We find that climate-related risks forecast the intraday data-based realized volatility of exchange rate returns of eight major fossil fuel exporters (Australia, Brazil, Canada, Malaysia, Mexico, Norway, Russia, and South ...

This paper utilizes Bayesian (static) model averaging (BMA) and dynamic model averaging (DMA) incorporated into Markov-switching (MS) models to forecast business cycle turning points of the United States (US) with state-level ...

Predicting the variance of oil-price returns is of paramount importance for policymakers and investors. Recent research has focused on whether disaggregate measures of economic-policy uncertainty provide better forecasts. ...

In a local projections framework, we study the impact of oil price shocks, based on a refined approach to disentangle oil price movements, on the dynamics of the entire yield curve in nineteen emerging economies with ...

In this paper, we show evidence of a dramatic change in the structure and time-varying patterns of return connectedness across various assets (gold, crude oil, world equities, currencies, and bonds) around the COVID-19 ...

This paper investigates how monetary policy shock affects the stock market of the United States (US) conditional on states of investor sentiment. In this regard, we use a recently developed estimator that uses high-frequency ...

Please read abstract in the article.