Volatility of commodity futures prices and market-implied inflation expectations

Author:

Orlowski Lucjan T.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference29 articles.

1. Adrian, T., Wu, H., 2009. The term structure of inflation expectations. Federal Reserve Bank of New York – Staff Report No. 362.

2. Allegret, J.P., Couharde, C., Mignon, V., Razafindrabe, T., 2015. Oil currencies in the face of oil shocks: What can be learned from the time-varying specifications? CEPII (Centre d’Etudes Prospectives et d’Informations Internationales) Working Paper no. 2015-18.

3. Computation and analysis of multiple structural change models;Bai;J. Appl. Economet.,2003

4. Common cycles and common trends in the stock and oil markets: Evidence from more than 150 years of data;Balcilar;Energy Econ.,2017

5. Can stock market investors hedge energy risk? Evidence from Asia;Batten;Energy Econ.,2017

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