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Risk Premia in Crude Oil Futures Prices
Hamilton, James D. - 2013
If commercial producers or financial investors use futures contracts to hedge against commodity price risk, the arbitrageurs who take the other side of the contracts may receive compensation for their assumption of nondiversifiable risk in the form of positive expected returns from their...
Persistent link: https://www.econbiz.de/10012459606
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Natural Resources and Sovereign Risk in Emerging Economies : A Curse and a Blessing
Hamann, Franz; Mendez-Vizcaino, Juan Camilo; Mendoza, … - National Bureau of Economic Research - 2023
Emerging economies that are large oil producers have sizable external debt, their country risk rises when oil prices fall, and several of them have defaulted at least once since 1979. Moreover, while oil and non-oil output reduce country risk on impact and in the long-run, oil reserves reduce it...
Persistent link: https://www.econbiz.de/10014247980
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Commodity prices and markets : [NBER East Asia Seminar on Economics, volume 20 ; collection of papers that were presented at the 20th Annual East Asia Seminar on Economics (EASE) ;...
Itō, Takatoshi (contributor); Rose, Andrew (contributor) - 2011
relationship between trade and exchange rate volatility / Christian Broda and John Romalis -- Comments: Chaiyasit Anuchitworawong …
Persistent link: https://www.econbiz.de/10008909722
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The Effect of Uncertainty on Investment : Evidence from Texas Oil Drilling
Kellogg, Ryan - 2010
future oil price volatility derived from the NYMEX futures options market. Using a dynamic model of firms' investment problem …, I find that oil companies respond to changes in expected price volatility by adjusting their drilling activity by a …
Persistent link: https://www.econbiz.de/10012462116
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External Capital Structures and Oil Price Volatility
Burger, John D. - 2010
We assess the extent to which a country's external capital structure can aid in mitigating the macroeconomic impact of oil price shocks. We study two Caribbean economies highly vulnerable to oil price shocks, an oil-importer (Jamaica) and an oil-exporter (Trinidad and Tobago). From a...
Persistent link: https://www.econbiz.de/10012462602
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Three Epochs of Oil
Dvir, Eyal - 2009
evidence for changes in persistence and in volatility of price across three well defined periods. We argue that historically … account for the increased volatility of oil price we observe in these periods …
Persistent link: https://www.econbiz.de/10012463721
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Equilibrium Exhaustible Resource Price Dynamics
Carlson, Murray - 2006
(2000). Stochastic volatility aries in our two-factor model as a natural consequence of production for oil and natural gas …
Persistent link: https://www.econbiz.de/10012466671
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Lags, Costs, and Shocks : An Equilibrium Model of the Oil Industry
Bornstein, Gideon - 2017
the world economy. We analyze the impact of the advent of fracking on the volatility of oil prices. Our model predicts a … large decline in this volatility …
Persistent link: https://www.econbiz.de/10012455258
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Interest Rate Volatility and Contagion in Emerging Markets : Evidence from the 1990s
Edwards, Sebastian - 2000
of volatility through time. We are particularly interested in understanding whether periods of high volatility spillover … across countries. Our analysis relies both on univariate and bivariate switching volatility models. Our results indicate that … high-volatility episodes are, in general, short-lived, lasting from two to seven weeks. We find some weak evidence of …
Persistent link: https://www.econbiz.de/10012470937
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Rethinking the Effects of Financial Liberalization
Broner, Fernando A. - 2010
finance higher investment and growth; (ii) insure against aggregate shocks and reduce consumption volatility; and (iii …
Persistent link: https://www.econbiz.de/10012462018