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Author : Riadh Aloui
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (931 download)
Download or read book Uncertainty and Crude Oil Returns written by Riadh Aloui and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kais Tissaoui
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (139 download)
Download or read book Dynamic Connectedness Between Crude Oil Return and Uncertainty written by Kais Tissaoui and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the extent to which uncertainty in the energy market, the financial market, the commodity market, the economic policy, and the geopolitical events affect crude oil returns. We employ a two-instrument method in the time-frequency domain that uses the DCC-GARCH (1.1) model and the Granger causality test in the frequency domain to take into account the complicated characteristics of time series, such as nonlinearity, time variability, and unit roots. This allows us to estimate the dynamic transmission of uncertainty from various sources to oil market in the time and frequency domains. Significant dynamic conditional correlations over time are found between oil returns - commodity uncertainty, oil returns - equity market uncertainty, and oil returns - energy uncertainty. Furthermore, at each frequency, the empirical results demonstrate a significant spillover effect from the commodity, energy, and financial markets to the oil market. Additionally, we discover that sources with high persistence volatility (such as the commodities, energy, and financial markets) have more interactions with the oil market than sources with low persistence volatility (economic policy and geopolitical risk events). Our findings have significant ramifications for boosting investor trust in risky energy assets.
Author : Apostolos Serletis
Publisher : World Scientific Publishing Company Incorporated
ISBN 13 : 9789814390675
Total Pages : 142 pages
Book Rating : 4.3/5 (96 download)
Download or read book Oil Price Uncertainty written by Apostolos Serletis and published by World Scientific Publishing Company Incorporated. This book was released on 2012 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: The relationship between the price of oil and the level of economic activity is a fundamental issue in macroeconomics. There is an ongoing debate in the literature about whether positive oil price shocks cause recessions in the United States (and other oil-importing countries), and although there exists a vast empirical literature that investigates the effects of oil price shocks, there are relatively few studies that investigate the direct effects of uncertainty about oil prices on the real economy. The book uses recent advances in macroeconomics and financial economics to investigate the effects of oil price shocks and uncertainty about the price of oil on the level of economic activity.
Author : Robert McNally
Publisher : Columbia University Press
ISBN 13 : 0231543689
Total Pages : 336 pages
Book Rating : 4.2/5 (315 download)
Download or read book Crude Volatility written by Robert McNally and published by Columbia University Press. This book was released on 2017-01-17 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: As OPEC has loosened its grip over the past ten years, the oil market has been rocked by wild price swings, the likes of which haven't been seen for eight decades. Crafting an engrossing journey from the gushing Pennsylvania oil fields of the 1860s to today's fraught and fractious Middle East, Crude Volatility explains how past periods of stability and volatility in oil prices help us understand the new boom-bust era. Oil's notorious volatility has always been considered a scourge afflicting not only the oil industry but also the broader economy and geopolitical landscape; Robert McNally makes sense of how oil became so central to our world and why it is subject to such extreme price fluctuations. Tracing a history marked by conflict, intrigue, and extreme uncertainty, McNally shows how—even from the oil industry's first years—wild and harmful price volatility prompted industry leaders and officials to undertake extraordinary efforts to stabilize oil prices by controlling production. Herculean market interventions—first, by Rockefeller's Standard Oil, then, by U.S. state regulators in partnership with major international oil companies, and, finally, by OPEC—succeeded to varying degrees in taming the beast. McNally, a veteran oil market and policy expert, explains the consequences of the ebbing of OPEC's power, debunking myths and offering recommendations—including mistakes to avoid—as we confront the unwelcome return of boom and bust oil prices.
Author : John Elder
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (129 download)
Download or read book Oil Price Uncertainty written by John Elder and published by . This book was released on 2010 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theories of investment under uncertainty and real options predict that uncertainty about, for example, oil prices will tend to depress current investment. We reinvestigate the relationship between the price of oil and investment, focusing on the role of uncertainty about oil prices. We find that volatility in oil prices has had a negative and statistically significant effect on several measures of investment, durables consumption and aggregate output. We also find that accounting for the effects of oil price volatility tends to exacerbate the negative dynamic response of economic activity to a negative oil price shock, while dampening the response to a positive oil price shock.
Author : Jim Wells
Publisher : DIANE Publishing
ISBN 13 : 9781422315767
Total Pages : 82 pages
Book Rating : 4.3/5 (157 download)
Download or read book Crude Oil written by Jim Wells and published by DIANE Publishing. This book was released on 2007-08 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt: The U.S. economy depends heavily on oil, particularly in the transportation sector. World oil production has been running at near capacity to meet demand, pushing prices upward. Concerns about meeting increasing demand with finite resources have renewed interest in an old question: How long can the oil supply expand before reaching a maximum level of production -- a peak -- from which it can only decline? The author: (1) examined when oil production could peak; (2) assessed the potential for transportation technologies to mitigate the consequences of a peak in oil production; & (3) examined fed. agency efforts that could reduce uncertainty about the timing of a peak or mitigate the consequences. Includes recommendations. Charts & tables.
Author :
Publisher : World Bank Publications
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4./5 ( download)
Download or read book Uncertainty and the Price for Crude Oil Reserves written by and published by World Bank Publications. This book was released on with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Umberto Cherubini
Publisher : John Wiley & Sons
ISBN 13 : 0470863455
Total Pages : 310 pages
Book Rating : 4.4/5 (78 download)
Download or read book Copula Methods in Finance written by Umberto Cherubini and published by John Wiley & Sons. This book was released on 2004-10-22 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: Copula Methods in Finance is the first book to address the mathematics of copula functions illustrated with finance applications. It explains copulas by means of applications to major topics in derivative pricing and credit risk analysis. Examples include pricing of the main exotic derivatives (barrier, basket, rainbow options) as well as risk management issues. Particular focus is given to the pricing of asset-backed securities and basket credit derivative products and the evaluation of counterparty risk in derivative transactions.
Author : Francis X. Diebold
Publisher : Oxford University Press
ISBN 13 : 0199338310
Total Pages : 285 pages
Book Rating : 4.1/5 (993 download)
Download or read book Financial and Macroeconomic Connectedness written by Francis X. Diebold and published by Oxford University Press. This book was released on 2015-02-03 with total page 285 pages. Available in PDF, EPUB and Kindle. Book excerpt: Connections among different assets, asset classes, portfolios, and the stocks of individual institutions are critical in examining financial markets. Interest in financial markets implies interest in underlying macroeconomic fundamentals. In Financial and Macroeconomic Connectedness, Frank Diebold and Kamil Yilmaz propose a simple framework for defining, measuring, and monitoring connectedness, which is central to finance and macroeconomics. These measures of connectedness are theoretically rigorous yet empirically relevant. The approach to connectedness proposed by the authors is intimately related to the familiar econometric notion of variance decomposition. The full set of variance decompositions from vector auto-regressions produces the core of the 'connectedness table.' The connectedness table makes clear how one can begin with the most disaggregated pair-wise directional connectedness measures and aggregate them in various ways to obtain total connectedness measures. The authors also show that variance decompositions define weighted, directed networks, so that these proposed connectedness measures are intimately related to key measures of connectedness used in the network literature. After describing their methods in the first part of the book, the authors proceed to characterize daily return and volatility connectedness across major asset (stock, bond, foreign exchange and commodity) markets as well as the financial institutions within the U.S. and across countries since late 1990s. These specific measures of volatility connectedness show that stock markets played a critical role in spreading the volatility shocks from the U.S. to other countries. Furthermore, while the return connectedness across stock markets increased gradually over time the volatility connectedness measures were subject to significant jumps during major crisis events. This book examines not only financial connectedness, but also real fundamental connectedness. In particular, the authors show that global business cycle connectedness is economically significant and time-varying, that the U.S. has disproportionately high connectedness to others, and that pairwise country connectedness is inversely related to bilateral trade surpluses.
Author : Nuno Limao
Publisher : World Scientific
ISBN 13 : 9813147997
Total Pages : 439 pages
Book Rating : 4.8/5 (131 download)
Download or read book Policy Externalities And International Trade Agreements written by Nuno Limao and published by World Scientific. This book was released on 2018-09-19 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book Policy Externalities and International Trade Agreements is a selection of published articles examining how policy externalities motivate and can be addressed by international trading institutions. The studies provide groundbreaking evidence of the role of international market power and policy uncertainty as motives for trade agreements and on the potential clash between preferential trade liberalization (e.g. European Union, NAFTA) and multilateral agreements (WTO). The studies presented in this book not only identify and estimate how different policies interact with each other and across agreements, but also examine how international trading institutions can be used to limit redistribution towards special interest groups and enforce better cooperation across issues, such as labor and the environment, and between developing and developed countries.
Author : Donald Larson
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (12 download)
Download or read book Uncertainty and the Price for Crude Oil Reserves written by Donald Larson and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: September 1996 Returns to storage for crude oil reserves contain both a cost-reducing component (consistent with Kaldor's original notion of convenience) and often sizable premiums associated with the dispersion of petroleum prices. Innovations in futures, options, and derivative instruments permit active trading, speculating, and hedging - linking markets for physical petroleum products with financial markets. These derivative markets continuously value petroleum delivered today and for future dates, thus providing a market price for inventories. Underground petroleum reserves are also an inventory defined by exploration surveys and development drilling. As a result, observable market information can be used to value these reserves. Option-valuation models can be used to price reserves using observable markets, but are dependent on unexplained convenience yields revealed by the term structure of futures prices. Considine and Larson apply a general model of inventory pricing to petroleum inventories and generate an empirical model of the returns to storage for petroleum markets. They examine the determinants of the convenience yield for crude oil using a stochastic control model. They specify optimal production and inventory conditions using a third-order cost function and estimate them using monthly observations. Their inventory arbitrage condition embodies the Hotelling principle and Kaldor's convenience yield, and includes a premium on the dispersion in crude oil prices. The empirical results suggest that returns to storage contain both a cost-reducing component (consistent with Kaldor's original notion of convenience) and often sizable premiums associated with the dispersion of petroleum prices. Their findings suggest that crude oil markets differentiated by quality and location provide similar premiums. The premiums associated with the dispersion of petroleum prices may account for persistent backwardation in crude oil prices. This finding may also explain the wide discrepancies between Hotelling values and transaction prices found in previous studies. This paper - a product of the Commodity Policy and Analysis Unit, International Economics Department - is part of a larger effort in the department to further the understanding of resource pricing and commodity markets. The study was funded by the Bank's Research Support Budget under the research project Uncertainty and the Price of Crude Oil Reserves (RPO 679-23).
Author : Randall E. Parker
Publisher : Routledge
ISBN 13 : 0415677033
Total Pages : 473 pages
Book Rating : 4.4/5 (156 download)
Download or read book Routledge Handbook of Major Events in Economic History written by Randall E. Parker and published by Routledge. This book was released on 2013 with total page 473 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book aims to introduce readers to the important macroeconomic events of the past two hundred years. It explains what went on and why during the most significant economic epochs of the nineteenth, twentieth and early twenty-first centuries and how where we are today fits in this historical timeline.
Author : Donald F. Larson
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (129 download)
Download or read book Uncertainty and the Price for Crude Oil Reserves written by Donald F. Larson and published by . This book was released on 2016 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Returns to storage for crude oil reserves contain both a cost-reducing component (consistent with Kaldor's original notion of convenience) and often sizable premiums associated with the dispersion of petroleum prices.Innovations in futures, options, and derivative instruments permit active trading, speculating, and hedging - linking markets for physical petroleum products with financial markets. These derivative markets continuously value petroleum delivered today and for future dates, thus providing a market price for inventories. Underground petroleum reserves are also an inventory defined by exploration surveys and development drilling. As a result, observable market information can be used to value these reserves.Option-valuation models can be used to price reserves using observable markets, but are dependent on unexplained convenience yields revealed by the term structure of futures prices. Considine and Larson apply a general model of inventory pricing to petroleum inventories and generate an empirical model of the returns to storage for petroleum markets. They examine the determinants of the convenience yield for crude oil using a stochastic control model.They specify optimal production and inventory conditions using a third-order cost function and estimate them using monthly observations. Their inventory arbitrage condition embodies the Hotelling principle and Kaldor's convenience yield, and includes a premium on the dispersion in crude oil prices.The empirical results suggest that returns to storage contain both a cost-reducing component (consistent with Kaldor's original notion of convenience) and often sizable premiums associated with the dispersion of petroleum prices. Their findings suggest that crude oil markets differentiated by quality and location provide similar premiums.The premiums associated with the dispersion of petroleum prices may account for persistent backwardation in crude oil prices. This finding may also explain the wide discrepancies between Hotelling values and transaction prices found in previous studies.This paper - a product of the Commodity Policy and Analysis Unit, International Economics Department - is part of a larger effort in the department to further the understanding of resource pricing and commodity markets. The study was funded by the Bank's Research Support Budget under the research project Uncertainty and the Price of Crude Oil Reserves (RPO 679-23).
Download or read book Crude Oil Uncertainty about Future Oil Supply Makes It Important to Develop a Strategy for Addressing a Peak and Decline in Oil Production written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ramesh Chandra Das
Publisher : Emerald Group Publishing
ISBN 13 : 1800713169
Total Pages : 285 pages
Book Rating : 4.8/5 (7 download)
Download or read book Global Tariff War written by Ramesh Chandra Das and published by Emerald Group Publishing. This book was released on 2021-03-09 with total page 285 pages. Available in PDF, EPUB and Kindle. Book excerpt: Global Tariff War: Economic, Political and Social Implications traces the impacts that global tariff wars in international trade can have on the growth of national economies. Offering a range of perspectives from developing economies, this collection presents a unique insight into this complex area of geo-political and economic practice.
Author : Iván Blanco
Publisher : Ed. Universidad de Cantabria
ISBN 13 : 8481028770
Total Pages : 90 pages
Book Rating : 4.4/5 (81 download)
Download or read book Three Essays in Financial Markets. The Bright Side of Financial Derivatives: Options Trading and Firm Innovation written by Iván Blanco and published by Ed. Universidad de Cantabria. This book was released on 2019-02-15 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: Do financial derivatives enhance or impede innovation? We aim to answer this question by examining the relationship between equity options markets and standard measures of firm innovation. Our baseline results show that firms with more options trading activity generate more patents and patent citations per dollar of R&D invested. We then investigate how more active options markets affect firms' innovation strategy. Our results suggest that firms with greater trading activity pursue a more creative, diverse and risky innovation strategy. We discuss potential underlying mechanisms and show that options appear to mitigate managerial career concerns that would induce managers to take actions that boost short-term performance measures. Finally, using several econometric specifications that try to account for the potential endogeneity of options trading, we argue that the positive effect of options trading on firm innovation is causal.
Author : International Monetary Fund. Research Dept.
Publisher : International Monetary Fund
ISBN 13 : 147556290X
Total Pages : 251 pages
Book Rating : 4.4/5 (755 download)
Download or read book World Economic Outlook, October 2012 written by International Monetary Fund. Research Dept. and published by International Monetary Fund. This book was released on 2012-10-08 with total page 251 pages. Available in PDF, EPUB and Kindle. Book excerpt: The October 2012 World Economic Outlook (WEO) assesses the prospects for the global recovery in light of such risks as the ongoing euro area crisis and the "fiscal cliff" facing U.S. policymakers. Reducing the risks to the medium-term outlook implies reducing public debt in the major advanced economies, and Chapter 3 explores 100 years of history of dealing with public debt overhangs. In emerging market and developing economies, activity has been slowed by policy tightening in response to capacity constraints, weaker demand from advanced economies, and country-specific factors, but policy improvements have raised these economies' resilience to shocks, an issue explored in depth in Chapter 4.
