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Explaining commodity prices through asymmetric oil shocks: Evidence from nonlinear models

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  1. Waseem Khan & Vishal Sharma & Saghir Ahmad Ansari, 2022. "Modeling the dynamics of oil and agricultural commodity price nexus in linear and nonlinear frameworks: A case of emerging economy," Review of Development Economics, Wiley Blackwell, vol. 26(3), pages 1733-1784, August.
  2. 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.
  3. Jiang, Yonghong & Jiang, Cheng & Nie, He & Mo, Bin, 2019. "The time-varying linkages between global oil market and China's commodity sectors: Evidence from DCC-GJR-GARCH analyses," Energy, Elsevier, vol. 166(C), pages 577-586.
  4. Salisu, Afees A. & Isah, Kazeem O., 2018. "Predicting US inflation: Evidence from a new approach," Economic Modelling, Elsevier, vol. 71(C), pages 134-158.
  5. Karel Janda & Ladislav Krištoufek, 2019. "The Relationship Between Fuel and Food Prices: Methods and Outcomes," Annual Review of Resource Economics, Annual Reviews, vol. 11(1), pages 195-216, October.
  6. Meng, Juan & Nie, He & Mo, Bin & Jiang, Yonghong, 2020. "Risk spillover effects from global crude oil market to China’s commodity sectors," Energy, Elsevier, vol. 202(C).
  7. Ahmed, Khalid & Bhutto, Niaz Ahmed & Kalhoro, Muhammad Ramzan, 2019. "Decomposing the links between oil price shocks and macroeconomic indicators: Evidence from SAARC region," Resources Policy, Elsevier, vol. 61(C), pages 423-432.
  8. Naveed Raza & Syed Jawad Hussain Shahzad & Muhammad Shahbaz & Aviral kumar Tiwari, 2017. "Modeling the nexus between oil shocks, inflation and commodity prices: Do Asymmetries really matter?," Economics Bulletin, AccessEcon, vol. 37(4), pages 2374-2383.
  9. Afees A. Salisu & Wasiu Adekunle & Zachariah Emmanuel & Wasiu A. Alimi, 2018. "Predicting exchange rate with commodity prices: The role of structural breaks and asymmetries," Working Papers 055, Centre for Econometric and Allied Research, University of Ibadan.
  10. Cheng, Sheng & Cao, Yan, 2019. "On the relation between global food and crude oil prices: An empirical investigation in a nonlinear framework," Energy Economics, Elsevier, vol. 81(C), pages 422-432.
  11. Khaled Mokni & Manel Youssef, 2020. "Empirical analysis of the cross‐interdependence between crude oil and agricultural commodity markets," Review of Financial Economics, John Wiley & Sons, vol. 38(4), pages 635-654, October.
  12. Vatsa, Puneet & Baek, Jungho, 2024. "Asymmetric effects of oil demand and oil supply shocks on New Zealand's trade," Resources Policy, Elsevier, vol. 92(C).
  13. Tule, Moses K. & Salisu, Afees A. & Chiemeke, Charles C., 2019. "Can agricultural commodity prices predict Nigeria's inflation?," Journal of Commodity Markets, Elsevier, vol. 16(C).
  14. Umut Uzar, 2022. "The connection between freedom of the press and environmental quality: An investigation on emerging market countries," Natural Resources Forum, Blackwell Publishing, vol. 46(1), pages 21-38, February.
  15. Filip, Ondrej & Janda, Karel & Kristoufek, Ladislav & Zilberman, David, 2019. "Food versus fuel: An updated and expanded evidence," Energy Economics, Elsevier, vol. 82(C), pages 152-166.
  16. Sergio Adriani David & Claudio M. C. Inácio & José A. Tenreiro Machado, 2019. "Ethanol Prices and Agricultural Commodities: An Investigation of Their Relationship," Mathematics, MDPI, vol. 7(9), pages 1-25, August.
  17. Kang, Sang Hoon & Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu & Yoon, Seong-Min, 2019. "Exploring the time-frequency connectedness and network among crude oil and agriculture commodities V1," Energy Economics, Elsevier, vol. 84(C).
  18. Tanaka, Tetsuji & Guo, Jin & Wang, Xiufang, 2023. "Did biofuel production strengthen the comovements between food and fuel prices? Evidence from ethanol-related markets in the United States," Renewable Energy, Elsevier, vol. 217(C).
  19. Cao, Yan & Cheng, Sheng & Li, Xinran, 2023. "How economic policy uncertainty affects asymmetric spillovers in food and oil prices: Evidence from wavelet analysis," Resources Policy, Elsevier, vol. 86(PB).
  20. Jeng-Bau Lin & Chin-Chia Liang & Wei Tsai, 2019. "Nonlinear Relationships between Oil Prices and Implied Volatilities: Providing More Valuable Information," Sustainability, MDPI, vol. 11(14), pages 1-15, July.
  21. Eissa, Mohamad Abdelaziz & Al Refai, Hisham, 2019. "Modelling the symmetric and asymmetric relationships between oil prices and those of corn, barley, and rapeseed oil," Resources Policy, Elsevier, vol. 64(C).
  22. Li, Yang & Du, Qingfeng, 2024. "Oil price volatility and gold prices volatility asymmetric links with natural resources via financial market fluctuations: Implications for green recovery," Resources Policy, Elsevier, vol. 88(C).
  23. 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).
  24. Raza, Syed Ali & Guesmi, Khaled & Belaid, Fateh & Shah, Nida, 2022. "Time-frequency causality and connectedness between oil price shocks and the world food prices," Research in International Business and Finance, Elsevier, vol. 62(C).
  25. Azreen Benazir Abdullah Ahmed & Sakib Amin & Charles Harvie & Rabindra Nepal, 2021. "The Nexus Between Energy and Trade in South Asia: A Panel Analysis," Economic Papers, The Economic Society of Australia, vol. 40(2), pages 134-151, June.
  26. Jiang, Yonghong & Fu, Yuyuan & Ruan, Weihua, 2019. "Risk spillovers and portfolio management between precious metal and BRICS stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
  27. Mishra, Aswini Kumar & Ghate, Kshitish & Renganathan, Jayashree & Kennet, Joushita J. & Rajderkar, Nilay Pradeep, 2022. "Rolling, recursive evolving and asymmetric causality between crude oil and gold prices: Evidence from an emerging market," Resources Policy, Elsevier, vol. 75(C).
  28. Dervis Kirikkaleli & Hasan Güngör, 2021. "Co-movement of commodity price indexes and energy price index: a wavelet coherence approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-18, December.
  29. Pablo Cansado-Bravo & Carlos Rodríguez-Monroy, 2018. "Persistence of Oil Prices in Gas Import Prices and the Resilience of the Oil-Indexation Mechanism. The Case of Spanish Gas Import Prices," Energies, MDPI, vol. 11(12), pages 1-17, December.
  30. Chen, Jinyu & Wang, Yilin & Ren, Xiaohang, 2022. "Asymmetric effects of non-ferrous metal price shocks on clean energy stocks: Evidence from a quantile-on-quantile method," Resources Policy, Elsevier, vol. 78(C).
  31. Subrata K. Mitra & Debdatta Pal, 2024. "Role of Crude Oil in Determining the Price of Corn in the United States: A Non-parametric Approach," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 22(2), pages 395-420, June.
  32. 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.
  33. Sun, Yunpeng & Gao, Pengpeng & Raza, Syed Ali & Shah, Nida & Sharif, Arshian, 2023. "The asymmetric effects of oil price shocks on the world food prices: Fresh evidence from quantile-on-quantile regression approach," Energy, Elsevier, vol. 270(C).
  34. Liu, Chang & Sun, Xiaolei & Wang, Jun & Li, Jianping & Chen, Jianming, 2021. "Multiscale information transmission between commodity markets: An EMD-Based transfer entropy network," Research in International Business and Finance, Elsevier, vol. 55(C).
  35. Albulescu, Claudiu Tiberiu & Tiwari, Aviral Kumar & Ji, Qiang, 2020. "Copula-based local dependence among energy, agriculture and metal commodities markets," Energy, Elsevier, vol. 202(C).
  36. Claudiu Albulescu & Aviral Tiwari & Qiang Ji, 2020. "Copula-based local dependence between energy, agriculture and metal commodity markets," Papers 2003.04007, arXiv.org.
  37. Su, Chi Wei & Song, Xin Yue & Qin, Meng & Lobonţ, Oana-Ramona, 2024. "Is copper a safe haven for oil?," Resources Policy, Elsevier, vol. 91(C).
  38. 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).
  39. Liu, Feng & Zhang, Chuanguo & Tang, Mengying, 2021. "The impacts of oil price shocks and jumps on China's nonferrous metal markets," Resources Policy, Elsevier, vol. 73(C).
  40. Chen, Ying & Zhu, Xuehong & Li, Hailing, 2022. "The asymmetric effects of oil price shocks and uncertainty on non-ferrous metal market: Based on quantile regression," Energy, Elsevier, vol. 246(C).
  41. Xiangcai Meng, 2018. "Does Agricultural Commodity Price Co-move with Oil Price in the Time-Frequency Space? Evidence from the Republic of Korea," International Journal of Energy Economics and Policy, Econjournals, vol. 8(4), pages 125-133.
  42. Karel Janda & Ladislav Kristoufek, 2019. "The Relationship Between Fuel and Food Prices: Methods, Outcomes, and Lessons for Commodity Price Risk Management," CAMA Working Papers 2019-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  43. Omoke Philip Chimobi & Uche Emmanuel, 2020. "Asymmetric impact of oil price shocks on selected macroeconomic variables: NARDL exposition," ECONOMICS AND POLICY OF ENERGY AND THE ENVIRONMENT, FrancoAngeli Editore, vol. 0(1), pages 171-189.
  44. Sarwar, Muhammad Nadeem & Hussain, Hamid & Maqbool, Muhammad Bilal, 2020. "Pass through effects of oil price on food and non-food prices in Pakistan: A nonlinear ARDL approach," Resources Policy, Elsevier, vol. 69(C).
  45. Liu, Feng & Xu, Jie & Ai, Chunrong, 2023. "Heterogeneous impacts of oil prices on China's stock market: Based on a new decomposition method," Energy, Elsevier, vol. 268(C).
  46. Wen, Fenghua & Zhao, Lili & He, Shaoyi & Yang, Guozheng, 2020. "Asymmetric relationship between carbon emission trading market and stock market: Evidences from China," Energy Economics, Elsevier, vol. 91(C).
  47. Sharon Raszap Skorbiansky & Monica Saavoss & Hayden Stewart, 2022. "Cow's milk still leads in the United States: The case of cow's, almond, and soy milk," Agricultural Economics, International Association of Agricultural Economists, vol. 53(2), pages 204-214, March.
  48. Baharumshah, Ahmad Zubaidi & Sirag, Abdalla & Soon, Siew-Voon, 2017. "Asymmetric exchange rate pass-through in an emerging market economy: The case of Mexico," Research in International Business and Finance, Elsevier, vol. 41(C), pages 247-259.
  49. Fasanya, Ismail O. & Awodimila, Crystal P., 2020. "Are commodity prices good predictors of inflation? The African perspective," Resources Policy, Elsevier, vol. 69(C).
  50. Rehman, Mobeen Ur & Ahmad, Nasir & Vo, Xuan Vinh, 2022. "Asymmetric multifractal behaviour and network connectedness between socially responsible stocks and international oil before and during COVID-19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 587(C).
  51. Elie Bouri & Imad Kachacha & Donald Lien & David Roubaud, 2017. "Short- and long-run causality across the implied volatility of crude oil and agricultural commodities," Economics Bulletin, AccessEcon, vol. 37(2).
  52. Miljkovic, Dragan & Vatsa, Puneet, 2023. "On the linkages between energy and agricultural commodity prices: A dynamic time warping analysis," International Review of Financial Analysis, Elsevier, vol. 90(C).
  53. Linjie Wang & Jean‐Paul Chavas & Jian Li, 2024. "Dynamic linkages in agricultural and energy markets: A quantile impulse response approach," Agricultural Economics, International Association of Agricultural Economists, vol. 55(4), pages 639-676, July.
  54. Pal, Debdatta & Mitra, Subrata K., 2017. "Time-frequency contained co-movement of crude oil and world food prices: A wavelet-based analysis," Energy Economics, Elsevier, vol. 62(C), pages 230-239.
  55. 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.
  56. Wu, You & Ren, Wenting & Wan, Jieru & Liu, Xiaoxue, 2023. "Time-frequency volatility connectedness between fossil energy and agricultural commodities: Comparing the COVID-19 pandemic with the Russia-Ukraine conflict," Finance Research Letters, Elsevier, vol. 55(PA).
  57. Nasreen, Samia & Tiwari, Aviral Kumar & Goodell, John W. & Tedeschi, Marco, 2024. "Asymmetric and frequency-domain spillover effects among industrial metals, precious metals, and energy futures markets," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1556-1592.
  58. Lynda Atil & Hocine Fellag & Ana E. Sipols & M. T. Santos-Martín & Clara Simón Blas, 2024. "Non-linear Cointegration Test, Based on Record Counting Statistic," Computational Economics, Springer;Society for Computational Economics, vol. 64(4), pages 2205-2230, October.
  59. Salisu, Afees A. & Isah, Kazeem O., 2018. "Predicting US inflation: Evidence from a new approach," Economic Modelling, Elsevier, vol. 71(C), pages 134-158.
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