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.

• Oil and the Stock Market Revisited: A mixed functional VAR approach (Hilde C. Bjørnland, Yoosoon Chang and Jamie L. Cross)
  • CAMP Working Paper 03/2023
• Oil Prices Uncertainty, Endogenous Regime Switching, and Inflation Anchoring (Yoosoon Chang, Ana María Herrera and Elena Pesavento)
  • CAMP Working Paper 02/2023
• The effect of rising energy prices amid geopolitical developments and supply disruptions (Hilde C. Bjørnland)
  • CAMP Working Paper 07/2022
• The Role of Precautionary and Speculative Demand in the Global Market for Crude Oil (Jamie L. Cross, Bao H. Nguyen and Trung Duc Tran)
  • CAMP Working Paper 06/2021
• The Price Responsiveness of Shale Producers: Evidence From Micro Data (Knut Are Aastveit, Hilde C. Bjørnland and Thomas S. Gundersen)
  • CAMP Working Paper 05/2021
• News media versus FRED-MD for macroeconomic forecasting (Jon Ellingsen, Vegard H. Larsen and Leif Anders Thorsrud)
  • Published in: Journal of Applied Econometrics, 2021, 1– 19
• Quantifying time-varying forecast uncertainty and risk for the real price of oil (Knut Are Aastveit, Jamie L. Cross and Herman K. van Dijk)
  
  • Published in: Journal of Business & Economic Statistics, 2022
  • CAMP Working Paper 3/2021
• Do Central Banks Respond to Exchange Rate Movements? A Markov-Switching Structural Investigation of Commodity Exporters and Importers (Alstadheim, Bjørnland and Maih)
  • Working Paper (2020)
• Large Time-Varying Volatility Models for Electricity Prices (Gianfreda, Ravazzolo and Rossini)
  
  • Published in: Oxford Bulletin of Economics and Statistics, 2023
  • Working Paper (2020)
• Inflation expectations and the pass-through of oil prices (Knut Are Aastveit, Hilde C. Bjørnland and Jamie Cross).
  • Published in: The Review of Economics and Statistics 2023; doi: https://doi.org/10.1162/rest_a_01073
  • CAMP Working Paper 3/2020
• Narrative monetary policy surprises and the media (Saskia ter Ellen, Vegard H. Larsen and Leif Anders Thorsrud)
  • Published in: Journal of Money, Credit and Banking, 2022, 54(5), pp. 1525-1549.
  • CAMP Working Paper 06/2019
• Forecasting Energy Commodity Prices: A Large Global Dataset Sparse Approach (Ferrari, Ravazzolo and Vespignani)
  • Published in: Energy Economics, 2021, Vol. 98, 105268
  • Working Paper (2019)
• The Impact of U.S. Supply Shocks on the Global Oil Price (Gundersen)
  • Working Paper (2018)
• Asset returns, news topics, and media effects (Larsen and Thorsrud)
  
  • Published in: Scandinavian Journal of Economics , 2022, 124(3), pp. 838-868.
  • Working Paper (2017)
• 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
  • Working Paper (2015)
• 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 
  • Working Paper (2012)
• 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)
  • Working Paper (2016)