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Oil Prices and the Stock Market
This paper develops a novel method for classifying oil price changes as supply or demand driven. Motivated by a simple model and empirical results, demand shocks are identified as returns to an indexExpand
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Commodity Trade and the Carry Trade: A Tale of Two Countries
Persistent differences in interest rates across countries account for much of the profitability of currency carry trade strategies. "Commodity currencies'' tend to have high interest rates while lowExpand
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Fracking, Drilling, and Asset Pricing: Estimating the Economic Benefits of the Shale Revolution
We quantify the effect of a significant technological innovation, shale oil development, on asset prices. Using stock returns on major news announcement days allows us to link aggregate stock priceExpand
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Currency Risk Factors in a Recursive Multicountry Economy
Focusing on the ten most traded currencies, we provide empirical evidence regarding a significant heterogeneous exposure to global growth news shocks. We incorporate this empirical fact in aExpand
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Oil Prices and Long-Run Risk
I add an oil good endowment to the Long-Run Risk model of Bansal and Yaron (2004) to study the asset pricing implications of a constrained oil supply. Lack of responsiveness of the oil endowmentExpand
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Using Futures Prices to Filter Short-Term Volatility and Recover a Latent, Long-Term Price Series for Oil
Oil prices are very volatile. But much of this volatility seems to reflect short-term, transitory factors that may have little or no influence on the price in the long run. Many major investmentExpand
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Commentary: A Canadian Perspective on Services Negotiations
A commentary on J. Robert Vastine’s article “Services Negotiations in the Doha Round: Promise and Reality.” Robert Ready is Director, Services Trade Policy Division in the Department of InternationalExpand
Uncovering dynamic stock return correlations with multilayer network analysis
We apply recent innovations in network science to analyze how correlations of stock returns evolve over time. Expand
Order Flows and Financial Investor Impacts in Commodity Futures Markets
We investigate the impacts of financial investors in commodity markets using intraday trade-and- quote data for commodity futures. We find strong evidence of order flows and price impacts inExpand
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