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Time-Varying Spot and Futures Oil Price Dynamics

Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - CESifo - 2010

We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...

Persistent link: https://www.econbiz.de/10008534005

How Strongly Did the 2007/08 Oil Price Hike Contribute to the Subsequent Recession?

Carstensen, Kai; Elstner, Steffen; Paula, Georg - CESifo - 2011

What were the economic consequences of the 2007/08 oil price hike for Germany? In this paper we use a structural vector autoregressive model to study the effects of oil price changes driven by different supply and demand shocks on the German economy. We find that a higher oil bill always stifles...

Persistent link: https://www.econbiz.de/10008853845

The Fossil Episode

Hassler, John; Sinn, Hans-Werner - CESifo - 2012

We build a two-sector dynamic general equilibrium model with one-sided substitutability between fossil carbon and biocarbon. One shock only, the discovery of the technology to use fossil fuels, leads to a transition from an initial pre-industrial phase to three following phases: a pure fossil...

Persistent link: https://www.econbiz.de/10010877924

Investigating the U.S. Oil-Macroeconomy Nexus using Rolling Impulse Responses

Gronwald, Marc - CESifo - 2009

This paper is concerned with the apparent change in the U.S. oil price-macroeconomy relationship. It is investigated to what extent this change can be accounted for by the large oil price surges witnessed in the 1970s. The innovative approach of rolling impulse responses is applied and both the...

Persistent link: https://www.econbiz.de/10005013074

A Characterization of Oil Price Behavior - Evidence from Jump Models

Gronwald, Marc - CESifo - 2011

This paper is concerned with the statistical behavior of oil prices in two ways. It, firstly, applies a combined jump GARCH in order to characterize the behavior of daily, weekly as well as monthly oil prices. Secondly, it relates its empirical results to implications of Hotelling-type resource...

Persistent link: https://www.econbiz.de/10009371347

The Micro Dynamics of Macro Announcements

Mittnik, Stefan; Robinzonov, Nikolay; Wohlrabe, Klaus - CESifo - 2013

response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by … adequately analyze both conditional mean and volatility effects. …

Persistent link: https://www.econbiz.de/10010877723

Commodity Price Volatility, Democracy and Economic Growth

Arezki, Rabah; Gylfason, Thorvaldur - CESifo - 2011

We use a new dataset on non-resource GDP to examine the impact of commodity price volatility on economic growth in a … panel of up to 158 countries during the period 1970-2007. Our main finding is that commodity price volatility leads to a … result, we show that increased commodity price volatility leads to a statistically significant and quantitatively large …

Persistent link: https://www.econbiz.de/10009352227

The Relative Volatility of Commodity Prices: A Reappraisal

Arezki, Rabah; Lederman, Daniel; Zhao, Hongyan - CESifo - 2011

This paper studies the volatility of commodity prices on the basis of a large dataset of monthly prices observed in … evidence does not actually attempt to measure the volatility of prices of individual goods or commodities. The literature tends … to focus on trends in the evolution and volatility of ratios of price indexes composed of multiple commodities and …

Persistent link: https://www.econbiz.de/10009391720

Natural Resources, Volatility, and Inclusive Growth: Perspectives from the Middle East and North Africa

Arezki, Rabah; Nabli, Mustapha K. - CESifo - 2012

experienced relatively low and non inclusive economic growth as well as high levels of macroeconomic volatility. Important …

Persistent link: https://www.econbiz.de/10010550241

The Relationship between Exchange Rates and International Trade: A Literature Review

Auboin, Marc; Ruta, Michele - CESifo - 2012

, two main issues are investigated: the impact on international trade of exchange rate volatility and of currency … misalignments. On average, exchange rate volatility has a negative (even if not large) impact on trade flows. The extent of this …

Persistent link: https://www.econbiz.de/10010555693