Explaining commodity prices through asymmetric oil shocks: Evidence from nonlinear models
Linkages between oil and 25 other commodity prices are examined using annual data for 1900 to 2011. We identify long-run relationships using both linear and nonlinear ARDL models and capture short-run causalities through asymmetric Granger causality tests. Nonlinearity can’t be rejected for the rela...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
Pergamon Press
2016
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| Online Access: | http://hdl.handle.net/20.500.11937/3079 |