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Author: 李碧娟
Publisher:
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Category :
Languages : en
Pages :
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Author: 李碧娟
Publisher:
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Category :
Languages : en
Pages :
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Author: Conan Christopher Crum
Publisher:
ISBN:
Category : Economic policy
Languages : en
Pages : 190
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The overall goal of this dissertation is to study important questions in public economics. In its three chapters, I look at peak world oil production and its implications for oil prices; cross-country pollution emission rates and implications for institutional quality; and finally, black-white arrest rates and implications for law enforcement discount factors. Each chapter of this dissertation combines new theory with robust empirical work to extend the quantitative frontier of research in public economics.
Author: Junchuan Jesse Zeng
Publisher:
ISBN:
Category : Electronic dissertations
Languages : en
Pages : 104
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This dissertation studies two major topics related to the crude oil price and the economy. The first topic studied is about the relationship between speculation and the crude oil price and the related implications on the macroeconomic growth and inflation. The second topic is about the relationship between the oil price volatility and the US stock market. It includes two subtopics: i) the volatility spillovers between the crude oil market and the US stock market and ii) the relationship between oil price volatility and real stock returns on the US market. This dissertation has four chapters, with each of the two major topics studied relatively independently in their respective chapters. In the first chapter, we introduce the background and motivation for the topics studied in this dissertation. Additionally, we also give an overview of the results and important findings. In the second chapter, we examine the impact of speculative information on the oil price and the corresponding implications on the macroeconomy. We use a structural vector autoregression (VAR) model to decompose the shocks of the crude oil price and use the gold price as a proxy for the speculative information. We argue that using the gold price to account for speculative information is a very informative alternative to the other indicators used in literature. Our results show that speculative information plays a very important role in driving crude oil price shocks; it accounts for about 20% of the variation of the oil price. Furthermore, we show that speculative shocks to the crude oil price are correlated to future macroeconomic downturns. We also show that speculative shocks may create inflation pressure, although the effect is not as strong as that on the macroeconomic output growth. In the third chapter, we use a generalized autoregressive conditional heteroskedasticity (GARCH) specification to model the volatility on both the oil and stock markets and then utilize an extension of the GARCH-M (GARCH in mean) vector autoregression (VAR) model introduced in Elder (2004) to capture the volatility spillover relationship between the two markets and the relationship between the volatility of the oil price and stock returns at the same time. Further, we detect a structural change of the oil price-stock returns relationship near the middle of 1987. A unidirectional volatility spillover from the stock market to the oil market is found to be statistically significant before the break, while a negative relationship between oil price volatility and the conditional mean of stock returns is more pronounced afterwards. We argue that several events happening around the break point are likely to be the causes for the structural change. In the last chapter, we summarize the work and highlight the important results in this dissertation. In addition, we also discuss possible future research directions.
Author: Ryan Connell Hanson
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Mr. Kangni R Kpodar
Publisher: International Monetary Fund
ISBN: 1616356154
Category : Business & Economics
Languages : en
Pages : 34
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This paper investigates the response of consumer price inflation to changes in domestic fuel prices, looking at the different categories of the overall consumer price index (CPI). We then combine household survey data with the CPI components to construct a CPI index for the poorest and richest income quintiles with the view to assess the distributional impact of the pass-through. To undertake this analysis, the paper provides an update to the Global Monthly Retail Fuel Price Database, expanding the product coverage to premium and regular fuels, the time dimension to December 2020, and the sample to 190 countries. Three key findings stand out. First, the response of inflation to gasoline price shocks is smaller, but more persistent and broad-based in developing economies than in advanced economies. Second, we show that past studies using crude oil prices instead of retail fuel prices to estimate the pass-through to inflation significantly underestimate it. Third, while the purchasing power of all households declines as fuel prices increase, the distributional impact is progressive. But the progressivity phases out within 6 months after the shock in advanced economies, whereas it persists beyond a year in developing countries.
Author: Seung-Won Kang
Publisher:
ISBN:
Category :
Languages : en
Pages : 222
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Author: Sung Wook Hong
Publisher:
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Category :
Languages : en
Pages :
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This dissertation examines three important issues in energy markets: price dynamics, information flow, and structural change. We discuss each issue in detail, building empirical time series models, analyzing the results, and interpreting the findings. First, we examine the contemporaneous interdependencies and information flows among crude oil, natural gas, and electricity prices in the United States (US) through the multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) model, Directed Acyclic Graph (DAG) for contemporaneous causal structures and Bernanke factorization for price dynamic processes. Test results show that the DAG from residuals of out-of-sample-forecast is consistent with the DAG from residuals of within-sample-fit. The result supports innovation accounting analysis based on DAGs using residuals of out-of-sample-forecast. Second, we look at the effects of the federal fund rate and/or WTI crude oil price shock on US macroeconomic and financial indicators by using a Factor Augmented Vector Autoregression (FAVAR) model and a graphical model without any deductive assumption. The results show that, in contemporaneous time, the federal fund rate shock is exogenous as the identifying assumption in the Vector Autoregression (VAR) framework of the monetary shock transmission mechanism, whereas the WTI crude oil price return is not exogenous. Third, we examine price dynamics and contemporaneous causality among the price returns of WTI crude oil, gasoline, corn, and the S&P 500. We look for structural break points and then build an econometric model to find the consistent sub-periods having stable parameters in a given VAR framework and to explain recent movements and interdependency among returns. We found strong evidence of two structural breaks and contemporaneous causal relationships among the residuals, but also significant differences between contemporaneous causal structures for each sub-period. The electronic version of this dissertation is accessible from http://hdl.handle.net/1969.1/148354
Author: Ahmed Alaabodi
Publisher:
ISBN:
Category : Petroleum industry and trade
Languages : en
Pages : 89
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The main objective of my three essays is to study the dynamics and interaction of the price of oil with the downstream sector (refined products), upstream sector (oil production), and across regional markets. I shed light on how the new technological innovation of horizontal drilling and hydraulic fracking that caused the shale oil revolution in the last decade impact the price of oil and impact the petroleum market in the United States. In the first essay, the dynamic relationship between the monthly price of crude oil and its refined products is modeled. The long-run equilibrium carries valuable information for risk management and forecasting in the oil industry. The benchmark for the crude oil in this study is West Texas Intermediate (WTI), and the refined products are motor gasoline and No. 2 distillate (residential heating oil and diesel fuel). A test is conducted to detect the structural breaks in the long-run equilibrium due to several disruptions in the petroleum market globally. Structural breaks are found in July 2004 and March 2011. The structural break identified in July 2004 may be attributed to the surge in crude oil demand from China, while the other structural break may be explained by the shale oil boom. The test for price leadership in the oil market shows that the price of crude oil is weakly exogenous. The second essay analyzes the relationship between tight oil production and the price of crude oil in an asymmetric environment in order to investigate the asymmetry in the long and short run. Evidence of asymmetry is found in the relationship between the price of WTI and total expected production from tight oil plays in the long run. This result implies that the United States is the marginal producer. The asymmetric behavior in the long run may be attributed to contracts hedging, geography legal obligation, and productivity of the tight oil plays. The tight oil production by play is disaggregated in order to examine if the asymmetric relationship on the plays level. These plays are Austin Chalk, Bakken, Bone Spring, Eagle Ford, Mississippi, Niobrara, Permian, Wolfcamp, and Woodford. While there is evidence that the asymmetric relationship does exist among the majority of the tight oil, no such evidence for the asymmetric relationship in the short run is found. The third essay examines the time-varying volatility spillovers across the major crude oil benchmarks: WTI, Brent, and Dubai. Studying the time-varying spillovers is a crucial factor impacting the volatility of the price of oil. The dynamic conditional correlation is employed to investigate the contemporaneous correlation across global oil markets. There is evidence of strong correlation between the benchmarks of WTI and Dubai that may be attributed to integration in the Asian markets. There is a low correlation between WTI and Brent and Brent and Dubai. However, the correlation significantly increases at times of uncertainty in the global economy, especially in 2019. That uncertainty is characterized by the increased trade tensions between the United States and China. The elevated tensions in trade bring uncertainty to the energy sector. I extend the analysis using the connectedness measure to examine the time-varying connectedness for a longer time horizon using the rolling window approach. The findings can be summarized as follows: The benchmark of WTI is net transmitter, Brent is net receiver, and Dubai fluctuates between net receiver and transmitter. The results from the connectedness measures support the dynamic conditional correlation results that the co-movement increases at the time of global shocks.
Author: Colin George Frederick Simkin
Publisher:
ISBN:
Category : Australia
Languages : en
Pages : 68
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Author: Koji Kotani
Publisher:
ISBN:
Category :
Languages : en
Pages : 202
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