{"title":"Global Crude Oil Market Shocks and Global Commodity Prices","authors":"M. Melichar, Bebonchu Atems","doi":"10.1111/opec.12143","DOIUrl":"https://doi.org/10.1111/opec.12143","url":null,"abstract":"This paper examines the relationship between shocks to the global crude oil market and commodity prices, and whether recent changes in US renewable energy policy have altered this relationship. Although other papers have studied the effect of oil price shocks on commodity prices (particularly agricultural commodity prices), this paper contributes to the literature in that it accounts for endogenous oil price shocks as in Kilian ([Kilian, L., 2009]). We find asymmetric responses in commodity index prices to endogenous oil price shocks, with oil demand shocks leading to higher energy and non‐energy commodity index prices for the full sample period and oil supply shocks producing less of an impact. We also find evidence of heterogeneity after changes in US energy policy in 2006, with a stronger relationship between oil and other commodity prices. Specifically, oil‐specific demand shocks lead to responses of greater magnitude and statistical significance for non‐energy commodity indexes.","PeriodicalId":403142,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Agriculture","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131099806","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}
J. Assunção, R. Mcmillan, Joshua Murphy, Eduardo Souza-Rodrigues
{"title":"Optimal Environmental Targeting in the Amazon Rainforest","authors":"J. Assunção, R. Mcmillan, Joshua Murphy, Eduardo Souza-Rodrigues","doi":"10.3386/W25636","DOIUrl":"https://doi.org/10.3386/W25636","url":null,"abstract":"\u0000 This paper sets out a data-driven approach for targeting environmental policies optimally in order to combat deforestation. We focus on the Amazon, the world’s most extensive rainforest, where Brazil’s federal government issued a ‘Priority List’ of municipalities in 2008 – a blacklist to be targeted with more intense environmental monitoring and enforcement. First, we estimate the causal impact of the Priority List on deforestation (along with other relevant treatment effects) using ‘changes-in-changes’ (Athey and Imbens, 2006), finding that it reduced deforestation by 43 percent and cut emissions by almost 50 million tons of carbon. Second, we develop a novel framework for computing targeted optimal blacklists that draws on our treatment effect estimates, assigning municipalities to a counterfactual list that minimizes total deforestation subject to realistic resource constraints. We show that the ex-post optimal list would result in carbon emissions over 10 percent lower than the actual list, amounting to savings of more than $1.2 billion (34% of the total value of the Priority List), with emissions over 23 percent lower on average than a randomly selected list. The approach we propose is relevant both for assessing targeted counterfactual policies to reduce deforestation and for quantifying the impacts of policy targeting more generally.","PeriodicalId":403142,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Agriculture","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128915875","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}
R. García-Verdú, Alexis Meyer‐Cirkel, Akira Sasahara, Hans Weisfeld
{"title":"Importing Inputs for Climate Change Mitigation: The Case of Agricultural Productivity","authors":"R. García-Verdú, Alexis Meyer‐Cirkel, Akira Sasahara, Hans Weisfeld","doi":"10.2139/SSRN.3329528","DOIUrl":"https://doi.org/10.2139/SSRN.3329528","url":null,"abstract":"This paper estimates agricultural total factor productivity (TFP) in 162 countries between 1991 and 2015 and aims to understand sources of cross-country variations in agricultural TFP levels and its growth rates. Two factors affecting agricultural TFP are analyzed in detail – imported intermediate inputs and climate. We first show that these two factors are independently important in explaining agricultural TFP – imported inputs raise agricultural TFP; and higher temperatures and rainfall shortages impede TFP growth, particularly in low-income countries (LICs). We also provide a new evidence that, within LICs, those with a higher import component of intermediate inputs seem to be more shielded from the negative impacts of weather shocks.","PeriodicalId":403142,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Agriculture","volume":"175 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115176865","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}
{"title":"Convergence of European Natural Gas Prices","authors":"A. Bastianin, M. Galeotti, Michele Polo","doi":"10.2139/ssrn.3297088","DOIUrl":"https://doi.org/10.2139/ssrn.3297088","url":null,"abstract":"Over the period 2015-2050 the consumption of natural gas of European OECD countries is expected to grow more than the consumption of any other energy source. Although these countries are interconnected and in most cases share a common currency, their wholesale national gas markets are highly heterogeneous. We study the determinants of cross-country convergence of natural gas prices for industrial consumers in fourteen European countries. Our empirical analysis is based on the notions of pairwise, relative and convergence. We show that there is evidence of pairwise price convergence and that some key characteristics of gas markets, such as the maturity of trading hubs and the degree of interconnection, are positively associated with the existence of a convergence process. This result carries over to the notion of sigma-convergence and is robust to a number of changes in the implementation of the statistical tests. The analysis of relative convergence points to the existence of price-growth convergence, while price-level convergence is not supported by the data. Lastly, we assess the the short-run implications of price convergence focusing on the speed of reversion to equilibrium after a system-wide shocks hits the cointegrating relation.","PeriodicalId":403142,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Agriculture","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122050172","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}
{"title":"Are Published Oil Price Forecasts Efficient?","authors":"H. Moghaddam, Jalal Dehnavi, F. Wirl","doi":"10.1111/opec.12138","DOIUrl":"https://doi.org/10.1111/opec.12138","url":null,"abstract":"Oil prices are crucial for a wide area of economic decisions ranging from households over business to economic policymaking. Therefore, oil price projections are a crucial input to economic models and to economic activity forecasts. This paper assesses the accuracy and efficiency of crude oil price forecasts published by different organisations, think tanks and companies. Since the sequence of published forecasts appears as smooth, the weak efficiency criterion is clearly violated. Even combining forecasts, cannot increase efficiency due to high correlation among various forecasts. This pattern of oil price forecasts can be attributed to combining myopia (use current oil price levels as a basis) with Hotelling‐type exponential growth. Another behavioural explanation in source of inefficiencies is that forecasters prefer to harmonise their forecasts with other forecasters in order to be not an outlier.","PeriodicalId":403142,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Agriculture","volume":"171 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121370941","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}
{"title":"The Globalisation‐Regionalisation Debate in International Crude Oil Markets: Old Wine in New Bottles","authors":"A. B. Dar","doi":"10.1111/opec.12136","DOIUrl":"https://doi.org/10.1111/opec.12136","url":null,"abstract":"In this paper, a new perspective of testing the globalisation–regionalisation hypothesis in the two international crude oil benchmarks, the European Brent and the American WTI, is proposed. Existing studies have failed to take into account the time horizons in studying the globalisation–regionalisation of two benchmark crude oil markets. This study overcomes the given limitation by testing the correlation and cross‐correlation at different time horizons. The results are suggestive that the two benchmark crude oil markets are more globalised at longer time horizons compared to the shorter time horizons. Furthermore, in the recent years, it is found that the two markets have regionalised.","PeriodicalId":403142,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Agriculture","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114337385","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}
{"title":"Global Warming and Socioeconomic Activities: Impact of Labor Productivity","authors":"Ken’ichi Matsumoto","doi":"10.2139/ssrn.3219603","DOIUrl":"https://doi.org/10.2139/ssrn.3219603","url":null,"abstract":"Climate change (global warming) has various impacts on human society and economic activities. One of the important aspects of global warming impacts is labor productivity through temperature increases. Higher temperature negatively affects the efficiency at work. In addition, the impact can vary by region because of differences in the economic structure and the climate conditions. The purpose of this study is to evaluate global warming impact on future economic activities through changes in labor productivity. To evaluate the global warming impact on future economic activities, we used a computable general equilibrium model considering the relationship between temperature and labor productivity. To calculate the future temperature, we used the MAGICC6 (Model for the Assessment of Greenhouse Gas Induced Climate Change version 6). For the future scenarios, we used business-as-usual (BaU) and 2°C scenarios. In the global level, gross domestic product (GDP) was 0.19-0.32% smaller for the BaU scenario when the global warming impact was considered, while the impact on GDP was smaller for the 2°C scenario (around 0.02%). However, the impact differs by region. For primary energy supply, the total supply was 0.33-0.63% smaller for the BaU scenario when the global warming impact was considered, while the impact was slight for the 2 °C scenario (0.01-0.02%). Consequently, CO2 emissions were also affected. In the BaU scenario, CO2 emissions from fossil fuels and industrial process were 0.34-1.18% smaller when the global warming impact was considered. These results suggest that larger the temperature increases, the larger the impact. However, although the degree was not large, it is indicated that the socioeconomic impacts to achieve the 2 °C target were smaller than previously believed.","PeriodicalId":403142,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Agriculture","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128313725","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}
{"title":"Investment Effects of Pricing Schemes for Non-Convex Markets","authors":"J. Mays, D. Morton, R. O'Neill","doi":"10.2139/ssrn.3198423","DOIUrl":"https://doi.org/10.2139/ssrn.3198423","url":null,"abstract":"Abstract Non-convex markets, such as those organized by electricity system operators, lack uniform clearing prices. In an attempt to align private and social costs when clearing these markets, operators have introduced a variety of price formation and uplift payment schemes. We investigate the impact that the choice of pricing scheme can have on generator entry and exit decisions. Our results suggest that despite the presence of fixed production cost elements, prices derived from marginal costs support the optimal capacity mix. The use of uplift payments to supplement these prices could lead to significant distortion of the capacity mix arising in competitive markets. Pricing schemes designed to reduce the need for uplift payments may at the same time reduce prices, leading to lower levels of capacity in equilibrium. Schemes intended to raise prices, to the extent they eliminate the need for discriminatory side payments, may allow system operators to support a higher level of capacity with less distortion to the capacity mix.","PeriodicalId":403142,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Agriculture","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132649975","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}
{"title":"An Econometric Analysis of the Solar Auctions in India","authors":"S. Bhasker","doi":"10.2139/ssrn.3713685","DOIUrl":"https://doi.org/10.2139/ssrn.3713685","url":null,"abstract":"This paper studies the bids of Government run solar auctions in India (JNNSM Phase II Batch I). Using an econometric model, it is found that the government firms bid lower than the private firms and the energy firms have a higher bid. It is also speculated that their could be collusion between the firms even though the paper cannot prove it due to lack of data.","PeriodicalId":403142,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Agriculture","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114766692","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}
{"title":"The Risk of Skewness and Kurtosis in Oil Market and the Cross-Section of Stock Returns","authors":"Nima Ebrahimi, Craig Pirrong","doi":"10.2139/ssrn.3168191","DOIUrl":"https://doi.org/10.2139/ssrn.3168191","url":null,"abstract":"We show that exposure to the risk of kurtosis in oil market drives the cross-section of stock returns from 1996 to 2014. The average monthly difference between the return of portfolio of stocks with low exposure and high exposure to the risk of kurtosis is -0.37%, showing that higher exposure to oil’s kurtosis risk will be penalized by lower average returns. We are able to confirm the significance of kurtosis risk within the statistical framework of Carhart 4-factor model. In contrast to the skewness risk, which is only a significant player in some of the sub-periods, kurtosis risk is keeping its significance through all sub-periods, as well as after taking market moments into account and within different maturities. The significance of the risk of skewness gets more evident moving from shorter to longer maturities. The risk of volatility, which has been shown to be a significant-priced risk in the cross-section of stock returns in literature, loses its significance after controlling for the third and fourth moments.","PeriodicalId":403142,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Agriculture","volume":"71 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127165313","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}