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Oil price risk exposure: The case of the U.S. Travel and Leisure Industry

Mohanty, Sunil; Nandha, Mohan; Habis, Essam; Juhabi, Eid - In: Energy Economics 41 (2014) C, pp. 117-124

We investigate the oil price risk exposure of the U.S. Travel and Leisure industry. In this paper, we utilize the Fama–French–Carhart's (1997) four-factor asset pricing model augmented with oil price risk factor. The results of our study suggest that oil price sensitivities vary...

Persistent link: https://www.econbiz.de/10010729341

Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?

Beckmann, Joscha; Czudaj, Robert - In: Energy Economics 40 (2013) C, pp. 665-678

Although the link between oil prices and dollar exchange rates has been frequently analyzed, a clear distinction between prices and nominal exchange rate dynamics and a clarification of the issue of causality has not been provided. In addition, previous studies have mostly neglected...

Persistent link: https://www.econbiz.de/10010868790

Nonparametric modeling of carbon prices

Chevallier, Julien - In: Energy Economics 33 (2011) 6, pp. 1267-1282

This paper constitutes the first exercise of nonparametric modeling applied to carbon markets. The framework of analysis is carefully detailed, and the empirical application unfolds in the case of BlueNext spot and ECX futures prices. The data is gathered in daily frequency from April 2005 to...

Persistent link: https://www.econbiz.de/10010576110

Measuring contagion between energy market and stock market during financial crisis: A copula approach

Wen, Xiaoqian; Wei, Yu; Huang, Dengshi - In: Energy Economics 34 (2012) 5, pp. 1435-1446

In this paper, we apply time-varying copulas to investigate whether a contagion effect existed between energy and stock … dependence between crude oil and stock markets after the failure of Lehman Brothers, thus supporting the existence of contagion … the paired markets. This indicates that significant increases in tail dependence are an actual dimension of the contagion …

Persistent link: https://www.econbiz.de/10010593867

Energy markets volatility modelling using GARCH

Efimova, Olga; Serletis, Apostolos - In: Energy Economics 43 (2014) C, pp. 264-273

This paper investigates the empirical properties of oil, natural gas, and electricity price volatilities using a range of univariate and multivariate GARCH models and daily data from wholesale markets in the United States for the period from 2001 to 2013. The key contribution to the literature...

Persistent link: https://www.econbiz.de/10011100067

Dynamic spillovers of oil price shocks and economic policy uncertainty

Antonakakis, Nikolaos; Chatziantoniou, Ioannis; Filis, … - In: Energy Economics 44 (2014) C, pp. 433-447

This study examines the dynamic relationship between changes in oil prices and the economic policy uncertainty index for a sample of both net oil-exporting and net oil-importing countries over the period 1997:01–2013:06. To achieve that, an extension of the Diebold and Yilmaz (2009, 2012)...

Persistent link: https://www.econbiz.de/10011100073

The relationship between energy and equity markets: Evidence from volatility impulse response functions

Olson, Eric; J. Vivian, Andrew; Wohar, Mark E. - In: Energy Economics 43 (2014) C, pp. 297-305

This paper examines the relationship between the energy and equity markets by estimating volatility impulse response functions from a multivariate BEKK model of the Goldman Sach's Energy Index and the S&P 500; in addition, we also calculate the time varying conditional correlations and time varying...

Persistent link: https://www.econbiz.de/10011100076

How do oil producers respond to oil demand shocks?

Güntner, Jochen H.F. - In: Energy Economics 44 (2014) C, pp. 1-13

This paper analyzes the response of international oil producers to demand-induced changes in the price of crude oil during 1975–2011, focusing on potential differences between OPEC and non-OPEC countries. The goal is to derive consistent estimates of the short-run price elasticity of crude oil...

Persistent link: https://www.econbiz.de/10011100081

Energy consumption and economic growth in the next 11 countries: The bootstrapped autoregressive metric causality approach

Yıldırım, Ertugrul; Sukruoglu, Deniz; Aslan, Alper - In: Energy Economics 44 (2014) C, pp. 14-21

Departing from previous literature, using bootstrapped autoregressive metric causality approach which is more robust against non-stationarity and break problems than lag augmented tests, this study analyzes causal relation between economic growth and energy consumption in the Next 11 countries....

Persistent link: https://www.econbiz.de/10011100093

The differential effects of oil demand and supply shocks on the global economy

Cashin, Paul; Mohaddes, Kamiar; Raissi, Maziar; Raissi, … - In: Energy Economics 44 (2014) C, pp. 113-134

We employ a set of sign restrictions on the impulse responses of a Global VAR model, estimated for 38 countries/regions over the period 1979Q2–2011Q2, as well as bounds on impact price elasticities of oil supply and oil demand to discriminate between supply-driven and demand-driven oil-price...

Persistent link: https://www.econbiz.de/10011100097

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