This paper proposes methods to include information from the underlying nominal daily series in model-based forecasts of average real series. We apply these methods to for[...]

Replication code and data for peer-reviewed article published in Journal of Banking and Finance. Paper published online July 17, 2023. When citing this dataset, please al[...]

We examine how regional cost shocks are passed through into the prices of globally traded energy-intensive commodities. We find that the pass-through of local costs is in[...]

Instructions for replications of the results in the paper “Cost pass-through in commodity markets with capacity constraints and international linkages” by Reinhard Ellwan[...]

We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news. Across most sectors, equity prices decr[...]

In macroeconomic forecasting, the real price of oil is traditionally computed as the monthly average price of oil deflated by the price index. Consequently, the no-change[...]

This paper develops a matched vacancy-company dataset by combining daily Canadian online job postings with smartphone-derived visits to points of interest. To address inc[...]

How well do futures prices forecast the spot price of crude oil? Contrary to the established view, futures prices significantly improve upon the accuracy of monthly no-ch[...]

Complete replication and data package. This paper proposes methods to include information from the underlying nominal daily series in model-based forecasts of average rea[...]

This study reevaluates crude oil price forecasts from state-of-the-art VAR models (Baumeister et al., 2022). Unlike Baumeister et al., who use the average-price no-change[...]