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Risk Premia and Seasonality in Commodity Futures
Hevia, Constantino - 2016
​We develop and estimate a multifactor affine model of commodity futures that allows for stochastic variations in seasonality. We show conditions under which the yield curve and the cost-of-carry curve adopt augmented Nelson and Siegel functional forms. This restricted version of the model is...
Persistent link: https://www.econbiz.de/10012992825
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Forecasting the Price of Crude Oil with Multiple Predictors
Kaya, Hüseyin - 2017
suggest that oil futures prices have marginal predictive power for the price of oil at a 1-month forecast horizon. However …, they generally lose their forecasting power at higher forecast horizons. The results also suggest that exchange rates help … predicting oil prices at higher forecast horizons. The paper also considers forecast averaging and variable selection methods …
Persistent link: https://www.econbiz.de/10012957399
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Optimal clean energy R&D investments under uncertainty
Marangoni, Giacomo; De Maere d'Aertrycke, Gauthier; … - 2017
The availability of technology plays a major role in the feasibility and costs of climate policy. Nonetheless, technological change is highly uncertain and capital intensive, requiring risky efforts in research and development of clean energy technologies. In this paper, we introduce a two-track...
Persistent link: https://www.econbiz.de/10011622101
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How constant is constant elasticity of substitution? : endogenous substitution between clean and dirty energy
Jo, Ara; Miftakhova, Alena - 2022
The degree of substitutability between clean and dirty energy plays a central role in leading economic analyses of optimal environmental policy. Despite the importance, a constant and exogenous elasticity of substitution has been a dominant theoretical approach. We challenge this assumption by...
Persistent link: https://www.econbiz.de/10013162794
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The elasticity of substitution between clean and dirty energy with technological bias
Jo, Ara - 2020
The elasticity of substitution between clean and dirty energy and the direction of technological change are central parameters in discussing one of the most challenging questions today, climate change. Despite their importance, there are few studies that empirically estimate these key...
Persistent link: https://www.econbiz.de/10012310748
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Firm heterogeneity, industry dynamics and climate policy
Jo, Ara; Karydas, Christos - 2023
We develop a dynamic general equilibrium model to quantify the interaction between climate policy, industry dynamics, and the elasticity of substitution between clean and dirty energy in the economy. The model incorporates empirical observations that firms differ substantially in their potential...
Persistent link: https://www.econbiz.de/10013549810
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Can vehicle efficiency beat fuel efficiency in cutting fuel use?
Figus, Gioele; Swales, John Kim - 2018
Persistent link: https://www.econbiz.de/10011901246
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Permanent and Transitory Price Shocks in Commodity Futures Markets and Their Relation to Storage and Speculation
Haase, Marco - 2013
This paper takes an innovative look at the relationship between the pricing of commodity futures contracts and its relation to storage and speculation. Fifteen commodities are analyzed over the time period from 1990 to 2010. Contrary to other studies, we analyze temporary and permanent futures...
Persistent link: https://www.econbiz.de/10013085812
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Nonlinear intermediary pricing in the oil futures market
Bierbaumer, Daniel; Rieth, Malte; Velinov, Anton - 2018
We study the state-dependent trading behavior of financial intermediaries in the oil futures market, using structural vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into changes in the slopes of traders' demand curves and in...
Persistent link: https://www.econbiz.de/10011790776
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Oil market efficiency, quantity of information, and oil market turbulence
Gronwald, Marc; Wadud, Sania; Dogah, Kingsley - 2024
This paper analyses the informational efficiency of the WTI crude oil markets using a recently proposed quantitative measure for market inefficiency. The procedure measures the extent to which observed oil price behaviour deviates from the Random Walk benchmark which represents an efficient...
Persistent link: https://www.econbiz.de/10014490913