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Khorrami, Paymon; Zentefis, Alexander K. - 2020

exists, arbitrage opportunities must also exist. Conversely, at times when arbitrage profits exist, asset markets are … susceptible to self-fulfilling fluctuations. The tight theoretical connection between price volatility and arbitrage is detectable …

Persistent link: https://www.econbiz.de/10012260973

OPEC, shale oil, and global warming : on the importance of the order of extraction

Benchekroun, Hassan; Meijden, Gerard van der; Withagen, Cees - 2017

We show that OPEC's market power contributes to global warming by enabling producers of relatively expensive and dirty oil to start producing before OPEC reserves are depleted. We fully characterize the equilibrium of a cartel-fringe model and use a calibration to examine the importance of this...

Persistent link: https://www.econbiz.de/10011754208

Oil market efficiency, quantity of information, and oil market turbulence

Gronwald, Marc; Wadud, Sania; Dogah, Kingsley - 2024

This paper analyses the informational efficiency of the WTI crude oil markets using a recently proposed quantitative measure for market inefficiency. The procedure measures the extent to which observed oil price behaviour deviates from the Random Walk benchmark which represents an efficient...

Persistent link: https://www.econbiz.de/10014490913

Optimality and diversifiability of mean variance and arbitrage pricing portfolios

Pesaran, M. Hashem; Zaffaroni, Paolo - 2009

This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using … literature for the exact pricing case to two other cases of asymptotic no-arbitrage and the unconstrained pricing scenarios. The … ; mean-variance portfolio ; arbitrage pricing ; market (beta) neutrality ; well diversification …

Persistent link: https://www.econbiz.de/10003910456

The role of factor strength and pricing errors for estimation and inference in asset pricing models

Pesaran, M. Hashem; Smith, Ron - 2019

In this paper we are concerned with the role of factor strength and pricing errors in asset pricing models, and their implications for identification and estimation of risk premia. We establish an explicit relationship between the pricing errors and the presence of weak factors that are...

Persistent link: https://www.econbiz.de/10012118575

Forty years of oil price fluctuations : why the price of oil may still surprise us

Baumeister, Christiane; Kilian, Lutz - 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/10011431626

Fuel efficiency improvements : feedback mechanisms and distributional effects in the oil market

Aune, Finn Roar; Bøeng, Ann Christin; Kverndokk, Snorre; … - 2015

We study the interactions between fuel efficiency improvements in the transport sector and the oil market, where the efficiency improvements are policy-induced in certain regions of the world. We are especially interested in feedback mechanisms of fuel efficiency such as the rebound effect,...

Persistent link: https://www.econbiz.de/10011309227

The impact of the fracking boom on Arab oil producers

Kilian, Lutz - 2016

This article contributes to the debate about the impact of the U.S. fracking boom on U.S. oil imports, on Arab oil exports, and on the global price of crude oil. First, I investigate the extent to which this oil boom has caused Arab oil exports to the United States to decline since late 2008....

Persistent link: https://www.econbiz.de/10011422578

Pro-cyclical petroleum investments and cost overruns in Norway

Dahl, Roy Endré; Lorentzen, Sindre; Oglend, Atle; … - 2016

Development projects in the oil industry often have cost overruns. Through analysis of data from Norwegian development projects in the petroleum industry, this paper investigates the common effect of business cycle developments on cost overruns. Lack of capacity and expertise in a tight supplier...

Persistent link: https://www.econbiz.de/10011539018

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/10011615967

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