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Domenico Ferraro

Personal Details

First Name:Domenico
Middle Name:
Last Name:Ferraro
Suffix:
RePEc Short-ID:pfe393
[This author has chosen not to make the email address public]

Affiliation

Department of Economics
W.P. Carey School of Business
Arizona State University

Tempe, Arizona (United States)
http://wpcarey.asu.edu/ecn/

: (480) 965-5514
(480) 965-0748
Box 873806, Tempe, AZ 85287-3806
RePEc:edi:deasuus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Giuseppe Fiori & Domenico Ferraro, 2016. "Aging of the Baby Boomers: Demographics and Propagation of Tax Shocks," 2016 Meeting Papers 359, Society for Economic Dynamics.
  2. Domenico Ferraro, 2014. "The Asymmetric Cyclical Behavior of the U.S. Labor Market," 2014 Meeting Papers 1104, Society for Economic Dynamics.
  3. Ferraro, Domenico & Rogoff, Kenneth & Rossi, Barbara, 2011. "Can Oil Prices Forecast Exchange Rates?," CEPR Discussion Papers 8635, C.E.P.R. Discussion Papers.

Articles

  1. Domenico Ferraro, 2018. "The Asymmetric Cyclical Behavior of the U.S. Labor Market," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 30, pages 145-162, October.
  2. Ferraro, Domenico, 2017. "Volatility and slow technology diffusion," European Economic Review, Elsevier, vol. 96(C), pages 18-37.
  3. Ferraro, Domenico & Rogoff, Kenneth & Rossi, Barbara, 2015. "Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 116-141.

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. Giuseppe Fiori & Domenico Ferraro, 2016. "Aging of the Baby Boomers: Demographics and Propagation of Tax Shocks," 2016 Meeting Papers 359, Society for Economic Dynamics.

    Cited by:

    1. Hairault, Jean-Olivier & Zhutova, Anastasia, 2018. "The cyclicality of labor-market flows: A multiple-shock approach," European Economic Review, Elsevier, vol. 103(C), pages 150-172.
    2. Domenico Ferraro & Giuseppe Fiori, 2018. "The Scarring Effect of Asymmetric Business Cycles," 2018 Meeting Papers 283, Society for Economic Dynamics.
    3. Henrique S. Basso & Omar Rachedi, 2018. "The young, the old, and the government: demographics and fiscal multipliers," Working Papers 1837, Banco de España;Working Papers Homepage.

  2. Domenico Ferraro, 2014. "The Asymmetric Cyclical Behavior of the U.S. Labor Market," 2014 Meeting Papers 1104, Society for Economic Dynamics.

    Cited by:

    1. Merkl, Christian & Kohlbrecher, Britta, 2016. "Business Cycle Asymmetries and the Labor Market," Annual Conference 2016 (Augsburg): Demographic Change 145704, Verein für Socialpolitik / German Economic Association.
    2. Carlo Pizzinelli & Konstantinos Theodoridis & Francesco Zanetti, 2018. "State Dependence in Labor Market Fluctuations: Evidence,Theory, and Policy Implications," BCAM Working Papers 1801, Birkbeck Centre for Applied Macroeconomics.
    3. Antoine Lepetit, 2019. "Online Appendix to "Asymmetric Unemployment Fluctuations and Monetary Policy Trade-Offs"," Online Appendices 18-94, Review of Economic Dynamics.
    4. Eleni Iliopulos & Francois Langot & Thepthida Sopraseuth, 2019. "Welfare Cost of Fluctuations When Labor Market Search Interacts with Financial Frictions," Working Papers hal-02334103, HAL.
    5. Weber, Enzo & Gehrke, Britta, 2018. "Identifying Asymmetric Effects of Labor Market Reforms," Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181513, Verein für Socialpolitik / German Economic Association.
    6. Kasey Buckles & Daniel Hungerman & Steven Lugauer, 2018. "Is Fertility a Leading Economic Indicator?," NBER Working Papers 24355, National Bureau of Economic Research, Inc.
    7. Canyon Bosler & Mary C. Daly & John G. Fernald & Bart Hobijn, 2017. "The Outlook for U.S. Labor-Quality Growth," NBER Chapters, in: Education, Skills, and Technical Change: Implications for Future U.S. GDP Growth, pages 61-110, National Bureau of Economic Research, Inc.
    8. Julien Albertini & Arthur Poirier & Danilo Trupkin, 2019. "A Job Vacancy Rate for Argentina," Working Papers halshs-02146600, HAL.
    9. Dongya Koh & Raül Santaeulàlia-Llopis, 2017. "Countercyclical Elasticity of Substitution," Working Papers 946, Barcelona Graduate School of Economics.
    10. Antoine Lepetit, 2018. "Asymmetric Unemployment Fluctuations and Monetary Policy Trade-offs," Working Papers hal-01536416, HAL.
    11. Domenico Ferraro & Giuseppe Fiori, 2018. "The Scarring Effect of Asymmetric Business Cycles," 2018 Meeting Papers 283, Society for Economic Dynamics.
    12. Jitender Singh & Arup Mitra, 2016. "Cyclical asymmetries and short-run relation between employment and output: the case of organised manufacturing in India," The Indian Journal of Labour Economics, Springer;The Indian Society of Labour Economics (ISLE), vol. 59(2), pages 203-216, June.
    13. Francesco Corsello & Valerio Nispi Landi, 2018. "Labor market and financial shocks: a time varying analysis," Temi di discussione (Economic working papers) 1179, Bank of Italy, Economic Research and International Relations Area.
    14. Britta Kohlbrecher & Christian Merkl, 2016. "Business Cycle Asymmetries and the Labor Market," CESifo Working Paper Series 5803, CESifo Group Munich.

  3. Ferraro, Domenico & Rogoff, Kenneth & Rossi, Barbara, 2011. "Can Oil Prices Forecast Exchange Rates?," CEPR Discussion Papers 8635, C.E.P.R. Discussion Papers.

    Cited by:

    1. Rossi, José Luiz Júnior, 2013. "Liquidity and Exchange Rates," Insper Working Papers wpe_325, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    2. Adrien Verdelhan, 2012. "The Share of Systematic Variation in Bilateral Exchange Rates," 2012 Meeting Papers 763, Society for Economic Dynamics.
    3. Dunis, Christian & Kellard, Neil M. & Snaith, Stuart, 2013. "Forecasting EUR–USD implied volatility: The case of intraday data," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4943-4957.
    4. Francesco Ravazzolo & Tommy Sveen & Sepideh K. Zahiri, 2016. "Commodity Futures and Forecasting Commodity Currencies," Working Papers No 7/2016, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    5. Ferraro, Domenico & Rogoff, Kenneth & Rossi, Barbara, 2015. "Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 116-141.
    6. Lombardi, Marco J. & Ravazzolo, Francesco, 2016. "On the correlation between commodity and equity returns: Implications for portfolio allocation," Journal of Commodity Markets, Elsevier, vol. 2(1), pages 45-57.
    7. Hui Jun ZHANG & Jean-Marie DUFOUR & John W. GALBRAITH, 2013. "Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons," Cahiers de recherche 14-2013, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    8. Rossi Junior, Jose Luiz & Felicio, Wilson Rafael de Oliveira, 2014. "Common Factors and the Exchange Rate: Results From the Brazilian Case," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(1), April.
    9. Marcel Fratzscher & Daniel Schneider & Ine Van Robays, 2013. "Oil Prices, Exchange Rates and Asset Prices," CESifo Working Paper Series 4264, CESifo Group Munich.
    10. Emanuel Kohlscheen & Fernando Avalos & Andreas Schrimpf, 2017. "When the Walk Is Not Random: Commodity Prices and Exchange Rates," International Journal of Central Banking, International Journal of Central Banking, vol. 13(2), pages 121-158, June.
    11. Lasha Kavtaradze & Manouchehr Mokhtari, 2018. "Factor Models And Time†Varying Parameter Framework For Forecasting Exchange Rates And Inflation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 302-334, April.
    12. Andrey G. Shulgin, 2017. "A Simple Theoretical Setup for the Evaluation of Sterilized Intervention Effectiveness in a Small Open Commodity Exporting Economy," HSE Working papers WP BRP 170/EC/2017, National Research University Higher School of Economics.
    13. Amna Nazeer & Wu Jun & Khuram Shafi & Liu Yan Yan & Javed Altaf Satti, 2015. "United State’s Dollar & Economic Escalation: A Co Integration Case," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 5(1), pages 336-344, January.
    14. Felício, Wilson Rafael de Oliveira & Rossi, José Luiz Júnior, 2013. "Common factors and the exchange rate: results from the Brazilian case," Insper Working Papers wpe_318, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    15. IWAISAKO Tokuo & NAKATA Hayato, 2016. "Impacts of Oil Shocks on Exchange Rates and Macroeconomic Variables: A multi-country analysis," Discussion papers 16039, Research Institute of Economy, Trade and Industry (RIETI).
    16. Levent Bulut, 2017. "Does Statistical Significance Help to Evaluate Predictive Performance of Competing Models?," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 1(1), pages 1-13.
    17. 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.
    18. Tiwari, Aviral Kumar & Mutascu, Mihai Ioan & Albulescu, Claudiu Tiberiu, 2013. "The influence of the international oil prices on the real effective exchange rate in Romania in a wavelet transform framework," Energy Economics, Elsevier, vol. 40(C), pages 714-733.
    19. Basnet Hem C. & Vatsa Puneet & Sharma Subhash, 2014. "Common Trends and Common Cycles in Oil Price and Real Exchange Rate," Global Economy Journal, De Gruyter, vol. 14(2), pages 1-15, April.
    20. Zied Ftiti & Aviral Tiwari & Ibrahim Fatnassi, 2014. "Oil price and macroeconomy in India – An evolutionary cospectral coherence approach," Working Papers 2014-68, Department of Research, Ipag Business School.
    21. Ahmed, Shamim & Liu, Xiaoquan & Valente, Giorgio, 2016. "Can currency-based risk factors help forecast exchange rates?," International Journal of Forecasting, Elsevier, vol. 32(1), pages 75-97.
    22. A. Mikhailov Yu. & D. Burakov B. & V. Didenko Yu. & А. Михайлов Ю. & Д. Бураков В. & В. Диденко Ю., 2019. "Взаимосвязь цен на нефть и макроэкономических показателей в России // Relationship between Oil Price and Macroeconomic Indicators in Russia," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 23(2), pages 105-116.
    23. Selmi, Refk & Bouoiyour, Jamal & Ayachi, Fethi, 2012. "Another Look at the Interaction Between Oil Price Uncertainty and Exchange Rate Volatility: The Case of Small Open Economies," MPRA Paper 49144, University Library of Munich, Germany, revised Oct 2012.
    24. Apergis, Nicholas, 2019. "Oil prices and corporate high-yield spreads: Evidence from panels of nonenergy and energy European firms," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 34-40.
    25. Anthony Nyangarika & Alexey Mikhaylov & Ulf Henning Richter, 2019. "Oil Price Factors: Forecasting on the Base of Modified Auto-regressive Integrated Moving Average Model," International Journal of Energy Economics and Policy, Econjournals, vol. 9(1), pages 149-159.
    26. Bloem da Silveira Junior, Luiz A. & Vasconcellos, Eduardo & Vasconcellos Guedes, Liliana & Guedes, Luis Fernando A. & Costa, Renato Machado, 2018. "Technology roadmapping: A methodological proposition to refine Delphi results," Technological Forecasting and Social Change, Elsevier, vol. 126(C), pages 194-206.
    27. Laurent Ferrara & Pierre Guérin, 2016. "What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks," Staff Working Papers 16-25, Bank of Canada.
    28. Rossi, Barbara, 2013. "Advances in Forecasting under Instability," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1203-1324, Elsevier.
    29. Theodosios Perifanis & Athanasios Dagoumas, 2018. "Price and Volatility Spillovers Between the US Crude Oil and Natural Gas Wholesale Markets," Energies, MDPI, Open Access Journal, vol. 11(10), pages 1-25, October.
    30. Francesco Ravazzolo & Marco J. Lombardi, 2012. "Oil price density forecasts: Exploring the linkages with stock markets," Working Papers No 3/2012, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    31. Yi Zhang, 2013. "The Links between the Price of Oil and the Value of US Dollar," International Journal of Energy Economics and Policy, Econjournals, vol. 3(4), pages 341-351.
    32. Xie, Jinghua & Tveterås , Sigbjorn, 2018. "The Oil Price Collapse and the Birth of a Tourist Nation," UiS Working Papers in Economics and Finance 2018/3, University of Stavanger.
    33. Batten, Jonathan A. & Ciner, Cetin & Lucey, Brian M., 2017. "The dynamic linkages between crude oil and natural gas markets," Energy Economics, Elsevier, vol. 62(C), pages 155-170.
    34. Stanislav Anatolyev & Nikolay Gospodinov & Ibrahim Jamali & Xiaochun Liu, 2015. "Foreign exchange predictability during the financial crisis: implications for carry trade profitability," FRB Atlanta Working Paper 2015-6, Federal Reserve Bank of Atlanta.
    35. Yu-chin Chen & Kenneth Rogoff, 2006. "Are the Commodity Currencies an Exception to the Rule?," Working Papers UWEC-2006-28, University of Washington, Department of Economics, revised Mar 2012.
    36. Michele Patanè & Mattia Tedesco & Stefano Zedda, 2017. "Dynamic Relationship of Commodities prices and EUR/USD exchange rate trends in the recent past," Department of Economics University of Siena 759, Department of Economics, University of Siena.
    37. Inoue, Atsushi & Jin, Lu & Rossi, Barbara, 2014. "Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters," CEPR Discussion Papers 10168, C.E.P.R. Discussion Papers.
    38. McLeod, Roger C.D. & Haughton, Andre Yone, 2018. "The value of the US dollar and its impact on oil prices: Evidence from a non-linear asymmetric cointegration approach," Energy Economics, Elsevier, vol. 70(C), pages 61-69.
    39. Yannick Le Pen & Benoît Sévi, 2013. "Futures Trading and the Excess Comovement of Commodity Prices," AMSE Working Papers 1301, Aix-Marseille School of Economics, France, revised Jan 2013.
    40. Bakshi, Gurdip & Panayotov, George, 2013. "Predictability of currency carry trades and asset pricing implications," Journal of Financial Economics, Elsevier, vol. 110(1), pages 139-163.
    41. Martin Eichenbaum & Benjamin Johannsen & Sergio Rebelo, 2018. "Understanding the Volatility of the Canadian Exchange Rate," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 502, February.
    42. Anthony Nyangarika & Alexey Mikhaylov & Ulf Henning Richter, 2019. "Influence Oil Price towards Macroeconomic Indicators in Russia," International Journal of Energy Economics and Policy, Econjournals, vol. 9(1), pages 123-129.
    43. Shang, Hua & Yuan, Ping & Huang, Lin, 2016. "Macroeconomic factors and the cross-section of commodity futures returns," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 316-332.
    44. Inoue, Atsushi & Jin, Lu & Rossi, Barbara, 2017. "Rolling window selection for out-of-sample forecasting with time-varying parameters," Journal of Econometrics, Elsevier, vol. 196(1), pages 55-67.
    45. Caraiani, Petre, 2017. "Evaluating exchange rate forecasts along time and frequency," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 60-81.
    46. Toni Beutler, 2012. "Forecasting Exchange Rates with Commodity Convenience Yields," Working Papers 12.03, Swiss National Bank, Study Center Gerzensee.
    47. Marcel Fratzscher & Daniel Schneider & Ine Van Robays, 2013. "Oil Prices, Exchange Rates and Asset Prices," Discussion Papers of DIW Berlin 1302, DIW Berlin, German Institute for Economic Research.
    48. Sumit Ghosh & N. Sivakumar, 2015. "Beta Clustering of Impact of Crude-Oil Prices on the Indian Economy," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 4(1), pages 24-34.
    49. Evgenia Passari, 2015. "Commodity Currencies Revisited," Post-Print hal-01453266, HAL.
    50. Anatolyev, Stanislav & Gospodinov, Nikolay & Jamali, Ibrahim & Liu, Xiaochun, 2017. "Foreign exchange predictability and the carry trade: A decomposition approach," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 199-211.
    51. Rossi, José Luiz Júnior, 2014. "The Usefulness of Financial Variables in Predicting Exchange Rate Movements," Insper Working Papers wpe_332, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    52. Alberto Caruso, 2016. "The Impact of Macroeconomic News on the Euro-Dollar Exchange Rate," Working Papers ECARES ECARES 2016-32, ULB -- Universite Libre de Bruxelles.
    53. Yannick Le Pen & Benoît Sévi, 2013. "Futures trading and the excess comovement of commodity prices," Post-Print hal-01613916, HAL.
    54. 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.

Articles

  1. Domenico Ferraro, 2018. "The Asymmetric Cyclical Behavior of the U.S. Labor Market," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 30, pages 145-162, October.
    See citations under working paper version above.
  2. Ferraro, Domenico, 2017. "Volatility and slow technology diffusion," European Economic Review, Elsevier, vol. 96(C), pages 18-37.

    Cited by:

    1. Mercenier, Jean & Voyvoda, Ebru, 2018. "On Barriers to Technology Adoption, Appropriate Technology and Deep Integration (with implications for the European Union)," MPRA Paper 86364, University Library of Munich, Germany.
    2. Wang, Zanxin & Wei, Wei & Luo, Junwen & Calderon, Margaret, 2019. "The effects of petroleum product price regulation on macroeconomic stability in China," Energy Policy, Elsevier, vol. 132(C), pages 96-105.

  3. Ferraro, Domenico & Rogoff, Kenneth & Rossi, Barbara, 2015. "Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 116-141.

    Cited by:

    1. Gina Christelle Pieters, 2017. "Bitcoin Reveals Exchange Rate Manipulation and Detects Capital Controls," 2017 Papers ppi307, Job Market Papers.
    2. 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.
    3. Fernanda Fuentes & Rodrigo Herrera & Adam Clements, 2016. "Modelling Extreme Risks in Commodities and Commodity Currencies," NCER Working Paper Series 115, National Centre for Econometric Research.
    4. Lombardi, Marco J. & Ravazzolo, Francesco, 2016. "On the correlation between commodity and equity returns: Implications for portfolio allocation," Journal of Commodity Markets, Elsevier, vol. 2(1), pages 45-57.
    5. Salisu, Afees A. & Adekunle, Wasiu & Alimi, Wasiu A. & Emmanuel, Zachariah, 2019. "Predicting exchange rate with commodity prices: New evidence from Westerlund and Narayan (2015) estimator with structural breaks and asymmetries," Resources Policy, Elsevier, vol. 62(C), pages 33-56.
    6. Chuffart, Thomas & Hooper, Emma, 2019. "An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela," Energy Economics, Elsevier, vol. 80(C), pages 904-916.
    7. Wen, Shaobo & An, Haizhong & Chen, Zhihua & Liu, Xueyong, 2017. "Driving factors of interactions between the exchange rate market and the commodity market: A wavelet-based complex network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 299-308.
    8. Abdulrahman, Alhassan & Syed Abul, Basher & M. Kabir, Hassan, 2019. "Oil subsidies and the risk exposure of oil-user stocks: Evidence from net oil producers," MPRA Paper 97080, University Library of Munich, Germany.
    9. Li, Lei & Yin, Libo & Zhou, Yimin, 2016. "Exogenous shocks and the spillover effects between uncertainty and oil price," Energy Economics, Elsevier, vol. 54(C), pages 224-234.
    10. Kunkler, Michael & MacDonald, Ronald, 2019. "The multilateral relationship between oil and G10 currencies," Energy Economics, Elsevier, vol. 78(C), pages 444-453.
    11. Olivier Rousse & Benoît Sévi, 2017. "Informed Trading in Oil-Futures Market," Working Papers hal-01460186, HAL.
    12. Martin Baumgärtner & Jens Klose, 2019. "Forecasting exchange rates with commodity prices—a global country analysis," The World Economy, Wiley Blackwell, vol. 42(9), pages 2546-2565, September.
    13. Sharma, Susan Sunila & Phan, Dinh Hoang Bach & Iyke, Bernard, 2019. "Do oil prices predict Indonesian macroeconomy?," Economic Modelling, Elsevier, vol. 82(C), pages 2-12.
    14. Claudia Foroni & Francesco Ravazzolo & Barbara Sadaba, 2017. "Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns," Staff Working Papers 17-19, Bank of Canada.
    15. Andrei Shulgin, 2018. "Sterilized Interventions in the Form of Foreign Currency Repos: VECM Analysis Using Russian Data," Russian Journal of Money and Finance, Bank of Russia, vol. 77(2), pages 68-80, June.
    16. Boubakri, Salem & Guillaumin, Cyriac & Silanine, Alexandre, 2019. "Non-linear relationship between real commodity price volatility and real effective exchange rate: The case of commodity-exporting countries," Journal of Macroeconomics, Elsevier, vol. 60(C), pages 212-228.
    17. Kouwenberg, Roy & Markiewicz, Agnieszka & Verhoeks, Ralph & Zwinkels, Remco C. J., 2017. "Model Uncertainty and Exchange Rate Forecasting," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(1), pages 341-363, February.
    18. Katja Ignatieva & Natalia Ponomareva, 2017. "Commodity currencies and commodity prices: modelling static and time-varying dependence," Applied Economics, Taylor & Francis Journals, vol. 49(15), pages 1491-1512, March.
    19. Virginie Coudert & Valérie Mignon, 2015. "Reassessing the empirical relationship between the oil price and the dollar," Working Papers 2015-25, CEPII research center.
    20. Ciner, Cetin, 2017. "Predicting white metal prices by a commodity sensitive exchange rate," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 309-315.
    21. Iwaisako, Tokuo & Nakata, Hayato, 2017. "Impact of exchange rate shocks on Japanese exports: Quantitative assessment using a structural VAR model," Journal of the Japanese and International Economies, Elsevier, vol. 46(C), pages 1-16.
    22. Laurent Ferrara & Pierre Guérin, 2016. "What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks," Staff Working Papers 16-25, Bank of Canada.
    23. Castro Rozo, César & Jiménez-Rodríguez, Rebeca, 2018. "Time-varying relationship between oil price and exchange rate," MPRA Paper 87879, University Library of Munich, Germany.
    24. Cerqueti, Roy & Fanelli, Viviana & Rotundo, Giulia, 2019. "Long run analysis of crude oil portfolios," Energy Economics, Elsevier, vol. 79(C), pages 183-205.
    25. Oyetayo Oluwatosin J & Adeyeye Patrick Olufemi, 2017. "A Robust Application of the Arbitrage Pricing Theory: Evidence from Nigeria," Journal of Economics and Behavioral Studies, AMH International, vol. 9(1), pages 141-151.
    26. Meng, Xiangcai & Huang, Chia-Hsing, 2016. "Nonlinear models for the sources of real effective exchange rate fluctuations: Evidence from the Republic of Korea," Japan and the World Economy, Elsevier, vol. 40(C), pages 21-30.
    27. Afees A. Salisu & Rangan Gupta, 2019. "How do Housing Returns in Emerging Countries Respond to Oil Shocks? A MIDAS Touch," Working Papers 201946, University of Pretoria, Department of Economics.
    28. Degiannakis, Stavros & Filis, George, 2017. "Forecasting oil price realized volatility using information channels from other asset classes," MPRA Paper 96276, University Library of Munich, Germany.
    29. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95, 01-2020.
    30. Ahmed, Shamim & Tsvetanov, Daniel, 2016. "The predictive performance of commodity futures risk factors," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 20-36.
    31. Krzysztof Drachal, 2018. "Exchange Rate and Oil Price Interactions in Selected CEE Countries," Economies, MDPI, Open Access Journal, vol. 6(2), pages 1-21, May.
    32. Xiaojie Xu, 2019. "Price dynamics in corn cash and futures markets: cointegration, causality, and forecasting through a rolling window approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(2), pages 155-181, June.
    33. Claessens, Stijn & Kose, Ayhan, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
    34. Thomas Theobald & Peter Hohlfeld, 2017. "Why have the recent oil price declines not stimulated global economic growth?," IMK Working Paper 185-2017, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    35. Michael B. Devereux & Gregor W. Smith, 2018. "Commodity Currencies and Monetary Policy," NBER Working Papers 25076, National Bureau of Economic Research, Inc.
    36. Tiwari, Aviral Kumar & Trabelsi, Nader & Alqahtani, Faisal & Bachmeier, Lance, 2019. "Modelling systemic risk and dependence structure between the prices of crude oil and exchange rates in BRICS economies: Evidence using quantile coherency and NGCoVaR approaches," Energy Economics, Elsevier, vol. 81(C), pages 1011-1028.
    37. Wang, Yudong & Pan, Zhiyuan & Liu, Li & Wu, Chongfeng, 2019. "Oil price increases and the predictability of equity premium," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 43-58.
    38. Kimberly Berg & Pierre Guérin & Yuko Imura, 2016. "Predictive Ability of Commodity Prices for the Canadian Dollar," Staff Analytical Notes 16-2, Bank of Canada.
    39. Panopoulou, Ekaterini & Souropanis, Ioannis, 2019. "The role of technical indicators in exchange rate forecasting," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 197-221.
    40. Ready, Robert & Roussanov, Nikolai & Ward, Colin, 2017. "After the tide: Commodity currencies and global trade," Journal of Monetary Economics, Elsevier, vol. 85(C), pages 69-86.
    41. Byrne, Joseph P & Sakemoto, Ryuta & Xu, Bing, 2017. "Commodity Price Co-movement: Heterogeneity and the Time Varying Impact of Fundamentals," MPRA Paper 80791, University Library of Munich, Germany.
    42. Baghestani, Hamid & Toledo, Hugo, 2019. "Oil prices and real exchange rates in the NAFTA region," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 253-264.
    43. Edouard Djeutem & Geoffrey R. Dunbar, 2018. "Uncovered Return Parity: Equity Returns and Currency Returns," Staff Working Papers 18-22, Bank of Canada.
    44. Ma, Xiuying & Yang, Zhihua & Xu, Xiangyun & Wang, Chengqi, 2018. "The impact of Chinese financial markets on commodity currency exchange rates," Global Finance Journal, Elsevier, vol. 37(C), pages 186-198.
    45. Thomas Chuffart & Emmanuel Flachaire & Anne Peguin-Feissolle, 2018. "Testing for misspecification in the short-run component of GARCH-type models," Post-Print hal-02083772, HAL.

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 8 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ENE: Energy Economics (6) 2011-06-25 2011-09-16 2011-11-07 2012-04-23 2015-01-26 2015-01-31. Author is listed
  2. NEP-FOR: Forecasting (6) 2011-06-25 2011-09-16 2011-11-07 2012-04-23 2015-01-26 2015-01-31. Author is listed
  3. NEP-OPM: Open Economy Macroeconomics (6) 2011-06-25 2011-09-16 2011-11-07 2012-04-23 2015-01-26 2015-01-31. Author is listed
  4. NEP-CBA: Central Banking (4) 2011-06-25 2011-09-16 2011-11-07 2012-04-23. Author is listed
  5. NEP-AGE: Economics of Ageing (1) 2016-08-07
  6. NEP-CSE: Economics of Strategic Management (1) 2016-08-07
  7. NEP-CWA: Central & Western Asia (1) 2011-09-16
  8. NEP-DGE: Dynamic General Equilibrium (1) 2015-02-28
  9. NEP-PBE: Public Economics (1) 2016-08-07
  10. NEP-PUB: Public Finance (1) 2016-08-07

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