We analyze whether metrics of climate risks, as captured primarily by changes in temperature anomaly and its stochastic volatility (SV), can predict returns and volatility of 25 commodities, covering the overall historical ...
This study investigates the effects of oil discoveries on conflict. We propose that the effects
from oil discoveries may differ depending on types of conflicts, mainly interstate versus
intrastate. Using a measure for ...
In this study, we offer a global perspective on the impacts of the COVID-19 pandemic on financial markets using a multi-country Threshold-Augmented Global Vector Autoregressive Model of Chudik et al. (2020). We document a ...
We use a time-varying parameter dynamic factor model with stochastic volatility estimated using Bayesian methods to disentangle the relative importance of the common component in Federal Housing Finance Agency house price ...
