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How Do Sectoral Interests Shape Distributive Politics? Evidence from Gasoline and Diesel Subsidy Reforms 行业利益如何影响分配政治?汽油和柴油补贴改革的证据
ERN: Energy (Topic) Pub Date : 2017-08-07 DOI: 10.1111/ROPR.12335
Brian Blankenship, Johannes Urpelainen
{"title":"How Do Sectoral Interests Shape Distributive Politics? Evidence from Gasoline and Diesel Subsidy Reforms","authors":"Brian Blankenship, Johannes Urpelainen","doi":"10.1111/ROPR.12335","DOIUrl":"https://doi.org/10.1111/ROPR.12335","url":null,"abstract":"Sectoral interests play an important role in distributive politics, but their influence is difficult to measure. We compare the effect of international oil prices on subsidies for domestic gasoline and diesel consumption. Because diesel is used by a smaller number of organized agricultural and transportation interests, they are more capable of collective action than the dispersed beneficiaries of gasoline subsidies. The conventional wisdom holds that sectoral interests could mobilize to stop reform (e.g., price increases, deregulation). Challenging this view, we consider the possibility that sectoral interests promote reform by facilitating the targeted allocation of compensation and exemptions. An empirical analysis of gasoline and diesel prices, 1991-2012, strongly supports the second hypothesis: diesel prices respond to international oil prices more strongly than do gasoline prices. Quantitative tests and case studies allow us to explore causal mechanisms, verify that the gasoline-diesel difference is related to actual policy reforms, and reject alternative explanations.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-08-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134591860","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
The Contribution of Intraday Jumps to Forecasting the Density of Returns 日内跳跃对预测收益密度的贡献
ERN: Energy (Topic) Pub Date : 2017-01-10 DOI: 10.2139/ssrn.2897034
Christophe Chorro, F. Ielpo, B. Sévi
{"title":"The Contribution of Intraday Jumps to Forecasting the Density of Returns","authors":"Christophe Chorro, F. Ielpo, B. Sévi","doi":"10.2139/ssrn.2897034","DOIUrl":"https://doi.org/10.2139/ssrn.2897034","url":null,"abstract":"The extraction of the jump component in dynamics of asset prices haw witnessed a considerably growing body of literature. Of particular interest is the decomposition of returns' quadratic variation between their continuous and jump components. Recent contributions highlight the importance of this component in forecasting volatility at different horizons. In this article, we extend a methodology developed in Maheu and McCurdy (2011) to exploit the information content of intraday data in forecasting the density of returns at horizons up to sixty days. We follow Boudt et al. (2011) to detect intraday returns that should be considered as jumps. The methodology is robust to intra-week periodicity and further delivers estimates of signed jumps in contrast to the rest of the literature where only the squared jump component can be estimated. Then, we estimate a bivariate model of returns and volatilities where the jump component is independently modeled using a jump distribution that fits the stylized facts of the estimated jumps. Our empirical results for S&P 500 futures, U.S. 10-year Treasury futures, USD/CAD exchange rate and WTI crude oil futures highlight the importance of considering the continuous/jump decomposition for density forecasting while this is not the case for volatility point forecast. In particular, we show that the model considering jumps apart from the continuous component consistenly deliver better density forecasts for forecasting horizons ranging from 1 to 30 days.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133443303","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Slopes, Spreads, and Depth: Monetary Policy Announcements and Liquidity Provision in the Energy Futures Market 斜率、价差和深度:能源期货市场的货币政策公告和流动性供应
ERN: Energy (Topic) Pub Date : 2016-10-31 DOI: 10.2139/ssrn.2861724
L. Smales
{"title":"Slopes, Spreads, and Depth: Monetary Policy Announcements and Liquidity Provision in the Energy Futures Market","authors":"L. Smales","doi":"10.2139/ssrn.2861724","DOIUrl":"https://doi.org/10.2139/ssrn.2861724","url":null,"abstract":"Abstract Crude oil futures play an important role in the global energy and financial markets, yet the dynamics of liquidity in this crucial market have largely been ignored. Understanding how macroeconomic events shape liquidity in this market is important for both hedgers and speculators. Using high-frequency data, we consider three elements of market liquidity to achieve a detailed picture of liquidity provision in the period around monetary policy announcements; the bid-ask spread, market depth, and order book slope. We show that liquidity is removed from the market around 2-mins prior to the announcement, is exceptionally low at the time of the announcement, and then reverts to normal within 9-mins of the announcement. The magnitude of the liquidity response is influenced by the size of the monetary policy surprise, consistent with traders that seek to protect themselves when the risk of adverse selection is greatest. The liquidity response is also determined by the term structure of the futures curve and prevailing credit conditions.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"189 ","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133390032","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Market Power and Heterogeneous Pass-Through in German Electricity Retail 德国电力零售的市场力量与异质传递
ERN: Energy (Topic) Pub Date : 2016-10-26 DOI: 10.2139/ssrn.2866331
Tomaso Duso, Florian W Szücs
{"title":"Market Power and Heterogeneous Pass-Through in German Electricity Retail","authors":"Tomaso Duso, Florian W Szücs","doi":"10.2139/ssrn.2866331","DOIUrl":"https://doi.org/10.2139/ssrn.2866331","url":null,"abstract":"We analyze the pass-through of cost changes to retail tariffs in the German electricity market over the 2007 to 2014 period. We find an average pass-through rate of around 60%, which significantly varies with demand factors: while the pass-through rate to baseline tariffs, where firms have higher market power, is only 50%, it increases to 70% in the competitive segment of the market. Although the pass-through rate of independent firms is significantly higher than that of other firms in the competitive market segment, the extent of supply-side heterogeneity is limited. Thus, the firms’ ability to exercise market power appears to be constrained by competition and largely determined by demand side factors. Finally, we find that the pass-through rate in the competitive market segment has been approaching unity over the past years, indicating a rise in competitive pressure.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132993885","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 25
Empirical Hedging Performance on Long-Dated Crude Oil Derivatives 长期原油衍生品的实证套期保值表现
ERN: Energy (Topic) Pub Date : 2016-09-19 DOI: 10.2139/ssrn.2840622
Benjamin Cheng, Christina Sklibosios Nikitopoulos, E. Schlögl
{"title":"Empirical Hedging Performance on Long-Dated Crude Oil Derivatives","authors":"Benjamin Cheng, Christina Sklibosios Nikitopoulos, E. Schlögl","doi":"10.2139/ssrn.2840622","DOIUrl":"https://doi.org/10.2139/ssrn.2840622","url":null,"abstract":"This paper presents an empirical study on hedging long-dated crude oil futures options with forward price models incorporating stochastic interest rates and stochastic volatility. Several hedging schemes are considered including delta, gamma, vega and interest rate hedge. Factor hedging is applied to the proposed multi-dimensional models and the corresponding hedge ratios are estimated by using historical crude oil futures prices, crude oil option prices and Treasury yields. Hedge ratios from stochastic interest rate models consistently improve hedging performance over hedge ratios from deterministic interest rate models, an improvement that becomes more pronounced over periods with high interest rate volatility, such as during the GFC. An interest rate hedge consistently improves hedging beyond delta, gamma and vega hedging, especially when shorter maturity contracts are used to roll the hedge forward. Furthermore, when the market experiences high interest rate volatility and the hedge is subject to high basis risk, adding interest rate hedge to delta hedge provides an improvement, while adding gamma and/or vega to the delta hedge worsens performance.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115028540","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Dynamic Relationships between Dubai Oil Price, Shanghai and KOSPI Stock Markets 迪拜油价、上海股市和韩国综合股价指数的动态关系
ERN: Energy (Topic) Pub Date : 2016-08-01 DOI: 10.16980/JITC.12.4.201608.211
Byungjin Yim, Seo-young Lee
{"title":"Dynamic Relationships between Dubai Oil Price, Shanghai and KOSPI Stock Markets","authors":"Byungjin Yim, Seo-young Lee","doi":"10.16980/JITC.12.4.201608.211","DOIUrl":"https://doi.org/10.16980/JITC.12.4.201608.211","url":null,"abstract":"Recognizing the importance of the relationship between stock market and oil prices, this paper examines the long-term price relationships between the Dubai oil price and stock market returns for two large oil-consuming countries in Asia, namely China and Korea, by estimating the Shanghai Stock Exchange (SSE) Composite Index and the Korea Composite Stock Price Index (KOSPI) from April 16, 2010, to August 31, 2011. The Granger Causality model based on the Vector Autoregression (VAR) model and the Johansen cointegration test are employed. According to the empirical results, the cointegration analysis shows a long-term relationship between the Dubai oil price and the stock market price for the whole sample period for both KOSPI and the SSE Composite Index. In addition, the results of the Granger Causality test indicate that the knowledge of recent Dubai oil price data influences the short-term forecast of KOSPI but not vice versa and that the short-term forecast of returns on current or future Dubai oil prices is affected by the movement of the SSE Composite Index but not vice versa.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"363 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123418893","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Oil Prices and the Global Economy: Is it Different this Time Around? 油价与全球经济:这次会有所不同吗?
ERN: Energy (Topic) Pub Date : 2016-07-03 DOI: 10.2139/ssrn.2835213
Kamiar Mohaddes, M. Pesaran
{"title":"Oil Prices and the Global Economy: Is it Different this Time Around?","authors":"Kamiar Mohaddes, M. Pesaran","doi":"10.2139/ssrn.2835213","DOIUrl":"https://doi.org/10.2139/ssrn.2835213","url":null,"abstract":"The recent plunge in oil prices has brought into question the generally accepted view that lower oil prices are good for the US and the global economy. In this paper, using a quarterly multi-country econometric model, we first show that a fall in oil prices tends relatively quickly to lower interest rates and inflation in most countries, and increase global real equity prices. The effects on real output are positive, although they take longer to materialize (around 4 quarters after the shock). We then re-examine the effects of low oil prices on the US economy over different sub-periods using monthly observations on real oil prices, real equity prices and real dividends. We confirm the perverse positive relationship between oil and equity prices over the period since the 2008 financial crisis highlighted in the recent literature, but show that this relationship has been unstable when considered over the longer time period of 1946-2016. In contrast, we find a stable negative relationship between oil prices and real dividends which we argue is a better proxy for economic activity (as compared to equity prices). On the supply side, the effects of lower oil prices differ widely across the different oil producers, and could be perverse initially, as some of the major oil producers try to compensate their loss of revenues by raising production. Taking demand and supply adjustments to oil price changes as a whole, we conclude that oil markets equilibrate but rather slowly, with large episodic swings between low and high oil prices.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130099859","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 119
The Implication of Integration and Diversification on 'Oil and Gas' Industries Among ASEAN Countries 一体化和多元化对东盟国家“油气”产业的影响
ERN: Energy (Topic) Pub Date : 2016-01-17 DOI: 10.2139/ssrn.2716934
H. Q. Do, Ishaq Bhatti, Muhammad Shahbaz
{"title":"The Implication of Integration and Diversification on 'Oil and Gas' Industries Among ASEAN Countries","authors":"H. Q. Do, Ishaq Bhatti, Muhammad Shahbaz","doi":"10.2139/ssrn.2716934","DOIUrl":"https://doi.org/10.2139/ssrn.2716934","url":null,"abstract":"This paper examines the investment opportunities in oil and gas industries in six selected ASEAN countries. The study employs the VAR as well as the bivariate VARMA-MGARCH-ABEKK model on 15 years’ daily time series data. The empirical results report that some investors can obtain a cross-country intra-industry diversification benefit in Malaysia, the Philippines, Singapore and Vietnam, especially for those who have the US oil and gas assets in their portfolios. Investors who are holding Asian oil and gas assets could also invest in these four countries. However, they should bear in mind that negative shocks from the Asian industries would increase return volatilities in the industries of Malaysia, Singapore and Vietnam. The industries of Indonesia and Thailand are insensitive with cross-country intra-industry diversification. This study provides new insights for investors to improve their investment portfolio while investing in oil and gas markets of ASEAN countries.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133091373","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Probable Oil and Gas Reserves and Shareholder Returns: The Impact of Shale Gas 油气储量与股东回报:页岩气的影响
ERN: Energy (Topic) Pub Date : 2015-12-01 DOI: 10.2139/ssrn.2727136
Bård Misund, Petter Osmundsen
{"title":"Probable Oil and Gas Reserves and Shareholder Returns: The Impact of Shale Gas","authors":"Bård Misund, Petter Osmundsen","doi":"10.2139/ssrn.2727136","DOIUrl":"https://doi.org/10.2139/ssrn.2727136","url":null,"abstract":"Oil and gas reserves are the most important assets of oil and gas companies. A source of confusion for investors in oil companies is that reserves quantities and values are uncertain estimates. Reserves are typically classified according to probabilities of recovery from underground reservoirs. All U.S. listed companies have to disclose proved reserves but not probable reserves, thus leaving out potentially important information for investors and financial analysts. This study addresses the impact on market valuation of various classifications of reserves amounts. Using a data sample of 94 companies that do disclose information on probable reserves, we compare the relation between three classifications of reserves and oil company returns. While we find that information on probable reserves do not have an impact on stock returns measured over the entire time period, this is not the case since 2009, coinciding with the onset of the shale gas revolution.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128053310","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Oil Price Uncertainty Index: Capturing Media Information 石油价格不确定性指数:捕捉媒体信息
ERN: Energy (Topic) Pub Date : 2015-08-08 DOI: 10.2139/ssrn.2641297
Yosef Bonaparte
{"title":"Oil Price Uncertainty Index: Capturing Media Information","authors":"Yosef Bonaparte","doi":"10.2139/ssrn.2641297","DOIUrl":"https://doi.org/10.2139/ssrn.2641297","url":null,"abstract":"We develop a new oil price uncertainty index (OPUX) based on newspaper and social networking coverage. Our index improves on the existing oil ETF volatility index (OVX) because financial markets are inefficient insofar as prices do not reflect all information (Shiller, 1981). Several pieces of evidence, including a media audit of 14,233 newspaper articles and 502 tweets, indicate that our OPUX predicts changes in the uncertainty of oil prices. Specifically, our results demonstrate that the OPUX improves ability to predict oil price volatility (the standard deviation of daily prices for a given month) between 24% and 30%. The intuition behind our results is that the existing OVX is fairly smooth, whereas actual oil price volatility shows considerably more fluctuation in step with media coverage (see Figure 1, Panels A, B and C). Collectively, newspaper and social media coverage are powerful predictors of future volatility in the oil market.","PeriodicalId":260665,"journal":{"name":"ERN: Energy (Topic)","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123552366","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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