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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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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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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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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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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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Oil Price Uncertainty and Sectoral Stock Returns in China : A Time-Varying Approach
Caporale, Guglielmo Maria - 2014
suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all …
Persistent link: https://www.econbiz.de/10013050468
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The Great Risk Shift? Income Volatility in an International Perspective
Buch, Claudia M. - 2021
Weakening bargaining power of unions and the increasing integration of the world economy may affect the volatility of … builds distribution risk into a real business cycle model, hypotheses on the determinants of the relative volatility of … capital and labor incomes. This paper documents and explains changes in income volatility. Using a theoretical framework which …
Persistent link: https://www.econbiz.de/10013316443
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Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash
Pesaran, Bahram - 2013
making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how …
Persistent link: https://www.econbiz.de/10013094817
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How the Tight Oil Boom Has Changed Oil and Gasoline Markets
Kilian, Lutz - 2017
Starting in late 2008, the U.S. production of tight oil surged, causing a renaissance in the U.S. oil sector that few industry analysts had anticipated. This tight oil boom reduced the dependence of the United States on petroleum imports and allowed it to become a major exporter of gasoline and...
Persistent link: https://www.econbiz.de/10012960095
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Gold, Oil, and Stocks : Dynamic Correlations
Baruník, Jozef - 2015
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10013023110