This study focuses on hedging effectiveness defined as the proportionate price risk reduction created by hedging. By mathematical and simulation analysis we determine the following: (a) the regression R2 in the hedge ratio regression will generally overstate the amount of price risk reduction...

Hedging effectiveness is the proportion of price risk removed through hedging. Empiricalhedging studies typically estimate a set of risk minimizing hedge ratios, estimate the hedgingeffectiveness statistic, apply the estimated hedge ratios to a second group of data, and examinethe robustness of...

Rationale The recent shocks to the Spanish economy, linked to both COVID-19 and rising energy prices, have had an uneven impact across sectors of activity, underscoring the importance of monitoring the supply side of economic activity. Takeaways •This article presents a model for forecasting...

This study examines stock market contagion from the United States to the markets of the GCC countries during the period 2007-08. These countries (Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and the United Arab Emirates) were also experiencing accelerating debt levels, overheated real estate...

Econometric Modeling has a wide range if applications, including economy-wide representations. This study takes on the task of finding a suitable structure to model the Venezuelan economy. It is revealed that econometric structural and computable general equilibrium models are inapplicable,...

In the empirical literature, only few studies have focused on the relationship between oil prices and stock markets in net oil-importing countries. In net oil-exporting countries this relationship has not been widely researched. This paper implements the panel-data approach of Kónya (2006),...

Artículo de revista ; On 20 April 2020 the West Texas Intermediate (WTI) oil futures price for May delivery turned negative for the first time in history. Other crude prices also posted very low values and their volatility soared, far more than that on stock markets. This article analyses the...

Incluye referencias bibliográficas ; This paper assesses the impact of oil price changes on Spanish and euro area consumer price inflation. We find, consistently with recent international evidence, that the inflationary effect of oil price changes is limited, even though crude oil price...