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How is volatility in commodity markets linked to oil price shocks?

Ahmadi, Maryam; Behmiri, Niaz Bashiri; Manera, Matteo - 2015

This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities … functions, the response of volatility of each commodity to an oil price shock differs significantly depending on the underlying …

Persistent link: https://www.econbiz.de/10011438674

On the economic determinants of oil production : theoretical analysis and empirical evidence for small exporting countries

Cologni, Alessandro; Manera, Matteo - 2011

In this paper, decisions regarding production in oil exporting countries are studied by means of theoretical analysis and empirical investigation. Under the assumptions of exogenous oil prices and world oil demand, we are able to describe the relationship between oil production levels and...

Persistent link: https://www.econbiz.de/10009231652

Statistical and economic evaluation of time series models for forecasting arrivals at call centers

Bastianin, Andrea; Galeotti, Marzio; Manera, Matteo - 2017

Call centers' managers are interested in obtaining accurate forecasts of call arrivals because these are a key input in staffing and scheduling decisions. Therefore their ability to achieve an optimal balance between service quality and operating costs ultimately hinges on forecast accuracy. We...

Persistent link: https://www.econbiz.de/10011599302

A weekly structural VAR model of the US crude oil market

Valenti, Daniele; Bastianin, Andrea; Manera, Matteo - 2022

We present a weekly structural Vector Autoregressive (VAR) model of the US crude oil market. Exploiting weekly data we can explain short-run crude oil price dynamics, including those related with the COVID-19 pandemic and with the Russia's invasion of Ukraine. The model is set identified with a...

Persistent link: https://www.econbiz.de/10013254444

Futures price volatility in commodities markets : the role of short term vs long term speculation

Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2013

This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt …-2010 analyzed at weekly frequency. Using GARCH models we find that speculation significantly affects volatility of returns: short … term speculation has a positive and significant impact on volatility, while long term speculation generally has a negative …

Persistent link: https://www.econbiz.de/10009756298

Forecasting the oil-gasoline price relationship : should we care about the rockets and the feathers?

Bastianin, Andrea; Galeotti, Marzio; Manera, Matteo - 2014

According to the Rockets and Feathers hypothesis (RFH), the transmission mechanism of positive and negative changes in the price of crude oil to the price of gasoline is asymmetric. Although there have been many contributions documenting that downstream prices are more reactive to increases than...

Persistent link: https://www.econbiz.de/10010251557

The impacts of exogenous oil supply shocks on Mediterranean economies

Bastianin, Andrea; Galeotti, Marzio; Manera, Matteo - 2015

The security of energy supply is a key geopolitical factor in the relationship between the European Union and the southern neighborhood countries of the Middle East and North Africa region. We study the response of eight Mediterranean economies to exogenous oil supply shocks. We focus on the...

Persistent link: https://www.econbiz.de/10011438640

Oil and product price dynamics in international petroleum markets

Lanza, Alessandro; Manera, Matteo; Giovannini, Massimo - 2003

In this paper we investigate crude oil and products price dynamics. We present a comparison among ten price series of crude oils and fourteen price series of petroleum products, considering four distinct market areas (Mediterranean, North Western Europe, Latin America and North America) over the...

Persistent link: https://www.econbiz.de/10011592760

Rockets and feathers revisited : an international comparison on European gasoline markets

Galeotti, Marzio; Lanza, Alessandro; Manera, Matteo - 2002

This paper re-examines the issue of asymmetries in the transmission of shocks to crude oil prices onto the retail price of gasoline. Relative to the previous literature, the distinguishing features of the present paper are: i) use of updated and comparable data to carry out an international...

Persistent link: https://www.econbiz.de/10011596079

The role of outliers and oil price shocks on volatility of metal prices

Behmiri, Niaz Bashiri; Manera, Matteo - 2015

This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the … persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we … estimate the effects of oil price shocks on the price volatility of metals, allowing for the asymmetric responses. We use daily …

Persistent link: https://www.econbiz.de/10011327443