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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
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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
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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
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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
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Are the macroeconomic effects of oil price shock symmetric?: A Factor-Augmented Vector Autoregressive approach
An, Lian; Jin, Xiaoze; Ren, Xiaomei - In: Energy Economics 45 (2014) C, pp. 217-228
This paper aims to examine the asymmetric effect of oil price shocks on real economic activity in the U.S. within the context of a nonlinear Factor-Augmented Vector Autoregressive (FAVAR) model. By employing simulation methods, we trace the effects of positive and negative oil price shocks on...
Persistent link: https://www.econbiz.de/10010939436
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Accounting for asymmetric price responses and underlying energy demand trends in OECD industrial energy demand
Adeyemi, Olutomi I.; Hunt, Lester C. - In: Energy Economics 45 (2014) C, pp. 435-444
This paper explores the way technical progress and improvements in energy efficiency are captured when modelling OECD industrial energy demand. The industrial sectors of the developed world involve a number of different practices and processes utilising a range of different technologies....
Persistent link: https://www.econbiz.de/10010939450
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How do the stock prices of new energy and fossil fuel companies correlate? Evidence from China
Wen, Xiaoqian; Guo, Yanfeng; Wei, Yu; Huang, Dengshi - In: Energy Economics 41 (2014) C, pp. 63-75
This study documents the return and volatility spillover effect between the stock prices of Chinese new energy and fossil fuel companies using the asymmetric BEKK model. Based on daily samples taken from August 30, 2006 to September 11, 2012, the dynamics of new energy/fossil fuel stock...
Persistent link: https://www.econbiz.de/10010729337
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Causality between energy and output in the long-run
Stern, David I.; Enflo, Kerstin - In: Energy Economics 39 (2013) C, pp. 135-146
Though there is a very large literature examining whether energy use Granger causes economic output or vice versa, it is fairly inconclusive. Almost all existing studies use relatively short time series, or panels with a relatively small time dimension. We apply Granger causality and...
Persistent link: https://www.econbiz.de/10010868695
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What if energy time series are not independent? Implications for energy-GDP causality analysis
Bruns, Stephan B.; Gross, Christian - In: Energy Economics 40 (2013) C, pp. 753-759
Time series of electricity, petroleum products, and renewables are found to be highly correlated with total energy consumption. Applying this insight to the huge literature on energy-GDP causality explains that the results of total energy-GDP causality tests frequently coincide with the results...
Persistent link: https://www.econbiz.de/10010868712
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Considering macroeconomic indicators in the food before fuel nexus
Qiu, Cheng; Colson, Gregory; Escalante, Cesar; … - In: Energy Economics 34 (2012) 6, pp. 2021-2028
A structural vector autoregression (SVAR) model along with a direct acyclic graph is employed to decompose how supply/demand structural shocks affect food and fuel markets. The results support the hypothesis that fundamental market forces of demand and supply are the main drivers of food price...
Persistent link: https://www.econbiz.de/10010868717