudaj, Robert, 2014. "Regime-dependent adjustment in energy spot and futures markets," Economic Modelling, Elsevier, vol. 40(C), pages 400-409.

  47. Robert Czudaj & Joscha Beckmann, 2012. "Spot and futures commodity markets and the unbiasedness hypothesis - evidence from a novel panel unit root test," Economics Bulletin, AccessEcon, vol. 32(2), pages 1695-1707.

    Cited by:

    1. Beckmann, Joscha & Czudaj, Robert, 2014. "Volatility transmission in agricultural futures markets," Economic Modelling, Elsevier, vol. 36(C), pages 541-546.
    2. Beckmann, Joscha & Belke, Ansgar & Czudaj, Robert, 2014. "Regime-dependent adjustment in energy spot and futures markets," Economic Modelling, Elsevier, vol. 40(C), pages 400-409.

  48. Czudaj, Robert, 2011. "P-star in times of crisis - Forecasting inflation for the euro area," Economic Systems, Elsevier, vol. 35(3), pages 390-407, September.

    Cited by:

    1. Beckmann, Joscha & Czudaj, Robert, 2012. "Gold as an Infl ation Hedge in a Time-Varying Coefficient Framework," Ruhr Economic Papers 362, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    2. Michael T. Belongia & Peter N. Ireland, 2022. "Strengthening the second pillar: a greater role for money in the ECB’s strategy," Applied Economics, Taylor & Francis Journals, vol. 54(1), pages 99-114, January.
    3. Sunil Paul & Sartaj Rasool Rather & M. Ramachandran, 2015. "Money and Inflation: Evidence from P-Star Model," Working Papers 2015-115, Madras School of Economics,Chennai,India.
    4. Imad Moosa & Basil Al-Nakeeb, 2020. "An augmented P-Star model of US inflation," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 10(4), pages 555-566, December.
    5. Tomislav Globan & Vladimir Arčabić & Petar Sorić, 2014. "Inflation in New EU Member States: A Domestically or Externally Driven Phenomenon?," EFZG Working Papers Series 1405, Faculty of Economics and Business, University of Zagreb.
    6. Rakesh Bissoondeeal & Michail Karoglou & Andy Mullineux, 2014. "Breaks in the UK Household Sector Money Demand Function," Manchester School, University of Manchester, vol. 82, pages 47-68, December.
    7. Chaubal Aditi, 2018. "P-star model for India: a nonlinear approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-28, December.
    8. Joscha Beckmann & Robert Czudaj, 2013. "Oil and gold price dynamics in a multivariate cointegration framework," International Economics and Economic Policy, Springer, vol. 10(3), pages 453-468, September.
    9. Johannes VAN DER POL, 2016. "The modelling of networks using Exponential Random Graph Models: an introduction," Cahiers du GREThA (2007-2019) 2016-22, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
    10. Johannes van Der Pol, 2017. "Introduction to network modeling using Exponential Random Graph models (ERGM)," Working Papers hal-01284994, HAL.

  49. Ansgar Belke & Robert Czudaj, 2010. "Is Euro Area Money Demand (Still) Stable? Cointegrated VAR Versus Single Equation Techniques," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, vol. 56(4), pages 285-315.
    See citations under working paper version above.

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