Research Themes and Funding

Commodity Prices

Here we have gathered our research on commodity prices. Within this topic you will find recent research on commodity futures, the effect of media on asset returns, and other relevant questions regarding commodity prices.

  • Do Central Banks Respond to Exchange Rate Movements? A Markov-Switching Structural Investigation of Commodity Exporters and Importers (Alstadheim, Bjørnland and Maih)
  • Climate Risk and Commodity Currencies (Kapfhammer, Larsen and Thorsrud)
  • Large Time-Varying Volatility Models for Electricity Prices (Gianfreda, Ravazzolo and Rossini)
  • Inflation expectations and the pass-through of oil prices (Aastveit, Bjørnland and Cross)
  • Forecasting Energy Commodity Prices: A Large Global Dataset Sparse Approach (Ferrari, Ravazzolo and Vespignani)
  • The Impact of U.S. Supply Shocks on the Global Oil Price (Gundersen)
  • Asset returns, news topics, and media effects (Larsen and Thorsrud)
  • Oil-Price Density Forecasts of U.S. GDP (Ravazzolo and Rothman). Published in: Studies of Nonlinear Dynamics and Econometrics, 2016, vol. 20(4), 441-453
  • Oil price density forecasts: Exploring the linkages with stock markets (Lombardi and Ravazzolo). Published in: Journal of Commodity Markets, 2016, Vol 2(1), 45-57 
  • On the correlation between commodity and equity returns: Implications for portfolio allocation (Lombardi and Ravazzolo)
    • Published in: Journal of Commodity Markets, 2016, Vol 2(1), 45-57
  • Commodity Futures and Forecasting Commodity (Ravazzolo, Sveen and Zahiri)