Journal of Energy Markets最新文献_第3页

Does the Impact of Exchange-Traded Funds Flows on Commodities Prices Involve Stockpiling as a Signature? An Empirical Investigation 交易所交易资金流动对商品价格的影响是否包括库存作为一个标志？实证研究

IF 0.4

Journal of Energy Markets Pub Date : 2018-05-15 DOI: 10.21314/jem.2018.175

S. Ohana, Xiaoying Huang

{"title":"Does the Impact of Exchange-Traded Funds Flows on Commodities Prices Involve Stockpiling as a Signature? An Empirical Investigation","authors":"S. Ohana, Xiaoying Huang","doi":"10.21314/jem.2018.175","DOIUrl":"https://doi.org/10.21314/jem.2018.175","url":null,"abstract":"A number of prominent authors have recently argued that any abnormal impact of speculators on commodities prices should involve stockpiling as a signature. Others contend, by contrast, that due to the price inelasticity of supply and demand in commodity markets, speculation could distort commodity prices without any change in inventories. Motivated by this debate, this paper examines the relation between the investment flows into the three main commodity index exchange-traded funds (ETFs) and the prices, inventory and term structure of four US-traded energy commodities. Using weekly inventory data from the Energy Information Agency and futures prices from NYMEX energy contracts, we do not find any significant relation between commodity index flows and inventory or term structure. By contrast, we retrieve the short-term impacts of index flows on energy commodities’ futures prices that have already been evidenced in the literature. An extension of our framework of analysis to twelve US-traded agricultural contracts confirms these conclusions. Hence, our results suggest that stockpiling is not necessarily a “signature” of an abnormal impact of speculators on commodities prices.","PeriodicalId":43528,"journal":{"name":"Journal of Energy Markets","volume":" ","pages":""},"PeriodicalIF":0.4,"publicationDate":"2018-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46142620","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

The Impact of Unconventional Monetary Policy Shocks on the Crude Oil Futures Market 非常规货币政策冲击对原油期货市场的影响

IF 0.4

Journal of Energy Markets Pub Date : 2018-02-12 DOI: 10.21314/JEM.2018.171

Tarek Chebbi

{"title":"The Impact of Unconventional Monetary Policy Shocks on the Crude Oil Futures Market","authors":"Tarek Chebbi","doi":"10.21314/JEM.2018.171","DOIUrl":"https://doi.org/10.21314/JEM.2018.171","url":null,"abstract":"This paper examines how West Texas Intermediate (WTI) crude oil price returns and volatilities respond to changes in US monetary policy. To do so, it considers daily data collected between 2008 and 2014. It measures the monetary policy shocks as the change in US ten-year government bond yields immediately after the announcement of relevant events. The findings reveal the crude oil market to be highly reactive to unconventional monetary policy surprises. Surprisingly, when working with shorter windows – that is, of one day right around the announcement of a large-scale asset purchase likely to cause a decrease in long-term interest rates – one documents, in general, a decline in oil price returns and an increase in their associated volatilities, despite the more stimulative financial environment. In contrast, the effects of monetary policy on the oil market one day after any significant announcement are different. As a rule, monetary surprises led to significant increases in oil price. In particular, this paper highlights the ways in which the magnitude of the oil market’s response may be influenced by the size of the study window (that is, the period in which monetary policy may affect prices). This observation raises the question of whether transmission channels drive the relationship between monetary policy and the crude oil market. This paper makes an important contribution to the empirical literature dealing with the link between monetary policy and energy markets: namely, the crude oil futures market and the existing literature focusing on the transmission mechanism. The empirical results entail important implications for industry participants and policy makers alike.","PeriodicalId":43528,"journal":{"name":"Journal of Energy Markets","volume":" ","pages":""},"PeriodicalIF":0.4,"publicationDate":"2018-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47134962","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: 6

Barriers for District Heating as a Source of Flexibility for the Electricity System 区域供热的障碍是电力系统灵活性的来源

IF 0.4

Journal of Energy Markets Pub Date : 2017-06-05 DOI: 10.21314/JEM.2017.161

K. Skytte, O. Olsen, Emilie Rosenlund Soysal, Daniel Møller Sneum

{"title":"Barriers for District Heating as a Source of Flexibility for the Electricity System","authors":"K. Skytte, O. Olsen, Emilie Rosenlund Soysal, Daniel Møller Sneum","doi":"10.21314/JEM.2017.161","DOIUrl":"https://doi.org/10.21314/JEM.2017.161","url":null,"abstract":"The Scandinavian countries Denmark, Norway and Sweden currently deploy large amounts of variable renewable energy (VRE) sources, especially wind power. This calls for additional flexibility in the power market. The right coupling to the underlying national and local district heating (DH) markets can generate large amounts of flexibility. However, regulatory barriers and different energy market designs may hinder the potential benefits from system integration, and lower the potential that can be realized. The Scandinavian countries have a large extension of DH with a good potential for providing flexibility services to the electricity market. We survey and discuss regulatory barriers and drivers for exploiting this potential for flexibility. Combined heat and power (CHP) is widely integrated in the power market, but it is threatened by low electricity prices due to the increasing amounts of wind power. Power-to-heat technologies, electric boilers and heat pumps are blocked by high tariffs and taxes. A calculation of the heat costs of different DH technologies demonstrates that, under the present price and tax conditions in Denmark and Sweden, CHP and power-to-heat are unable to compete with heat-only boilers that use tax-free biomass.","PeriodicalId":43528,"journal":{"name":"Journal of Energy Markets","volume":"1 1","pages":""},"PeriodicalIF":0.4,"publicationDate":"2017-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45887071","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: 24

Managing Temperature-Driven Volume Risks 管理温度驱动的数量风险

IF 0.4

Journal of Energy Markets Pub Date : 2016-05-26 DOI: 10.21314/jem.2016.145

Laura Cucu, R. Döttling, P. Heider, Samuel C. Maina

引用次数: 4

Covered Option Strategies in Nordic Electricity Markets 北欧电力市场的担保期权策略

IF 0.4

Journal of Energy Markets Pub Date : 2015-06-02 DOI: 10.21314/jem.2015.120

Antti Klemola, Jukka Sihvonen

引用次数: 0

Parameter Variation and the Components of Natural Gas Price Volatility 天然气价格波动的参数变化及构成因素

IF 0.4

Journal of Energy Markets Pub Date : 2015-04-21 DOI: 10.2139/ssrn.2597319

Matthew Brigida

引用次数: 1

A Method of Forecasting Wholesale Electricity Market Prices 一种电力批发市场价格预测方法

IF 0.4

Journal of Energy Markets Pub Date : 2014-12-23 DOI: 10.2139/ssrn.2542052

J. Maisano, A. Radchik, I. Skryabin

引用次数: 3

Static Mitigation of Volumetric Risk 静态降低体积风险

IF 0.4

Journal of Energy Markets Pub Date : 2014-09-01 DOI: 10.2139/ssrn.2689112

Rachid Id Brik, Andrea Roncoroni

{"title":"Static Mitigation of Volumetric Risk","authors":"Rachid Id Brik, Andrea Roncoroni","doi":"10.2139/ssrn.2689112","DOIUrl":"https://doi.org/10.2139/ssrn.2689112","url":null,"abstract":"We consider the problem of designing a financial instrument aimed at mitigating the joint exposure of energy-linked commitments to random price and volume delivery fluctuations. We formulate a functional optimization problem over a set of regular payoff functions: one is written on energy price, while the other is issued over any index exhibiting statistical correlation to volumetric load. On theoretical grounds, we derive closed-form expressions for both payoff structures under suitable conditions about the statistical properties of the underlying variables; we pursue analytical computations in the context of a lognormal market model and deliver explicit formulas for the optimal derivative instruments. On practical grounds, we first develop a comparative analysis of model output through simulation experiments; next, we perform an empirical study based on data quoted at EPEX SPOT power market. Our results suggest that combined price-volume hedging performance improves along with an increase of the correlation between load and index values. This outcome paves the way for a new class of effective strategies for managing volumetric risk upon extreme temperature waves.","PeriodicalId":43528,"journal":{"name":"Journal of Energy Markets","volume":"1 1","pages":""},"PeriodicalIF":0.4,"publicationDate":"2014-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.2139/ssrn.2689112","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"68255592","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