The financialization of commodity markets is a well-documented phenomenon spurred by
the massive growth of institutional funds directed into commodity indices from the mid …

Using quarterly data on four commodity-exporting countries, we examine the explanatory
power of real commodity prices to predict real effective exchange rates, paying particular …

Using quarterly data ranging from 1986Q1 to 2019Q4, this paper identifies an oil supply
shock that is exogenous to global real economic activity in the impact quarter based on the …

This study conducts out-of-sample tests for returns on individual currency investment
strategies and the weights on the universe of these strategies. We focus on five investment …

Commodity sectors exhibit heterogeneous characteristics owing to their limited supply and
demand. To analyze these sector heterogeneities, we construct commodity factor portfolios …

Commodity prices co-move, but the strength of this co-movement changes over time due to
structural factors, like changing energy intensity in production and consumption as well as …

This paper formally implements time-varying risk price models for currency returns. Focusing
upon time variation in risk prices, the paper explores four currency risk factors. In addition to …

Using a unique and comprehensive measure of political stability, we evaluate the
relationship between countries' political stability and stock market performance around the …

This paper studies the downside tail-risk relationship between currencies and commodities.
In order to do so, we use the novel MCoVaR with Elastic-Net of Bonaccolto et al.(2021) to …

By examining the connectedness of carry trade currency with stock, foreign exchange
(forex), and commodity markets, the paper investigates the extent to which shocks in capital …