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Leverage vs. Feedback: Which Effect Drives the Oil Market?
Aboura, Sofiane; Chevallier, Julien - HAL - 2012
This article brings new insights on the role played by (implied) volatility on the WTI crude oil spot price. An … increase in the volatility subsequent to an increase in the oil price (i.e. inverse leverage effect) remains the dominant … increase in the oil price subsequent to an increase in the volatility (i.e. inverse feedback effect) with a two-day delayed …
Persistent link: https://www.econbiz.de/10010559437
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Margin Backtesting
Hurlin, Christophe; Pérignon, Christophe - HAL - 2012
This paper presents a validation framework for collateral requirements or margins on a derivatives exchange. It can be used by investors, risk managers, and regulators to check the accuracy of a margining system. The statistical tests presented in this study are based either on the number,...
Persistent link: https://www.econbiz.de/10010899495
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Changements institutionnels et efficience de l'affrètement au voyage dans le transport fluvial de marchandises
Lendjel, Emeric; Fischman, Marianne - HAL - 2010
VNF (2010)'s statistical data show a remarkable resilience of inland navigation in France during the recession. Yet at least part of the profession is in crisis: the boatmen are now likely to be close to bankruptcy. Key players in the fully liberalized (since 2000) spot market, small independent...
Persistent link: https://www.econbiz.de/10010750989
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Oil prices and government bond risk premiums
Alexandre, Herve; De, Benoist Antonin - HAL - 2010
This article analyses the impact of oil price on bond risk premiums issued by emerging economies. No empirical study … has yet focussed on the effects of the oil price on government bond risk premiums. We develop a model of credit spread … investors. Finally, we suggest a new estimator for the oil price to take into account the effect of the price variance. We show …
Persistent link: https://www.econbiz.de/10010935037
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Monetary Policy and the Dutch Disease in a Small Open Oil Exporting Economy
Benkhodja, Mohamed Tahar - HAL - 2011
) flexible wage and sticky price only in the case of a fixed exchange rate. In other cases, Dutch disease effect can be avoided …
Persistent link: https://www.econbiz.de/10009401094
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Oil prices and government bond risk premiums
Alexandre, Herve; De, Benoist Antonin - HAL - 2010
This article analyses the impact of oil price on bond risk premiums issued by emerging economies. No empirical study … has yet focussed on the effects of the oil price on government bond risk premiums. We develop a model of credit spread … investors. Finally, we suggest a new estimator for the oil price to take into account the effect of the price variance. We show …
Persistent link: https://www.econbiz.de/10010618135
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Oil Price and the Dollar
Coudert, Virginie; Mignon, Valérie; Penot, Alexis - HAL - 2008
The aim of this paper is to test whether a stable long-term relationship exists between oil prices and the US effective exchange rate, expressed in real terms. To this end, weproceed to a cointegration and causality study between the two variables. Our results indicate that causality runs from...
Persistent link: https://www.econbiz.de/10008789406
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On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses
Arouri, Mohamed El Hedi; Fouquau, Julien - HAL - 2009
world energy market players, their stock markets may be susceptible to oil price shocks. To account for the fact that stock … markets may respond nonlinearly to oil price shocks, we have examined both linear and nonlinear relationships. Our findings … countries react positively to oil price increases. For Bahrain, Kuwait, and Saudi Arabia we found that oil price changes do not …
Persistent link: https://www.econbiz.de/10008793552
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Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries
Créti, Anna; Ftiti, Zied; Guesmi, Khaleb - HAL - 2013
The aim of this paper is to study the degree of interdependence between oil price and stock market index into two … empirical methodology setting a time-varying dynamic correlation measure between the stock market index and the oil price series … interdependence between oil price and stock markets is higher in the exporters countries than in the importers one. …
Persistent link: https://www.econbiz.de/10010899622
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On the Risk Comovements between the Crude Oil Market and the U.S. Dollar Exchange Rates
Truchis, Gilles De; Keddad, Benjamin - HAL - 2014
This article examines the volatility dependence between the crude oil price and four US dollar exchange rates using …
Persistent link: https://www.econbiz.de/10010933834