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Forecasting Natural Gas Prices Using Highly Flexible Time-Varying Parameter Models
Gao, Shen - 2020
The growing disintegration between the natural gas and oil prices, together with shale revolution and market financialization, lead to continued fundamental changes in the natural gas markets. To capture these structural changes, this paper considers a wide set of highly flexible time-varying...
Persistent link: https://www.econbiz.de/10012838597
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Residual Shape Risk on Natural Gas Market with Mixed Jump Diffusion
Janda, Karel - 2019
This paper introduces residual shape risk as a new subclass of energy commodity risk. Residual shape risk is caused by … position which has to be closed at spot market. The residual shape risk is defined as a difference between spot and forward … energy supplier. We evaluated residual shape risk over the years 2014 - 2018 with a real portfolio of a leading natural gas …
Persistent link: https://www.econbiz.de/10012870378
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Uncertainty and Sign-Dependent Effects of Oil Market Shocks
Nguyen, Bao - 2019
This paper investigates the oil market reaction to its fundamental shocks: supply, aggregate demand and oil-specific demand in different regimes characterised by high versus low uncertainty in the market. We do so by first proposing a novel oil uncertainty index that is measured by the...
Persistent link: https://www.econbiz.de/10012893587
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Electricity Market Integration, Decarbonisation and Security of Supply : Dynamic Volatility Connectedness in the Irish and Great Britain Markets
Do, Hung Xuan - 2020
This study investigates the volatility connectedness between the Irish and Great Britain electricity markets and how it is driven by changes in energy policy, institutional structures and political ideologies. We assess various aspects of this volatility connectedness including static...
Persistent link: https://www.econbiz.de/10012835991
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Electricity Availability : A Precondition for Faster Economic Growth?
Best, Rohan; Burke, Paul J. - 2018
We investigate if greater electricity availability helps countries ascend to faster economic growth trajectories. This is an important question for many developing countries that are currently prioritizing infrastructure investments. Using cross-sectional and panel regressions with...
Persistent link: https://www.econbiz.de/10014113073
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Estimating the Impacts of Financing Support Policies Towards Photovoltaic Market in Indonesia : A Social-Energy-Economy-Environment (SE3) Model Simulation
al Irsyad, M. Indra - 2019
This study estimates the impacts of four solar energy policy interventions on the photovoltaic (PV) market potential, government expenditure, economic growth, and the environment. An agent-based model is developed to capture the specific economic and institutional features of developing...
Persistent link: https://www.econbiz.de/10012894853
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Rebound Effect of Improved Energy Efficiency for Different Energy Types : A General Equilibrium Analysis for China
Lu, YingYing - 2016
This paper explores the rebound effect of different energy types in China based on a static computable general equilibrium model. A one-off 5% energy efficiency improvement of using five different types of energy is imposed, respectively, in all the 135 production sectors in China. The rebound...
Persistent link: https://www.econbiz.de/10012988263
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Economic Policy Uncertainty Spillovers in Booms and Busts
Caggiano, Giovanni; Castelnuovo, Efrem; Figueres, Juan … - 2018
We estimate a nonlinear VAR to quantify the impact of economic policy uncertainty shocks originating in the US on the Canadian unemployment rate in booms and busts. We find strong evidence in favor of asymmetric spillover effects. Unemployment in Canada is shown to react to uncertainty shocks in...
Persistent link: https://www.econbiz.de/10014113425
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The Global Role of the U.S. Economy : Linkages, Policies and Spillovers
Kose, M. Ayhan - 2017
This paper analyzes the role of the United States in the global economy and examines the extent of global spillovers from changes in U.S. growth, monetary and fiscal policies, and uncertainty in its financial markets and economic policies. Developments in the U.S. economy, the world's largest,...
Persistent link: https://www.econbiz.de/10012963312
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International Spill-Overs of Uncertainty Shocks : Evidence from a FAVAR
Kamber, Güneş - 2016
This paper analyses the international spill-overs of uncertainty shocks originating in the US. We estimate an open economy, structural factor-augmented vector autoregression (FAVAR) model that identifies US uncertainty shocks and estimates the impact of these uncertainty shocks on the US...
Persistent link: https://www.econbiz.de/10012981902