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Author: Janelle M. Mann
Publisher:
ISBN:
Category :
Languages : en
Pages : 342
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Book Description
This thesis develops a new methodological approach to test for threshold cointegration. It determines the threshold locations, the number of thresholds, and tests the null hypothesis of a unit root against the alternative of a stationary threshold process using p-values based on a residual-based block bootstrap for the nonlinear threshold autoregressive specification (TAR). Chapter 2 describes the methodological approach which combines Gonzalo and Pitarakis (2002) and Seo (2008). Chapter 3 employs Monte Carlo analysis to investigate the properties of the new approach. The results indicate that the methodology performs well and is suited for application to real world time series. Chapter 4 applies the new approach in combination with a threshold error correction model (ECM) to determine the spatial relationships among three crude oil prices: WTI, Brent, and Oman, from 2008 through 2011. The results indicate that the crude oil benchmarks are tied together by a long run relationship; however, the recent reversal in price premium between the two main crude oil benchmarks, WTI and Brent, is an anomaly that has resulted in a time period in which the series do not have a tendency to move back toward their long run relationship. Chapter 5 applies the new approach, in combination with threshold ECMs, with regime switches being triggered by the upstream markup margin to determine the vertical relationships between the crude oil, rack, and retail gasoline prices for six cities across North America. The results using both daily and weekly data between 2008 and 2011 suggest that upstream and downstream prices are cointegrated. There is evidence of band-TAR in which the crude, rack, and retail prices are free to diverge until the markup margin is squeezed or stretched beyond a lower or upper threshold. This suggests that abnormally high margins cannot be sustained indefinitely. The threshold ECMs indicate that there is no systematic relationship between the speed of adjustment and the markup margin; however, the residuals exhibit a leverage effect in which volatility and price changes are negatively correlated. Chapter 6 concludes with a summary of Chapters 2 through 5 and makes suggestions for future research.
Author: Janelle M. Mann
Publisher:
ISBN:
Category :
Languages : en
Pages : 342
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Book Description
This thesis develops a new methodological approach to test for threshold cointegration. It determines the threshold locations, the number of thresholds, and tests the null hypothesis of a unit root against the alternative of a stationary threshold process using p-values based on a residual-based block bootstrap for the nonlinear threshold autoregressive specification (TAR). Chapter 2 describes the methodological approach which combines Gonzalo and Pitarakis (2002) and Seo (2008). Chapter 3 employs Monte Carlo analysis to investigate the properties of the new approach. The results indicate that the methodology performs well and is suited for application to real world time series. Chapter 4 applies the new approach in combination with a threshold error correction model (ECM) to determine the spatial relationships among three crude oil prices: WTI, Brent, and Oman, from 2008 through 2011. The results indicate that the crude oil benchmarks are tied together by a long run relationship; however, the recent reversal in price premium between the two main crude oil benchmarks, WTI and Brent, is an anomaly that has resulted in a time period in which the series do not have a tendency to move back toward their long run relationship. Chapter 5 applies the new approach, in combination with threshold ECMs, with regime switches being triggered by the upstream markup margin to determine the vertical relationships between the crude oil, rack, and retail gasoline prices for six cities across North America. The results using both daily and weekly data between 2008 and 2011 suggest that upstream and downstream prices are cointegrated. There is evidence of band-TAR in which the crude, rack, and retail prices are free to diverge until the markup margin is squeezed or stretched beyond a lower or upper threshold. This suggests that abnormally high margins cannot be sustained indefinitely. The threshold ECMs indicate that there is no systematic relationship between the speed of adjustment and the markup margin; however, the residuals exhibit a leverage effect in which volatility and price changes are negatively correlated. Chapter 6 concludes with a summary of Chapters 2 through 5 and makes suggestions for future research.
Author: Matteo Manera
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
The existing literature on price asymmetries does not systematically investigate the sensitivity of the empirical results to the choice of a particular econometric specification. This paper fills this gap by providing a detailed comparison of the three most popular models designed to describe asymmetric price behaviour, namely asymmetric ECM, autoregressive threshold ECM and ECM with threshold cointegration. Each model is estimated on a common monthly dataset for the gasoline markets of France, Germany, Italy, Spain and UK over the period 1985-2003. All models are able to capture the temporal delay in the reaction of retail prices to changes in spot gasoline and crude oil prices, as well as some evidence of asymmetric behaviour. However, the type of market and the number of countries which are characterized by asymmetric oil-gasoline price relations vary across models. The asymmetric ECM yields some evidence of asymmetry for all countries, mainly at the distribution stage. The threshold ECM strongly rejects the null hypothesis of symmetric price behaviour, particularly in the case of France and Germany. Finally, the ECM with threshold cointegration finds long-run asymmetry for each country in the reaction of retail prices to oil price changes.
Author: Edward E. Flaherty
Publisher:
ISBN:
Category : Purchasing power parity
Languages : en
Pages : 356
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Book Description
Author: Fredj Jawadi
Publisher:
ISBN:
Category :
Languages : en
Pages : 12
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Book Description
Author: Jacques Girod
Publisher: Springer
ISBN: 0230626319
Category : Business & Economics
Languages : en
Pages : 290
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Book Description
The complexity and volatility of energy markets creates strong demand for quantitative analysis and econometric techniques. This book offers an introduction to the state of the art in econometric modelling applied to the most pertinent issues in today's energy markets for a better understanding of the working of energy systems and energy economics.
Author: Patrick L. Leoni
Publisher:
ISBN:
Category :
Languages : un
Pages :
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Book Description
Author: Mara P. Squicciarini
Publisher: Oxford University Press
ISBN: 019103990X
Category : Social Science
Languages : en
Pages : 505
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Book Description
This book, written by global experts, provides a comprehensive and topical analysis on the economics of chocolate. While the main approach is economic analysis, there are important contributions from other disciplines, including psychology, history, government, nutrition, and geography. The chapters are organized around several themes, including the history of cocoa and chocolate — from cocoa drinks in the Maya empire to the growing sales of Belgian chocolates in China; how governments have used cocoa and chocolate as a source of tax revenue and have regulated chocolate (and defined it by law) to protect consumers' health from fraud and industries from competition; how the poor cocoa producers in developing countries are linked through trade and multinational companies with rich consumers in industrialized countries; and how the rise of consumption in emerging markets (China, India, and Africa) is causing a major boom in global demand and prices, and a potential shortage of the world's chocolate.
Author: M. Luštrek
Publisher: IOS Press
ISBN: 1643681877
Category : Computers
Languages : en
Pages : 284
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Book Description
Intelligent environments (IE) combine physical spaces with ICT and pervasive technology to improve a user’s awareness of their surroundings, empower them to carry out tasks, enrich their experience, and enhance their ability to manage such environments. A growing community, from academia to practitioners, is working to bring intelligent environments to life. This work is driven by the innovative ideas and technological progress that are making the sensors and computing devices required for intelligent environments more affordable and energy-efficient. This book presents papers from Workshops held during the 17th International Conference on Intelligent Environments, IE2021. The conference was due to take place in Dubai, UAE, but was held as a virtual event from 21 to 24 June 2021 due to the restrictions associated with the Covid-19 pandemic. Included here are the proceedings of the 10th International Workshop on the Reliability of Intelligent Environments (WoRIE’21), the 3rd International Workshop on Intelligent Environments and Buildings (IEB’21), the 1st International Workshop on Self-Learning in Intelligent Environments (SeLIE’21), and the 1st International Workshop on Artificial Intelligence and Machine Learning for Emerging Topics (ALLEGET’21). The contributions to these workshops reflect the multi-disciplinary and transversal aspects of intelligent environments, and cover the latest research and development in intelligent environments and related areas, focusing on pushing the boundaries and contributing to the establishment of intelligent environments in the real world. Offering a state-of-the-art overview of current progress, the book will be of particular interest to all those working in the field of intelligent environments.
Author: Peter V. Schaeffer
Publisher: John Wiley & Sons
ISBN: 047031723X
Category : Business & Economics
Languages : en
Pages : 345
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Book Description
Commodity Modeling and Pricing provides extensions and applications of state-of-the-art methods for analyzing resource commodity behavior. Drawing from the seminal work of Professor Walter Labys on the development of econometric methods for forecasting commodity prices, this collection of essays features expert contributors ranging from practitioners in private industry, public sector, and nongovernmental organizations to scholars in higher education–all of whom were Labys's former students or collaborators. Filled with in-depth insights and expert advice, Commodity Modeling and Pricing contains the information you need to excel in this demanding environment.
Author: Stavros Mavroudeas
Publisher: IJOPEC PUBLICATION
ISBN: 1912503611
Category : Business & Economics
Languages : en
Pages : 151
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Book Description
This book is one of the products of the Ninth International Conference on Political Economy (ICOPEC) held in September 2018 at Panteion Univer- sity with the main theme “10 years after the Great Recession: Orthodox versus Heterodox Economics”. The conference was coorganised by the Greek Association for Political Economy (GAPE), the Department of Social Policy of Panteion University, and the Faculty of Economics of Marma- ra University. This volume contains eight selected papers that benefited from comments and discussion during the conference and subsequently improved significantly. They focus on economic crises and their impact on the global economy and on particular economic sectors and countries.
