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A general approach to recovering market expectations from futures prices with an application to crude oil

Baumeister, Christiane; Kilian, Lutz - 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/10011452269

Factor price equalization? : The cointegration approach revisited

Berger, Helge; Westermann, Frank - 2001

Factor price equality across countries is an important implication of the Heckscher-Ohlin-Samuelson model of international trade. Although an influential theoretical result, the model has received surprisingly little empirical support. Burgman and Geppert (1993) argue that this might be due to...

Persistent link: https://www.econbiz.de/10001597644

An empirical investigation into exchange regime choice and exchange rate volatility

Berger, Helge; Sturm, Jan-Egbert; Haan, Jakob de - 2000

We test a simple model of exchange rate regime choice with data for non-OECD countries covering the period 1980-94. We find the variance of output at home and in potential target countries as well as the correlation between home and foreign real activity are powerful and robust predictors of...

Persistent link: https://www.econbiz.de/10001473991

Political Determinants of Fossil Fuel Pricing

van Beers, Cees - 2017

This paper provides an empirical analysis of economic and political determinants of gasoline and diesel prices for about 200 countries over the period 1991-2010. A range of both political and economic variables are found to systematically influence fuel prices, and in ways that differ...

Persistent link: https://www.econbiz.de/10012974285

Are product spreads useful for forecasting? : an empirical evaluation of the Verleger hypothesis

Baumeister, Christiane; Kilian, Lutz; Zhou, Xiaoqing - 2013

Notwithstanding a resurgence in research on out-of-sample forecasts of the price of oil in recent years, there is one important approach to forecasting the real price of oil which has not been studied systematically to date. This approach is based on the premise that demand for crude oil derives...

Persistent link: https://www.econbiz.de/10009781115

Forecasting the real price of oil in a changing world : a forecast combination approach

Baumeister, Christiane; Kilian, Lutz - 2013

The U.S. Energy Information Administration regularly publishes short-term forecasts of the price of crude oil. Traditionally, such out-of-sample forecasts have been largely judgmental, making them difficult to replicate and justify, and not particularly successful when compared with naive...

Persistent link: https://www.econbiz.de/10009783104

Cross-border mergers and acquisitions : on revealed comparative advantage and merger waves

Brakman, Steven; Garretsen, Harry; Marrewijk, Charles van - 2005

By combining two large data sets (on international trade flows and on mergers and acquisitions M&As), we are able to test two implications of Neary's (2003, 2004a) recent theoretical work. Analyzing M&As in a General Oligopolistic Equilibrium (GOLE) model incorporating strategic interaction...

Persistent link: https://www.econbiz.de/10003277098

The role of time-varying price elasticities in accounting for volatility changes in the crude oil Market

Baumeister, Christiane; Peersman, Gert - 2011

There has been a systematic increase in the volatility of the real price of crude oil since 1986, followed by a decline in the volatility of oil production since the early 1990s. We explore reasons for this evolution. We show that a likely explanation of this empirical fact is that both the...

Persistent link: https://www.econbiz.de/10009382056

Cheap but flighty : how global imbalances create financial fragility

Ahnert, Toni; Perotti, Enrico C. - 2015

We analyze how a wealth shift to emerging countries may lead to instability in developed countries. Investors exposed to expropriation risk are willing to pay a safety premium to invest in countries with good property rights. Domestic intermediaries compete for such cheap funding by carving out...

Persistent link: https://www.econbiz.de/10011304762

China's emergence in the world economy and business cycles in Latin America

Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, … - 2012

world have altered the transmission mechanism of international business cycles to Latin America. Evidence based on a Global … world shows that the long-term impact of a China GDP shock on the typical Latin American economy has increased by three … associated with a deceleration in China's economic growth in the future for both Latin America and the rest of the world economy …

Persistent link: https://www.econbiz.de/10009627525