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Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility

Chen, Ping-Yu; Chang, Chia-Lin; Chen, Chi-Chung; … - 2013

mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models … price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in …

Persistent link: https://www.econbiz.de/10010326493

Moody Oil - What is Driving the Crude Oil Price?

Lechthaler, Filippo; Leinert, Lisa - 2012

The unparalleled surge of the crude oil price after 2003 has triggered a heated scientific and public debate about its ultimate causes. Unexpected demand growth particularly from emerging economies appears to be the most prominently supported reason among academics. We study the price dynamics...

Persistent link: https://www.econbiz.de/10011753232

Oil price, oil price implied volatility (OVX) and illiquidity premiums in the US: (a)symmetry and the impact of macroeconomic factors

Essa, Mohammad Sharik; Giouvris, Evangelos - In: Journal of Risk and Financial Management 13 (2020) 4, pp. 1-40

-minus-liquid stocks), using the US Oil Fund options implied volatility OVX index. We use daily data from 2007 to 2018, taking into account …We examine the impact of oil price and oil price volatility on US illiquidity premiums (return on illiquid … price has a significantly positive impact and OVX has a significantly negative impact on premiums, for the full sample and …

Persistent link: https://www.econbiz.de/10012611299

Fiscal Sustainability, Volatility and Oil Wealth: A Stochastic Analysis of Fiscal Spending Rules

van Wijnbergen, Sweder; Budina, Nina - 2011

Whether fiscal policy is sustainable depends on a government's future revenue and expenditure streams, both of which are highly uncertain. In commodity-rich countries, this problem is intensified by unpredictable and volatile commodity prices. We show how spending rules for oil income and...

Persistent link: https://www.econbiz.de/10010325791

Evaluating the Empirical Performance of Alternative Econometric Models for Oil Price Forecasting

Manera, Matteo; Longo, Chiara; Markandya, Anil; Scarpa, … - 2007

The relevance of oil in the world economy explains why considerable effort has been devoted to the development of …

Persistent link: https://www.econbiz.de/10010312337

Crude oil prices and the euro-dollar exchange rate: A forecasting exercise

Crespo Cuaresma, Jesus; Breitenfellner, Andreas - 2008

If oil exporters stabilize the purchasing power of their export revenues in terms of imports, exchange rate developments (and particularly, developments in the US dollar/euro exchange rate) may contain information about oil price changes. This hypothesis depends on three conditions: (a) OPEC has...

Persistent link: https://www.econbiz.de/10010293389

Does the Iranian oil supply matter for the oil prices?

Farzanegan, Mohammad Reza - 2012

There is an increasing tension between the Iranian Government and the west on an increasingly likely European oil embargo and the Iranian threat to close the Strait of Hormuz. The main question is: What will happen to the international oil prices in the case of shocks in the flow of Iranian oil...

Persistent link: https://www.econbiz.de/10010294407

Does the Oil Price Adjust Optimally to Oil Field Discoveries?

Leinert, Lisa - 2012

The Hotelling rule argues that the price for a non-renewable resource adjusts to the shadow value of the resource, reflecting its remaining availability. This study provides an empirical test of this hypothesis. It investigates whether the price of crude oil does adjust to unexpected news about...

Persistent link: https://www.econbiz.de/10011753233

Global commodity cycles and linkages a FAVAR approach

Lombardi, Marco J.; Osbat, Chiara; Schnatz, Bernd - 2010

In this paper we examine linkages across non-energy commodity price developments by means of a factor-augmented VAR model (FAVAR). From a set of non-energy commodity price series, we extract two factors, which we identify as common trends in metals and a food prices. These factors are included...

Persistent link: https://www.econbiz.de/10011605216

Asymmetry in volatility: A comparison of developed and transition stock markets

Wdowiński, Piotr; Malecka, Marta - 2010

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

Persistent link: https://www.econbiz.de/10010270556