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Asymmetric and nonlinear pass-through relationship between oil and other commodities
Halmstad University, School of Business, Engineering and Science, Centre for Innovation, Entrepreneurship and Learning Research (CIEL).
2016 (English)In: Opec Energy Review, ISSN 1753-0229, E-ISSN 1753-0237, Vol. 40, no 3, p. 263-275Article in journal (Refereed) Published
Abstract [en]

There are very few studies on the asymmetric relationship between crude oil prices and the prices of other commodities. Using the recently developed multivariate hidden cointegration technique, the results indicate that there exists a long-run and asymmetric relationship between crude oil prices and the price of other commodities. The policy implication of our results is that crude oil as a strategic resource plays an important role in commodity markets and regardless of whether the commodity market is in a boom period or a downturn, the volatility of crude oil prices always affects other commodity prices.

Place, publisher, year, edition, pages
Chichester: Wiley-Blackwell Publishing Inc., 2016. Vol. 40, no 3, p. 263-275
National Category
Economics and Business
Identifiers
URN: urn:nbn:se:hh:diva-35633DOI: 10.1111/opec.12078ISI: 000391027100002OAI: oai:DiVA.org:hh-35633DiVA, id: diva2:1163518
Available from: 2017-12-07 Created: 2017-12-07 Last updated: 2017-12-07Bibliographically approved

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Irandoust, Manuchehr

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