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Electricity Futures Prices : Time Varying Sensitivity to Fundamentals
Fleten, Stein-Erik - 2016
This paper provides insight in the time-varying relation between electricity futures prices and fundamentals in the … marginal costs of production, we argue that the relation between electricity futures prices and futures prices of underlying … model that linearly relates electricity futures prices to the marginal costs of production and calculate the log …
Persistent link: https://www.econbiz.de/10013006138
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Market specific news and its impact on electricity prices : forward premia
Lazarczyk, Ewa - 2013
This paper studies the impact of market specific news on the short-time forward premia on the Scandinavian electricity … market. I show that the short time premia between the day-ahead and intra-day electricity prices on the Scandinavian market … on the differences between the day-ahead and intra-day prices. -- intra-day electricity market ; forward premia ; market …
Persistent link: https://www.econbiz.de/10009702265
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Whither the Regulatory 'War on Coal'? Scapegoats, Saviors, and Stock Market Reactions
Coglianese, Cary - 2020
Persistent link: https://www.econbiz.de/10012847402
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Absolute abundance and relative scarcity : announced policy, resource extraction, and carbon emissions
Di Maria, Corrado; Smulders, Sjak; Van der Werf, Edwin - 2008
We study the effectiveness of climate change policy in a model with multiple non-renewable resources that differ in their carbon content. We find that, when allowing some time between announcement and implementation of a cap on carbon dioxide emissions, emissions from non-renewable energy...
Persistent link: https://www.econbiz.de/10008799171
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Global oil market and the US stock returns
Ahmad, Maryam; Manera, Matteo; Sadeghzadeh, Mehdi - 2015
This paper provides an analysis of the link between the oil market and the U.S. stock market returns at the aggregate as well as industry levels. We empirically model oil price changes as driven by speculative demand shocks along with consumption demand and supply shocks in the oil market. We...
Persistent link: https://www.econbiz.de/10011391816
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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 structural VAR model to identify the causes underlying the oil price shocks and gauge the differential impact that oil supply and oil demand innovations have on financial volatility....
Persistent link: https://www.econbiz.de/10011438638
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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 structural VAR models, one for each oil price...
Persistent link: https://www.econbiz.de/10010476423
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Are fundamentals enough? : explaining price variations in the German day-ahead and intraday power market
Pape, Christian; Hagemann, Simon; Weber, Christoph - 2015
European electricity market participants are encouraged to balance intraday deviations from their day-ahead schedules …
Persistent link: https://www.econbiz.de/10010505053
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Do Financial Investors Destabilize the Oil Price?
Lombardi, Marco J. - 2011
In this paper, we assess whether and to what extent financial activity in the oil futures markets has contributed to destabilize oil prices in recent years. We define a destabilizing financial shock as a shift in oil prices that is not related to current and expected fundamentals, and thereby...
Persistent link: https://www.econbiz.de/10013124900
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The Impacts of Oil Price Shocks on Stock Market Volatility : Evidence from the G7 Countries
Bastianin, Andrea - 2016
We study the effects of crude oil price shocks on the stock market volatility of the G7 economies. We rely on a structural VAR model to identify the causes underlying the oil price shocks and gauge the differential impact that oil supply and oil demand innovations have on financial volatility....
Persistent link: https://www.econbiz.de/10013001030