This paper analyzes extreme co-movements between the Australian and Canadian commodity currencies, and the gold and oil markets respectively, within a multivariate extension of the Hawkes-POT model. The intensity of extreme events in the Australian dollar are influenced by extreme events in gold, while the size of extreme events in the Canadian dollar are driven by extreme events in crude oil. ...

In this paper we use the frequency domain Granger causality test of Breitung/Candelon (2006) to analyse short and long-run causality between energy prices and prices of food commodities. We find that the oil price Granger causes all the considered food prices. However, when controlling for business cycle fluctuations this link exists especially at low frequencies. Thus, short-run phenomena like...

 Libya experienced a substantial increase in oil revenue as a result of increased oil prices during the period of the late 1970s and early 1980s, and again after 2000. Recent increases in oil production and the price of oil, and their positive and negative macroeconomic impacts upon key macroeconomic variables, are of considerable contemporary importance to an oil dependent economy such as that...

â â â â  libya experienced a substantial increase in oil revenue as a result of increased oil prices during the period of the late 1970s and early 1980s, and again after 2000. recent increases in oil production and the price of oil, and their positive and negative macroeconomic impacts upon key macroeconomic variables, are of considerable contemporary importance to an oil dependent economy such...

This article investigates the relationship between daily crude oil prices and exchange rates. Functional data analysis is used to show the clustering pattern of exchange rates and oil prices over the time period through high dimensional visualizations. We select exchange rates for important currencies related to crude oil prices by using the objective Bayesian variable selection method. The sel...

This paper evaluates the impact of the positive terms of trade (TOT) Shock on macroeconomic variables, using panel data for the six OPEC major oil exporting countries during 1989-2005. The findings indicate that the positive TOT shocks have the small and negative impact on savings and on the trade balance. Nevertheless, it has a positive impact on investment (specifically private investment) an...

We consider whether oil prices can account for business cycle asymmetries. We test for asymmetries based on the Markov switching autoregressive model popularized by Hamilton (1989), using the tests devised by Clements and Krolzig (2000). We select the transformation of the oil price of Lee, Ni and Ratti (1995), based on a linear analysis of the relationship between output growth and the oil pri...

A time series is estimated of in-ground prices of U.S. oil and natural gas reserve prices for the period 1982–2003, usingmarket transaction data. Reserves sold are considered as proved; errors in this respectmay affect estimates, in either direction. The data are also used to examine the impact of reserve status, production rate, andwell head prices, on reserve prices. Both oil and gas current ...

Acute volatile movements in primary commodity prices have drawn enough interests from empirical researchers. Exports of these commodities account for the bulk of export earnings of developing countries. The traditional demand based framework has been unable to explain the marked deterioration in these prices during 1980s. This paper tries to ascertain the role played by real oil prices in expla...

This paper suggests a new methodology for evaluating technological change in a multi-sector general equilibrium framework. The double calibration technique was applied to an ex post decomposition analysis of technological change between two periods, enabling a distinction to be made between price-induced and factor-biased technological changes for each sector. The method is applied to an empiri...