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Time-Varying Spot and Futures Oil Price Dynamics
Caporale, Guglielmo Maria - 2013
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/10013094836
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A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
Baumeister, Christiane - 2016
Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset....
Persistent link: https://www.econbiz.de/10012996209
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Forty Years of Oil Price Fluctuations : Why the Price of Oil May Still Surprise Us
Baumeister, Christiane - 2016
It has been forty years since the oil crisis of 1973/74. This crisis has been one of the defining economic events of the 1970s and has shaped how many economists think about oil price shocks. In recent years, a large literature on the economic determinants of oil price fluctuations has emerged....
Persistent link: https://www.econbiz.de/10012998728
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Understanding the Decline in the Price of Oil Since June 2014
Baumeister, Christiane - 2016
Some observers have conjectured that the steep decline in the price of oil between June and December 2014 resulted from positive oil supply shocks in the second half of 2014. Others have suggested that a major shock to oil price expectations occurred when in late November 2014 OPEC announced...
Persistent link: https://www.econbiz.de/10012996804
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Explosive Oil Prices
Gronwald, Marc - 2021
This paper deals with three aspects of spectacular oil price episodes such as the one witnessed in 2008. First, the concept of temporary explosiveness is proposed as an empirical method for capturing this type of behavior. The application of a recently proposed recursive unit root test shows...
Persistent link: https://www.econbiz.de/10013315722
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Fuel Efficiency Improvements - Feedback Mechanisms and Distributional Effects in the Oil Market
Aune, Finn Roar - 2015
efficiency improvements are policy-induced in certain regions of the world. We are especially interested in feedback mechanisms …
Persistent link: https://www.econbiz.de/10013015360
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Asymmetry in Volatility : A Comparison of Developed and Transition Stock Markets
Wdowinski, Piotr; Malecka, Marta - 2021
describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …
Persistent link: https://www.econbiz.de/10013316234
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International Portfolio Flows and Exchange Rate Volatility for Emerging Markets
Caporale, Guglielmo Maria - 2015
This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility, using monthly … probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility … state. In particular, net bond inflows increase the probability of remaining in the low volatility state in the case of …
Persistent link: https://www.econbiz.de/10013009868
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Global and Regional Spillovers in Emerging Stock Markets : A Multivariate Garch-in-Mean Analysis
Beirne, John - 2013
, volatility, and cross-market GARCH-in-mean effects. Hypotheses about the importance of different channels are tested. The results …
Persistent link: https://www.econbiz.de/10013095613
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Model Averaging in Risk Management with an Application to Futures Markets
Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - 2021
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the … management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for …
Persistent link: https://www.econbiz.de/10013316571