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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

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

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

How does stock market volatility react to oil shocks?

Bastianin, Andrea; Manera, Matteo - 2014

We study the impact of oil price shocks on US stock market volatility. We derive three different structural oil shock … variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate … stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous …

Persistent link: https://www.econbiz.de/10010476423

The impacts of oil price shocks on stock market volatility : evidence from the G7 countries

Bastianin, Andrea; Conti, Francesca; Manera, Matteo - 2015

We study the effects of crude oil price shocks on the stock market volatility of the G7 economies. We rely on a … oil demand innovations have on financial volatility. We show that stock market volatility does not respond to oil supply …

Persistent link: https://www.econbiz.de/10011438638

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

Interpreting the oil risk premium : do oil price shocks matter?

Valenti, Daniele; Manera, Matteo; Sbuelz, Alessandro - 2018

This paper provides an analysis of the link between the global market for crude oil and oil futures risk premium at the aggregate level. It off ers empirical evidence on whether the compensation for risk required by the speculators depends on the type of the structural shock of interest....

Persistent link: https://www.econbiz.de/10011794500