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On Univariate and Multivariate GARCH Models: Oil Price and Stock Market Returns Volatilities 单变量和多变量GARCH模型:石油价格和股票市场收益波动
Econometric Modeling: Commodity Markets eJournal Pub Date : 2016-12-20 DOI: 10.2139/ssrn.2888079
Amin Guerouah, Halim zeghdoudi, Fatima Zohra Bouseba
{"title":"On Univariate and Multivariate GARCH Models: Oil Price and Stock Market Returns Volatilities","authors":"Amin Guerouah, Halim zeghdoudi, Fatima Zohra Bouseba","doi":"10.2139/ssrn.2888079","DOIUrl":"https://doi.org/10.2139/ssrn.2888079","url":null,"abstract":"This paper investigates the empirical properties of oil price and Stock market return volatilities using a range of univariate and multivariate GARCH models and monthly data from the U.S. The study relates the period August 1987 to October 2016, a total of 351 observations given. The aim of this paper is to examine the relationship between stock and oil markets. In addition, we evaluate the performance of each model with a range of diagnostic and forecast performance tests using univariate GARCH(1,1) and bivariate BEKK GARCH(1,1) , DCC GARCH(1,1) models.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131620494","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: 2
Climate Risks and Market Efficiency 气候风险与市场效率
Econometric Modeling: Commodity Markets eJournal Pub Date : 2016-12-01 DOI: 10.2139/ssrn.2776962
Harrison G. Hong, F. Li, Jiangmin Xu
{"title":"Climate Risks and Market Efficiency","authors":"Harrison G. Hong, F. Li, Jiangmin Xu","doi":"10.2139/ssrn.2776962","DOIUrl":"https://doi.org/10.2139/ssrn.2776962","url":null,"abstract":"We investigate whether stock markets efficiently price risks brought on or exacerbated by climate change. We focus on drought, the most damaging natural disaster for crops and food-company cash flows. We show that prolonged drought in a country, measured by the Palmer Drought Severity Index (PDSI) from climate studies, forecasts both declines in profitability ratios and poor stock returns for food companies in that country. A portfolio short food stocks of countries in drought and long those of countries not in drought generates a 9.2% annualized return from 1985 to 2015. This excess predictability is larger in countries having little history of droughts prior to the 1980s. Our findings support regulatory concerns of markets inexperienced with climate change underreacting to such risks.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"297-301 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130802795","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: 338
Food Prices and Poverty 粮食价格与贫困
Econometric Modeling: Commodity Markets eJournal Pub Date : 2016-11-28 DOI: 10.1093/WBER/LHW064
D. Headey
{"title":"Food Prices and Poverty","authors":"D. Headey","doi":"10.1093/WBER/LHW064","DOIUrl":"https://doi.org/10.1093/WBER/LHW064","url":null,"abstract":"Do higher food prices help or hinder poverty reduction? Despite much debate, existing research has almost solely relied on simulation models to address this question. In this paper World Bank poverty estimates are used to systematically test the relationship between changes in poverty and exogenous changes in real domestic food prices. The paper uncovers indicative evidence that increases in food prices are associated with reductions in poverty, not increases. A likely empirical explanation is the relatively strong agricultural supply and wage responses to food price increases, and the fact that the majority of the world's poor still heavily rely on agriculture or agriculture-related activities to earn a living.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133469164","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: 26
Speculative Trading of Electricity Contracts in Interconnected Locations 互联地区电力合约的投机交易
Econometric Modeling: Commodity Markets eJournal Pub Date : 2016-11-16 DOI: 10.2139/ssrn.2870814
Á. Cartea, S. Jaimungal, Zhenjiang Qin
{"title":"Speculative Trading of Electricity Contracts in Interconnected Locations","authors":"Á. Cartea, S. Jaimungal, Zhenjiang Qin","doi":"10.2139/ssrn.2870814","DOIUrl":"https://doi.org/10.2139/ssrn.2870814","url":null,"abstract":"We derive an investor’s optimal trading strategy of electricity contracts traded in two locations joined by an interconnector. The investor employs a price model which includes the impact of her own trades. The investor’s trades have a permanent impact on prices because her trading activity affects the demand of contracts in both locations. Additionally, the investor receives prices which are worse than the quoted prices as a result of the elasticity of liquidity provision of contracts. Furthermore, the investor is ambiguity averse, so she acknowledges that her model of prices may be misspecified and considers other models when devising her trading strategy. We show that as the investor’s degree of ambiguity aversion increases, her trading activity decreases in both locations, and thus her inventory exposure also decreases. Finally, we show that there is a range of ambiguity aversion parameters where the Sharpe ratio of the trading strategy increases when ambiguity aversion increases.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"65 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125874136","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: 13
Does Energy Policy Hurt International Competitiveness of Firms? A Comparative Study for Germany, Switzerland and Austria 能源政策会损害企业的国际竞争力吗?德国、瑞士和奥地利的比较研究
Econometric Modeling: Commodity Markets eJournal Pub Date : 2016-11-15 DOI: 10.2139/ssrn.2874320
C. Rammer, Sandra Gottschalk, M. Peneder, Martin Wörter, Tobias Stucki, Spyros Arvanitis
{"title":"Does Energy Policy Hurt International Competitiveness of Firms? A Comparative Study for Germany, Switzerland and Austria","authors":"C. Rammer, Sandra Gottschalk, M. Peneder, Martin Wörter, Tobias Stucki, Spyros Arvanitis","doi":"10.2139/ssrn.2874320","DOIUrl":"https://doi.org/10.2139/ssrn.2874320","url":null,"abstract":"This paper investigates the impact of energy policies on the export performance of firms. There has been a long policy debate on potentially negative impacts of cost-increasing energy policies on international competitiveness. We use firm-level data from three countries with similar industry structure but different energy policies: Germany, Switzerland, and Austria. We rely on firm manager assessments on the relevance of energy policy (in terms of taxes, regulations, standards, subsidies and demand stimulation) for their firm operation and link data on the adoption and development of new energy technologies. Regression analyses and matching approaches both show very few impacts of energy policy on export performance, suggesting that either policy impacts on firms' cost are negligible in the period of study (2012 to 2014) or likely negative impacts are balanced by the adoption of new technology.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"102 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116368040","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: 49
Informed Trading in Oil-Futures Market 石油期货市场的知情交易
Econometric Modeling: Commodity Markets eJournal Pub Date : 2016-11-04 DOI: 10.2139/ssrn.2874907
O. Rousse, B. Sévi
{"title":"Informed Trading in Oil-Futures Market","authors":"O. Rousse, B. Sévi","doi":"10.2139/ssrn.2874907","DOIUrl":"https://doi.org/10.2139/ssrn.2874907","url":null,"abstract":"The weekly release of the U.S. inventory level by the DOE-EIA is known as the market mover in the U.S. oil futures market and to be a significant piece of information for all world oil markets in which the WTI is a price benchmark. We uncover suspicious trading patterns in the WTI futures markets in days when the inventory level is released that are higher than economists’ forecasts: there are significantly more orders initiated by buyers in the two hours preceding the official release of the inventory level. We also show a clear drop in the average price of -0.25% ahead of the news release. This is consistent with informed trading. We also provide evidence of an asymmetric response of the oil price to the news, and highlight an over-reaction that is partly compensated in the hours following the announcement.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"27 4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126101348","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 Most Predictive Energy Search Terms 最具预测性的能源搜索词
Econometric Modeling: Commodity Markets eJournal Pub Date : 2016-10-16 DOI: 10.2139/ssrn.2853004
Mohamad Afkhami, Lindsey Cormack, Hamed Ghoddusi
{"title":"The Most Predictive Energy Search Terms","authors":"Mohamad Afkhami, Lindsey Cormack, Hamed Ghoddusi","doi":"10.2139/ssrn.2853004","DOIUrl":"https://doi.org/10.2139/ssrn.2853004","url":null,"abstract":"Internet search activity data has been widely used as an instrument to approximate trader attention in different markets. This method has proven effective in predicting market indices in the short-term. However, little attention has been paid to comparing various search keywords and finding the most effective terms representing attention in different markets. This study attempts to build the best practically possible proxy for attention in the market for major energy commodities using Google search data. Specifically, first we confirm that Google search activity for energy-related keywords are significant predictors of energy price volatility. We show that search trends data have incremental predictive power beyond the conventional GARCH models. Next, starting with a set of ninety terms used in the energy sector, the study uses a multistage filtering process to create combinations of keywords that best predict the volatility of crude oil (Brent and West Texas Intermediate), conventional gasoline (New York Harbor and US Gulf Coast), Heating Oil (New York Harbor), and natural gas prices. For each commodity, combinations that enhance GARCH most effectively are established as proxies of attention. The results indicate investor attention is widely reflected in internet search activities. The results also demonstrate search data for what keywords best reveal the direction of concern and attention in energy markets.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"116 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115200307","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
Spillover Effect of the Oil Prices on the Indian Stock Market 石油价格对印度股市的溢出效应
Econometric Modeling: Commodity Markets eJournal Pub Date : 2016-09-13 DOI: 10.2139/ssrn.3299818
Pearly Jacob
{"title":"Spillover Effect of the Oil Prices on the Indian Stock Market","authors":"Pearly Jacob","doi":"10.2139/ssrn.3299818","DOIUrl":"https://doi.org/10.2139/ssrn.3299818","url":null,"abstract":"The oil prices in 2015 has been the worst hit, with prices dipping to as low as $42 per barrel. The contagion effect of the oil can be felt in all the markets which are integrated globally. Emerging stock market’s volatility is sensitive to both the local and global events. For long we have held to the idea that the increase in oil prices will increase the input costs for most businesses and force consumers to spend more money on petrol & diesel, thereby reducing the corporate earning of the other businesses. And the opposite should be true for the fall in prices This paper is focused to investigate the changes in global oil prices and the Indian stock market volatility for a period of 2004 to 2015. I have tried to investigate kind of impact of global oil price volatility with that of volatility of S&P Oil and Gas index, and more specifically the impact of the global oil prices on the oil and gas based stocks.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"04 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131334947","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
Macroeconomic Fluctuations, Oil Supply Shocks, and Equilibrium Oil Futures Prices 宏观经济波动、石油供应冲击和均衡石油期货价格
Econometric Modeling: Commodity Markets eJournal Pub Date : 2016-09-01 DOI: 10.2139/ssrn.2513624
Steffen Hitzemann
{"title":"Macroeconomic Fluctuations, Oil Supply Shocks, and Equilibrium Oil Futures Prices","authors":"Steffen Hitzemann","doi":"10.2139/ssrn.2513624","DOIUrl":"https://doi.org/10.2139/ssrn.2513624","url":null,"abstract":"What is the role of macroeconomic fluctuations and of oil supply shocks for oil prices, volatilities, and risk premia? I analyze this question within a general equilibrium asset pricing framework with an oil sector. The benchmark calibration shows that short-run macroeconomic growth shocks and oil productivity shocks account for the largest part of the volatility in the oil market and are responsible for the mean-reversion behavior of oil prices. On the other hand, long-run macroeconomic growth risks are the main driver of risk premia on oil futures and their upward-sloping term structure, which is observed in the data. The model consistently explains quantity and price dynamics in the oil sector and in the general macroeconomy, and furthermore sheds light on the intricate relationship between oil and equity returns.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134003215","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: 22
Zonal Merit-Order Effects of Wind Generation Development on Day-Ahead and Real-Time Electricity Market Prices in Texas 德克萨斯州风电开发对日前和实时电力市场价格的区域优序效应
Econometric Modeling: Commodity Markets eJournal Pub Date : 2016-07-01 DOI: 10.21314/JEM.2016.153
J. Zarnikau, C. Woo, Shuangshuang Zhu
{"title":"Zonal Merit-Order Effects of Wind Generation Development on Day-Ahead and Real-Time Electricity Market Prices in Texas","authors":"J. Zarnikau, C. Woo, Shuangshuang Zhu","doi":"10.21314/JEM.2016.153","DOIUrl":"https://doi.org/10.21314/JEM.2016.153","url":null,"abstract":"This paper uses a regression-based approach to explore the impact of wind generation development on wholesale electricity prices in the Electric Reliability Council of Texas (ERCOT) market. We find that wind generation development has a greater effect on real-time market (RTM) prices than day-ahead market (DAM) prices. Higher wind generation forecast errors tend to reduce the RTM prices, chiefly because unanticipated increases in wind generation reduce the real-time net loads to be served by fossil fuel power plants. Improving ERCOT’s load and wind generation forecast accuracy tends to make the DAM and RTM prices converge, thus enhancing ERCOT’s market trading efficiency. Finally, the estimated merit-order effects are greatest in the ERCOT zones where the wind generation capacity locally resides.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123412690","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: 9
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