We reinvestigate the "rockets and feathers" effect between retail gasoline and crude oil prices in a new framework of fractional integration, long-term memory and borderline (non)stationarity. The most frequently used error-correction model is examined in detail and we find that the prices...

This study examines the impact of uncertainty on mergers and acquisition (M&A) activity. We focus on product market uncertainty in the oil and gas sector. Analysing this industry enables us to construct a natural forward-looking measure of product market uncertainty, namely the implied crude oil...

Using multiple econometrics methods, this paper examines the cointegration and causality relationships between the futures prices of gasoline and the spot prices of two major types of crude oil (i.e. WTI and Brent). The existence of cointegration between prices in adjacent markets, crude oil...

Following four years of relative stability at around $105 per barrel, oil prices have declined sharply since June 2014. This paper presents a comprehensive analysis of the sources of the recent decline in prices, and examines its macroeconomic, financial and policy implications. The recent drop...

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 offers empirical evidence on whether the compensation for risk required by the speculators depends on the type of the structural shock of interest....

In 2020, the futures & spot markets of crude oil have changed dramatically. This paper analyzes the price discovery process of the WTI and Brent crude oil futures & spot markets using the information share model of Hasbrouck (1995), and finds that each reverse of the dominant asset can indicate...

This study provides insight into sustainability challenges in Venezuela by exploring the causal interactions between oil price, energy consumption and carbon dioxide (CO2) emissions in Venezuela. Economic growth, government consumption expenditure and trade openness are included as additional...

This paper is concerned with the role of oil and gas in the development of the global economy. Its focus is on the context in which oil and gas producers in both established and developing countries must frame their policies in order to optimize the benefits of producing such resources. It...

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....

In this work, we propose an analysis of the global market for crude oil based on a revised version of the Structural Vector Autoregressive (SVAR) model introduced by Kilian and Murphy (2014). On this respect, we replace the global proxy for above-ground crude oil inventories with the oil...