Showing 1 - 10 of 13
For a long time, abundant natural resources brought Iceland a high and volatile real exchange rate with adverse effects on manufacturing and services. During 2003-2008, another national treasure, the sovereign's AAA rating, was used by privatized banks to attract foreign capital, elevating the...
Persistent link: https://www.econbiz.de/10011663376
assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily …
Persistent link: https://www.econbiz.de/10010515402
When natural gas prices are subject to periodic decoupling from oil prices, for instance due to peak-load pricing … address these issues. Our regime switching model uses price data to infer whether pricing is oil-driven (integrated) or gas …-specific (decoupled). We find that UK natural gas (ICE) and oil (Brent) are cointegrated for the majority of the sample considered (1997 …
Persistent link: https://www.econbiz.de/10010486860
In this paper we investigate the time-varying relationship between oil and natural gas in the UK. We develop a model … endogenously accounts for periods where oil and natural gas temporarily decouple due to gas specific pricing. We show that gas … the time of the year. Most of the reversion back to oil occurs in spring and summer when demand for gas to heating and …
Persistent link: https://www.econbiz.de/10010212645
We analyse the drivers of European Power Exchange (EPEX) retail electricity prices between 2012 and early 2022 using machine learning. The agnostic random forest approach that we use is able to reduce in-sample root mean square errors (RMSEs) by around 50% when compared to a standard linear...
Persistent link: https://www.econbiz.de/10013262773
We investigate the relationship between oil prices and stock markets of selected oil importers and oil exporters at the … correlations between oil and stock markets returns during turbulent phases in the oil market, for all countries in our sample. Our …
Persistent link: https://www.econbiz.de/10012226706
A new procedure to trace the sources of contagion in the oil-finance nexus is proposed. We do this by consolidating … veteran rules derived from the empirical oil literature to filter oil supply, global demand, and oil demand shocks into … for systemic risk assessment in countries vulnerable to oil market shocks. We illustrate the procedure using the dynamic …
Persistent link: https://www.econbiz.de/10012120201
to study the impact of economic sanctions on international trade in the mining sector, which includes oil and natural gas …
Persistent link: https://www.econbiz.de/10012428959
Hamilton (2018) suggests that the Kilian (2009) index of global real economic activity is misleading and calls for alternative measures. The problem documented by Hamilton is a consequence of a coding mistake. Specifically, the index of nominal freight rates underlying the Kilian index was...
Persistent link: https://www.econbiz.de/10011958840
There has been much study of the consequences of economic freedom but, outside of the role of political institutions, there has been little study of the determinants of economic freedom. We investigate whether religion affects economic freedom. Our cross-sectional dataset includes 137 countries...
Persistent link: https://www.econbiz.de/10011515355