Wars, cartels and COVID-19: regime switching in commodity prices

References

• Ahmed, M. Y., and S. A. Sarkodie. 2021. ”COVID-19 Pandemic and Economic Policy Uncertainty Regimes Affect Commodity Market Volatility.” Resources Policy 74: 102303. issn: 0301-4207.
   PubMed Web of Science ®Google Scholar
• Albert, J. H., and S. Chib. 1993. “Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts.” Journal of Business & Economic Statistics 11 (1): 1–15.
   Web of Science ®Google Scholar
• Arezki, R., K. Hadri, P. Loungani, and Y. Rao. 2014. “Testing the Prebisch–singer Hypothesis Since 1650: Evidence from Panel Techniques That Allow for Multiple Breaks.” Journal of International Money and Finance 42 (C): 208–223. doi:10.1016/j.jimonfin.2013.08.012.
   Google Scholar
• Boccia, F., and P. Sarnacchiaro. 2020. “Chi-Squared Automatic Interaction Detector Analysis on a Choice Experiment: An Evaluation of Responsible Initiatives on Consumers’ Purchasing Behavior.” Corporate Social Responsibility and Environmental Management 27 (2): 1143–1151.
   Web of Science ®Google Scholar
• Caldara, D., M. Cavallo, and M. Iacoviello. 2019. “Oil Price Elasticities and Oil Price Fluctuations.” Journal of Monetary Economics 103: 1–20. doi:10.1016/j.jmoneco.2018.08.004.
   Web of Science ®Google Scholar
• Cavalcanti, T. V., K. Mohaddes, and M. Raissi. 2015. “Commodity Price Volatility and the Sources of Growth.” Journal of Applied Econometrics 30 (6): 857–873.
   Web of Science ®Google Scholar
• Christiane, B., and J. D. Hamilton. 2019. “Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks.” The American Economic Review 109 (5): 1873–1910.
   Web of Science ®Google Scholar
• Crowson, P. 2007. “The Copper Industry 1945–1975.” Resources Policy 32 (1): 1–18.
   Web of Science ®Google Scholar
• Dvir, E., and K. Rogoff. 2010. “Three Epochs of Oil.” NBER Working Paper, no. 14927.
   Google Scholar
• Dvir, E., and K. Rogoff. 2014. “Demand Effects and Speculation in Oil Markets: Theory and Evidence.” Understanding International Commodity Price Fluctuations.” Journal of International Money and Finance 42: 113–128. doi:10.1016/j.jimonfin.2013.08.007.
   Web of Science ®Google Scholar
• Fruhwirth-Schnatter, S. 2004. “Estimating Marginal Likelihoods for Mixture and Markov Switching Models Using Bridge Sampling Techniques.” The Econometrics Journal 7 (1): 143–167. doi:10.1111/j.1368-423X.2004.00125.x.
   Google Scholar
• Garcia, R., and P. Perron. 1996. “An Analysis of the Real Interest Rate Under Regime Shifts.” The Review of Economics and Statistics 78 (1): 111–125. doi:10.2307/2109851.
   Web of Science ®Google Scholar
• Hamilton, J. D. 1983. “Oil and the Macroeconomy Since World War II.” The Journal of Political Economy 91 (2): 228–248.
   Web of Science ®Google Scholar
• Hamilton, J. D. 1989. “A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle.” Econometrica 57 (2): 357–384.
   Web of Science ®Google Scholar
• Hamilton, J. D. 1994. Time Series Analysis. Princeton, NJ: Princeton University Press.
   Google Scholar
• Hamilton, J. D. 2010. “Regime Switching Models.” In Macroeconometrics and Time Series Analysis, edited by Durlauf, S. N. and Blume, L.E, 202–209. London: The New Palgrave Economics Collection. doi: 10.1057/9780230280830_23.
   Google Scholar
• Jacks, D. S., and M. Stuermer. 2020. “What Drives Commodity Price Booms and Busts?” Energy Economics 85: 104035.
   Web of Science ®Google Scholar
• Jiang, Y. 2020. “Identification of Business Cycles and the Great Moderation in the Post-War U.S. Economy.” Economics Letters 190: 109072. doi:10.1016/j.econlet.2020.109072.
   Web of Science ®Google Scholar
• Kilian, L. 2009. “Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market.” The American Economic Review 99 (3): 1053–1069. doi:10.1257/aer.99.3.1053.
   Web of Science ®Google Scholar
• Kilian, L. 2010. “Oil Price Volatility: Origins and Effects.” WTO Staff Working Papers, no. ERSD-2010-02.
   Google Scholar
• Kilian, L., and D. Murphy. 2012. “Why Agnostic Sign Restrictions are Not Enough: Understanding the Dynamics of Oil Market Var Models.” Journal of the European Economic Association 10 (5): 1166–1188.
   Web of Science ®Google Scholar
• Kim, C.-J., and C. Nelson. 1999. State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications. Cambridge, Massachusetts: The MIT Press.
   Google Scholar
• Lippi, F., and A. Nobili. 2012. “Oil and the Macroeconomy: A Quantitative Structural Analysis.” Journal of the European Economic Association 10 (5): 1059–1083. doi:10.1111/j.1542-4774.2012.01079.x.
   Web of Science ®Google Scholar
• Pindyck, R. 2004. “Volatility and Commodity Price Dynamics.” Journal of Futures Markets 24 (November): 1029–1047. doi:10.1002/fut.20120.
   Google Scholar