- Ahmed, M.Y. ; Sarkodie, S.A. COVID-19 pandemic and economic policy uncertainty regimes affect commodity market volatility. 2021 Resour. Pol.. 74 -
Paper not yet in RePEc: Add citation now
- Ajmi, A.N. ; Gupta, R. ; Kanda, P.T. Causality between economic policy uncertainty across countries: evidence from linear and nonlinear tests. 2014 Front. Fam. Econ.. 11 73-102
Paper not yet in RePEc: Add citation now
- Albulescu, C.T. ; Demirer, R. ; Raheem, I.D. ; Tiwari, A.K. Does the U.S. economic policy uncertainty connect financial markets? Evidence from oil and commodity currencies. 2019 Energy Econ.. 83 375-388
Paper not yet in RePEc: Add citation now
Aloui, R. ; Gupta, R. ; Miller, S.M. Uncertainty and crude oil returns. 2016 Energy Econ.. 55 92-100
Antonakakis, N. ; Chatziantoniou, I. ; Filis, G. Dynamic spillovers of oil price shocks and economic policy uncertainty. 2014 Energy Econ.. 44 433-447
Baffes, J. Oil spills on other commodities. 2007 Resour. Pol.. 32 126-134
Baker, S.R. ; Bloom, N. ; Davis, S.J. Measuring economic policy uncertainty. 2016 Q. J. Econ.. 131 1593-1636
Barbaglia, L. ; Croux, C. ; Wilms, I. Volatility spillovers in commodity markets: a large t-vector autoregressive approach. 2020 Energy Econ.. 85 -
Barndorff-Nielsen, O. ; Grawert, S. ; Shephard, N. Measuring Downside Risk - Realised Semivariance. 2008 Oxford Financial Research Centre:
Baumeister, C. ; Kilian, L. Do oil price increases cause higher food prices?. 2014 Econ. Pol.. 29 691-747
BenSaïda, A. Good and bad volatility spillovers: an asymmetric connectedness. 2019 J. Financ. Mark.. 43 78-95
Bloom, N. The impact of uncertainty shocks. 2009 Econometrica. 77 623-685
Bodenstein, M. ; Guerrieri, L. ; Kilian, L. Monetary policy responses to oil price fluctuations. 2012 IMF Econ. Rev.. 60 470-504
Bonaccolto, G. ; Caporin, M. ; Gupta, R. The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk. 2018 Phys. Stat. Mech. Appl.. 507 446-469
Cao, Y. ; Cheng, S. Impact of COVID-19 outbreak on multi-scale asymmetric spillovers between food and oil prices. 2021 Resour. Pol.. 74 -
Chang, C.-L. ; McAleer, M. ; Wang, Y.-A. Herding behaviour in energy stock markets during the Global Financial Crisis, SARS, and ongoing COVID-19. 2020 Renew. Sustain. Energy Rev.. 134 -
- Chen, X. ; Ghysels, E. News--Good or bad--and its impact on volatility predictions over multiple horizons. 2008 Rev. Financ. Stud.. 24 46-81
Paper not yet in RePEc: Add citation now
Cheng, S. ; Cao, Y. On the relation between global food and crude oil prices: an empirical investigation in a nonlinear framework. 2019 Energy Econ.. 81 422-432
- Choi, S. ; Furceri, D. ; Loungani, P. ; Mishra, S. ; Poplawski-Ribeiro, M. Oil prices and inflation dynamics: evidence from advanced and developing economies. 2018 J. Int. Money Finance. 82 71-96
Paper not yet in RePEc: Add citation now
Chowdhury, M.A.F. ; Meo, M.S. ; Uddin, A. ; Haque, M.M. Asymmetric effect of energy price on commodity price: new evidence from NARDL and time frequency wavelet approaches. 2021 Energy. 231 -
Colombo, V. Economic policy uncertainty in the US: does it matter for the Euro area?. 2013 Econ. Lett.. 121 39-42
Cremers, M. ; Halling, M. ; Weinbaum, D. Aggregate jump and volatility risk in the cross-section of stock returns. 2015 J. Finance. 70 577-614
Creti, A. ; Joëts, M. ; Mignon, V. On the links between stock and commodity markets' volatility. 2013 Energy Econ.. 37 16-28
Dahl, R.E. ; Oglend, A. ; Yahya, M. Dynamics of volatility spillover in commodity markets: linking crude oil to agriculture. 2020 J. Commod. Mark.. 20 -
Diebold, F.X. ; Liu, L. ; Yilmaz, K. Commodity Connectedness. 2017 :
Diebold, F.X. ; Yilmaz, K. Better to give than to receive: predictive directional measurement of volatility spillovers. 2012 Int. J. Forecast.. 28 57-66
Du, X. ; Yu, C.L. ; Hayes, D.J. Speculation and volatility spillover in the crude oil and agricultural commodity markets: a Bayesian analysis. 2011 Energy Econ.. 33 497-503
Fang, L. ; Chen, B. ; Yu, H. ; Xiong, C. The effect of economic policy uncertainty on the long-run correlation between crude oil and the U.S. stock markets. 2018 Finance Res. Lett.. 24 56-63
Frimpong, S. ; Gyamfi, E.N. ; Ishaq, Z. ; Kwaku Agyei, S. ; Agyapong, D. ; Adam, A.M. Can global economic policy uncertainty drive the interdependence of agricultural commodity prices? Evidence from partial wavelet coherence analysis. 2021 Complexity. 2021 -
Glosten, L.R. ; Jagannathan, R. ; Runkle, D.E. On the relation between the expected value and the volatility of the nominal excess return on stocks. 1993 J. Finance. 48 1779-1801
Hailemariam, A. ; Smyth, R. ; Zhang, X. Oil prices and economic policy uncertainty: evidence from a nonparametric panel data model. 2019 Energy Econ.. 83 40-51
Han, L. ; Liu, Y. ; Yin, L. Uncertainty and currency performance: a quantile-on-quantile approach. 2019 N. Am. J. Econ. Finance. 48 702-729
Hanif, W. ; Areola Hernandez, J. ; Shahzad, S.J.H. ; Yoon, S.-M. Tail dependence risk and spillovers between oil and food prices. 2021 Q. Rev. Econ. Finance. 80 195-209
Hu, M. ; Zhang, D. ; Ji, Q. ; Wei, L. Macro factors and the realized volatility of commodities: a dynamic network analysis. 2020 Resour. Pol.. 68 -
- Ibrahim, M.H. Oil and food prices in Malaysia: a nonlinear ARDL analysis. 2015 Agric. Food Econ.. 3 2-
Paper not yet in RePEc: Add citation now
Ji, Q. ; Bouri, E. ; Roubaud, D. ; Shahzad, S.J.H. Risk spillover between energy and agricultural commodity markets: a dependence-switching CoVaR-copula model. 2018 Energy Econ.. 75 14-27
Joëts, M. ; Mignon, V. ; Razafindrabe, T. Does the volatility of commodity prices reflect macroeconomic uncertainty?. 2017 Energy Econ.. 68 313-326
Júnior, G.d.S.R. ; Palazzi, R.B. ; Klotzle, M.C. ; Pinto, A.C.F. Analyzing herding behavior in commodities markets – an empirical approach. 2020 Finance Res. Lett.. 35 -
Kang, W. ; Ratti, R.A. ; Vespignani, J.L. Oil price shocks and policy uncertainty: new evidence on the effects of US and non-US oil production. 2017 Energy Econ.. 66 536-546
- Karakotsios, A. ; Katrakilidis, C. ; Kroupis, N. The dynamic linkages between food prices and oil prices. Does asymmetry matter?. 2021 J. Econ. Asymmetries. 23 -
Paper not yet in RePEc: Add citation now
Lei, L. ; Shang, Y. ; Chen, Y. ; Wei, Y. Does the financial crisis change the economic risk perception of crude oil traders? A MIDAS quantile regression approach. 2019 Finance Res. Lett.. 30 341-351
Liu, L. ; Zhang, T. Economic policy uncertainty and stock market volatility. 2015 Finance Res. Lett.. 15 99-105
Liu, Y. ; Han, L. ; Yin, L. Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non-energy sectors. 2018 J. Futures Mark.. 38 1246-1261
- Lundberg, C. ; Skolrud, T. ; Adrangi, B. ; Chatrath, A. Oil price pass through to agricultural commodities. 2020 Am. J. Agric. Econ.. -
Paper not yet in RePEc: Add citation now
Luo, J. ; Ji, Q. High-frequency volatility connectedness between the US crude oil market and China's agricultural commodity markets. 2018 Energy Econ.. 76 424-438
Ma, F. ; Wahab, M.I.M. ; Liu, J. ; Liu, L. Is economic policy uncertainty important to forecast the realized volatility of crude oil futures?. 2018 Appl. Econ.. 50 2087-2101
Maitra, D. ; Guhathakurta, K. ; Kang, S.H. The good, the bad and the ugly relation between oil and commodities: an analysis of asymmetric volatility connectedness and portfolio implications. 2021 Energy Econ.. 94 -
Mensi, W. ; Al Rababa'a, A.R. ; Vo, X.V. ; Kang, S.H. Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets. 2021 Energy Econ.. 98 -
Mensi, W. ; Hammoudeh, S. ; Nguyen, D.K. ; Yoon, S.-M. Dynamic spillovers among major energy and cereal commodity prices. 2014 Energy Econ.. 43 225-243
Mensi, W. ; Tiwari, A. ; Bouri, E. ; Roubaud, D. ; Al-Yahyaee, K.H. The dependence structure across oil, wheat, and corn: a wavelet-based copula approach using implied volatility indexes. 2017 Energy Econ.. 66 122-139
- Mokni, K. ; Ben-Salha, O. Asymmetric causality in quantiles analysis of the oil-food nexus since the 1960s. 2020 Resour. Pol.. 69 -
Paper not yet in RePEc: Add citation now
Mokni, K. ; Hammoudeh, S. ; Ajmi, A.N. ; Youssef, M. Does economic policy uncertainty drive the dynamic connectedness between oil price shocks and gold price?. 2020 Resour. Pol.. 69 -
Myers, R.J. ; Johnson, S.R. ; Helmar, M. ; Baumes, H. Long-run and short-run Co-movements in energy prices and the prices of agricultural feedstocks for biofuel. 2014 Am. J. Agric. Econ.. 96 991-1008
Naeem, M.A. ; Farid, S. ; Nor, S.M. ; Shahzad, S.J.H. Spillover and drivers of uncertainty among oil and commodity markets. 2021 Mathematics. 9 441-
Nagayev, R. ; Disli, M. ; Inghelbrecht, K. ; Ng, A. On the dynamic links between commodities and Islamic equity. 2016 Energy Econ.. 58 125-140
- Nazlioglu, S. World oil and agricultural commodity prices: evidence from nonlinear causality. 2011 Energy Pol.. 39 2935-2943
Paper not yet in RePEc: Add citation now
Nicola, F.d. ; De Pace, P. ; Hernandez, M.A. Co-movement of major energy, agricultural, and food commodity price returns: a time-series assessment. 2016 Energy Econ.. 57 28-41
Oliyide, J.A. ; Adekoya, O.B. ; Khan, M.A. Economic policy uncertainty and the volatility connectedness between oil shocks and metal market: an extension. 2021 Int. Econ.. 167 136-150
Paris, A. On the link between oil and agricultural commodity prices: do biofuels matter?. 2018 Int. Econ.. 155 48-60
Qin, M. ; Su, C.-W. ; Hao, L.-N. ; Tao, R. The stability of U.S. economic policy: does it really matter for oil price?. 2020 Energy. 198 -
Rafiq, S. ; Bloch, H. Explaining commodity prices through asymmetric oil shocks: evidence from nonlinear models. 2016 Resour. Pol.. 50 34-48
Raza, S.A. ; Shah, N. ; Shahbaz, M. Does economic policy uncertainty influence gold prices? Evidence from a nonparametric causality-in-quantiles approach. 2018 Resour. Pol.. 57 61-68
Reboredo, J.C. ; Ugolini, A. ; Hernandez, J.A. Dynamic spillovers and network structure among commodity, currency, and stock markets. 2021 Resour. Pol.. 74 -
- Rehman, M.U. Do oil shocks predict economic policy uncertainty?. 2018 Phys. Stat. Mech. Appl.. 498 123-136
Paper not yet in RePEc: Add citation now
Roubaud, D. ; Arouri, M. Oil prices, exchange rates and stock markets under uncertainty and regime-switching. 2018 Finance Res. Lett.. 27 28-33
Sarwar, M.N. ; Hussain, H. ; Maqbool, M.B. Pass through effects of oil price on food and non-food prices in Pakistan: a nonlinear ARDL approach. 2020 Resour. Pol.. 69 -
Segal, G. ; Shaliastovich, I. ; Yaron, A. Good and bad uncertainty: macroeconomic and financial market implications. 2015 J. Financ. Econ.. 117 369-397
Shahzad, S.J.H. ; Hernandez, J.A. ; Al-Yahyaee, K.H. ; Jammazi, R. Asymmetric risk spillovers between oil and agricultural commodities. 2018 Energy Pol.. 118 182-198
Sun, X. ; Chen, X. ; Wang, J. ; Li, J. Multi-scale interactions between economic policy uncertainty and oil prices in time-frequency domains. 2020 N. Am. J. Econ. Finance. 51 -
Sun, X. ; Lu, X. ; Yue, G. ; Li, J. Cross-correlations between the US monetary policy, US dollar index and crude oil market. 2017 Phys. Stat. Mech. Appl.. 467 326-344
Taghizadeh-Hesary, F. ; Rasoulinezhad, E. ; Yoshino, N. Energy and food security: linkages through price volatility. 2019 Energy Pol.. 128 796-806
- Torrence, C. ; Compo, G.P. A practical guide to wavelet analysis. 1998 Bull. Am. Meteorol. Soc.. 79 61-78
Paper not yet in RePEc: Add citation now
Trujillo-Barrera, A. ; Mallory, M. ; Garcia, P. Volatility spillovers in US crude oil, ethanol and corn futures markets. 2012 J. Agric. Resour. Econ.. 37 1-16
- Trung, N.B. The spillover effects of US economic policy uncertainty on the global economy: a global VAR approach. 2019 N. Am. J. Econ. Finance. 48 90-110
Paper not yet in RePEc: Add citation now
Vu, T.N. ; Vo, D.H. ; Ho, C.M. ; Van, L.T.-H. Modeling the impact of agricultural shocks on oil price in the US: a new approach. 2019 J. Risk Financ. Manag.. 12 147-
Wei, Y. ; Liu, J. ; Lai, X. ; Hu, Y. Which determinant is the most informative in forecasting crude oil market volatility: fundamental, speculation, or uncertainty?. 2017 Energy Econ.. 68 141-150
Wen, J. ; Khalid, S. ; Mahmood, H. ; Zakaria, M. Symmetric and asymmetric impact of economic policy uncertainty on food prices in China: a new evidence. 2021 Resour. Pol.. 74 -
Xiao, X. ; Tian, Q. ; Hou, S. ; Li, C. Economic policy uncertainty and grain futures price volatility: evidence from China. 2019 China Agric. Econ. Rev.. 11 642-654
Yang, L. Connectedness of economic policy uncertainty and oil price shocks in a time domain perspective. 2019 Energy Econ.. 80 219-233
Zhang, D. ; Lei, L. ; Ji, Q. ; Kutan, A.M. Economic policy uncertainty in the US and China and their impact on the global markets. 2019 Econ. Modell.. 79 47-56
Zhu, H. ; Chen, W. ; Hau, L. ; Chen, Q. Time-frequency connectedness of crude oil, economic policy uncertainty and Chinese commodity markets: evidence from rolling window analysis. 2021 N. Am. J. Econ. Finance. 57 101447-
- Zhu, H. ; Huang, R. ; Wang, N. ; Hau, L. Does economic policy uncertainty matter for commodity market in China? Evidence from quantile regression. 2019 Appl. Econ.. 52 1-17
Paper not yet in RePEc: Add citation now
Zmami, M. ; Ben Salha, O. Does oil price drive world food prices? Evidence from linear and nonlinear ARDL modeling. 2019 Economies. 12-