Stock prices of clean energy firms, oil and carbon markets : a vector autoregressive analysis

Recent discussions of energy security and climate change have attracted significant attention to clean energy. We hypothesize that rising prices of conventional energy and/or placement of a price on carbon emissions would encourage investments in clean energy firms. The data from three clean energy indices show that oil prices and technology stock prices separately affect the stock prices of clean energy firms. However, the data fail to demonstrate a significant relationship between carbon prices and the stock prices of the firms.

Energy price-induced and exogenous technological change : Assessing the economic and environmental outcomes

In this paper, we distinguish between factor/output substitution and shifts in the production technology frontier. Our model includes the by-products of carbon dioxide and sulfur dioxide emissions where the function requires the simultaneous expansion of good outputs and reductions in emissions. We estimate a directional output distance function for 80 countries over the period 1971-2000 to measure the exogenous and oil price-induced technological change. On average, we find substantial oil price-induced technological progress at the world level when long-term oil prices are rising, although the growth rate is more volatile in developed countries than in developing countries. The results also show that developed countries experience higher exogenous technological progress in comparison with developing countries, and the gap between the two has increased during the period of our study.

Crude oil and agricultural futures: An analysis of correlation dynamics

Correlations between oil and agricultural commodities have varied over previous decades, impacted by renewable fuels policy and turbulent economic conditions. We estimate smooth transition conditional correlation models for 12 agricultural commodities and WTI crude oil. While a structural change in correlations occurred concurrently with the introduction of biofuel policy, oil and food price levels are also key influences. High correlation between biofuel feedstocks and oil is more likely to occur when food and oil price levels are high. Correlation with oil returns is strong for biofuel feedstocks, unlike with other agricultural futures, suggesting limited contagion from energy to food markets.

NON-GAUSSIAN STATISTICS OF OIL PRICING TIME-SERIES: A CASE STUDY

The stochastic nature of oil price fluctuations is investigated over a twelve-year period, borrowing feedback from an existing database (USA Energy Information Administration database, available online). We evaluate the scaling exponents of the fluctuations by employing different statistical analysis methods, namely rescaled range analysis (R/S), scale windowed variance analysis (SWV) and the generalized Hurst exponent (GH) method. Relying on the scaling exponents obtained, we apply a rescaling procedure to investigate the complex characteristics of the probability density functions (PDFs) dominating oil price fluctuations. It is found that PDFs exhibit scale invariance, and in fact collapse onto a single curve when increments are measured over microscales (typically less than 30 days). The time evolution of the distributions is well fitted by a Levy-type stable distribution. The relevance of a Levy distribution is made plausible by a simple model of nonlinear transfer. Our results also exhibit a degree of multifractality as the PDFs change and converge toward to a Gaussian distribution at the macroscales.

Bayesian estimation and selection of nonlinear vector error correction models: The case of the sugar-ethanol-oil nexus in Brazil

Nonlinear adjustment toward long-run price equilibrium relationships in the sugar-ethanol-oil nexus in Brazil is examined. We develop generalized bivariate error correction models that allow for cointegration between sugar, ethanol, and oil prices, where dynamic adjustments are potentially nonlinear functions of the disequilibrium errors. A range of models are estimated using Bayesian Monte Carlo Markov Chain algorithms and compared using Bayesian model selection methods. The results suggest that the long-run drivers of Brazilian sugar prices are oil prices and that there are nonlinearities in the adjustment processes of sugar and ethanol prices to oil price but linear adjustment between ethanol and sugar prices.

Kazakhstan: long-term economic growth and the role of the oil sector

This study combines a narrative and modelling framework to analyse the development of Kazakhstan’s oil sector since its takeoff following separation from the USSR. As in the case of other emerging or transitional countries with large natural resource endowments, a key question is whether the exploitation of the natural resource is a benefit to longer term economic development: is it a curse, a blessing – or neither? Narrative evidence suggests that the establishment of good governance, in terms of institutions and policies, provides a background to sound long-term development, especially if combined with the development of sectors outside the natural resource sector, for example diversification into manufacturing and services, often through attracting FDI. The narrative is supported by econometric modelling of the relationship between domestic output, overseas output and exports of oil, which finds in favour of a sustained positive effect of oil exports on GDP. The model then provides a basis for projection of the growth in GDP given a consensus view of likely developments in the oil price.

The Long-Run Relationship between Money, Nominal GDP, and the Price Level in Venezuela: 1950 to 1996

This paper explores whether a significant long-run relationship exists between money and nominal GDP and between money and the price level in the Venezuelan economy. We apply time-series econometric techniques to annual data for the Venezuelan economy for 1950 to 1996. An important feature of our analysis is the use of tests for unit roots and cointegration with structural breaks. Certain characteristics of the Venezuelan experience suggest that structural breaks may be important. Since the economy depends heavily on oil revenue, oil price shocks have had important influences on most macroeconomic variables. Also since the economy possesses large foreign debt, the world debt crisis that exploded in 1982 had pervasive effects on the Venezuelan economy. Radical changes in economic policy and political instability may have also significantly affected the movement of the macroeconomy. We find that a long-run relationship exists between narrow money (M1) and nominal GDP, the GDP deflator, and the CPI when one makes allowances for one or two structural breaks. We do not find such long-run relationships when broad money (M2) is used.

Causality in crude oil prices

Economic media inform on prices of three well established crude oil benchmarks: Brent, WTI and Dubai Fateh. The relevance of these is however declining with their low output - motivating investigation of the pricing dynamics. We apply Granger causality tests to study the price dependencies of 32 crude oils. The aim is to establish what crudes are setting the prices and what crudes are just following the general market trends. The investigation is performed globally as well as for different quality, geographical and organisational segments. The results indicate that crude oil price analysts should follow at least four different crudes that are good price indicators. WTI and Brent still lead the market, but they are not the only crude prices worth paying attention to. In particular, Russian Urals drives global prices in a significant way, and Iran Seri Kerir is a significant price setter within OPEC. Dubai Fateh does not display any significant influence as a price setter, which confirms the lack of dominant benchmark within the segment of medium quality crudes.

Density forecasts of crude-oil prices using option-implied and ARCH-type models

The predictive accuracy of competing crude-oil price forecast densities is investigated for the 1994–2006 period. Moving beyond standard ARCH type models that rely exclusively on past returns, we examine the benefits of utilizing the forward-looking information that is embedded in the prices of derivative contracts. Risk-neutral densities, obtained from panels of crude-oil option prices, are adjusted to reflect real-world risks using either a parametric or a non-parametric calibration approach. The relative performance of the models is evaluated for the entire support of the density, as well as for regions and intervals that are of special interest for the economic agent. We find that non-parametric adjustments of risk-neutral density forecasts perform significantly better than their parametric counterparts. Goodness-of-fit tests and out-of-sample likelihood comparisons favor forecast densities obtained by option prices and non-parametric calibration methods over those constructed using historical returns and simulated ARCH processes. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:727–754, 2011

Asymmetric price transmission in EU petroleum markets

This research investigates the determinants of asymmetric price transmission (APT) in European petroleum markets. APT is the faster response of retail prices to cost increases than to cost decreases; resulting in a welfare transfer from consumers to fuel retailers. I investigate APT at 3 different levels: the EU, the UK and at the Birmingham level. First, I examine the incidence of asymmetries in the retail markets of six major EU countries; significant asymmetries are found in all countries except from the UK. The market share data suggest that asymmetries are more important in more concentrated markets; this finding supports the collusion theory. I extend the investigation to 12 EU countries and note that APT is greater in diesel markets. The cross-country analysis suggests that vertical and horizontal concentration at least partly explains the degree of asymmetry. I provide evidence justifying scrutiny over retail markets’ pricing and structure. Second daily data unveil the presence of APT in the UK fuel markets. I use break tests to identify segments with different pricing regimes. Two main types of periods are identified: periods of rising oil price exhibit significant asymmetries whilst periods of recession do not. Our results suggest that oligopolistic coordination between retailers generate excess rents during periods of rising oil price whilst the coordination fails due to price wars when oil prices are going downwards. Finally I investigate the pricing behaviour of petroleum retailers in the Birmingham (UK) area for 2008. Whilst the market structure data reveals that the horizontal concentration is higher than the national UK average, I find no evidence of APT. In contrast, I find that retail prices are sticky upwards and downwards and that firms with market power (majors and supermarkets) adjust their prices slower than other firms.

Oil Market Modelling: A Comparative Analysis of Fundamental and Latent Factor Approaches

We formally compare fundamental factor and latent factor approaches to oil price modelling. Fundamental modelling has a long history in seeking to understand oil price movements, while latent factor modelling has a more recent and limited history, but has gained popularity in other financial markets. The two approaches, though competing, have not formally been compared as to effectiveness. For a range of short- medium- and long-dated WTI oil futures we test a recently proposed five-factor fundamental model and a Principal Component Analysis latent factor model. Our findings demonstrate that there is no discernible difference between the two techniques in a dynamic setting. We conclude that this infers some advantages in adopting the latent factor approach due to the difficulty in determining a well specified fundamental model.

A modell of socially optimal hydro reservoir usage - yelding socially optimal outcomes in nordic electricity markets

An extensive electricity transmission network facilitates electricity trading between Finland, Sweden, Norway and Denmark. Currently most of the area's power generation is traded at NordPool, where the trading volumes have steadily increased since the early 1990's, when the exchange was founded. The Nordic electricity is expected to follow the current trend and further integrate with the other European electricity markets. Hydro power is the source for roughly a half of the supply in the Nordic electricity market and most of the hydro is generated in Norway. The dominating role of hydro power distinguishes the Nordic electricity market from most of the other market places. Production of hydro power varies mainly due to hydro reservoirs and demand for electricity. Hydro reservoirs are affected by water inflows that differ each year. The hydro reservoirs explain remarkably the behaviour of the Nordic electricity markets. Therefore among others, Kauppi and Liski (2008) have developed a model that analyzes the behaviour of the markets using hydro reservoirs as explanatory factors. Their model includes, for example, welfare loss due to socially suboptimal hydro reservoir usage, socially optimal electricity price, hydro reservoir storage and thermal reservoir storage; that are referred as outcomes. However, the model does not explain the real market condition but rather an ideal situation. In the model the market is controlled by one agent, i.e. one agent controls all the power generation reserves; it is referred to as a socially optimal strategy. Article by Kauppi and Liski (2008) includes an assumption where an individual agent has a certain fraction of market power, e.g. 20 % or 30 %. In order to maintain the focus of this thesis, this part of their paper is omitted. The goal of this thesis is two-fold. Firstly we expand the results from the socially optimal strategy for years 2006-08, as the earlier study finishes in 2005. The second objective is to improve on the methods from the previous study. This thesis results several outcomes (SPOT-price and welfare loss, etc.) due to socially optimal actions. Welfare loss is interesting as it describes the inefficiency of the market. SPOT-price is an important output for the market participants as it often has an effect on end users' electricity bills. Another function is to modify and try to improve the model by means of using more accurate input data, e.g. by considering pollution trade rights effect on input data. After modifications to the model, new welfare losses are calculated and compared with the same results before the modifications. The hydro reservoir has the higher explanatory significance in the model followed by thermal power. In Nordic markets, thermal power reserves are mostly nuclear power and other thermal sources (coal, natural gas, oil, peat). It can be argued that hydro and thermal reservoirs determine electricity supply. Roughly speaking, the model takes into account electricity demand and supply, and several parameters related to them (water inflow, oil price, etc.), yielding finally the socially optimal outcomes. The author of this thesis is not aware of any similar model being tested before. There have been some other studies that are close to the Kauppi and Liski (2008) model, but those have a somewhat different focus. For example, a specific feature in the model is the focus on long-run capacity usage that differs from the previous studies on short-run market power. The closest study to the model is from California's wholesale electricity markets that, however, uses different methodology. Work is constructed as follows.

黄海海域前新生代残留盆地综合地质地球物理研究

China’s annual oil import volume has been increasing in recent years, but the oil price in the international market fluctuates and poses a severe threat to China’s economic development and national security. Therefore, it is of great importance to study the gas and oil exploration of Pre-Cenozoic Residual Basins in Yellow Sea. Yellow Sea has widespread and thick Mesozoic and Paleozoic strata that contain multilayer source rock. Hence, Yellow Sea Mesozoic and Paleozoic strata have good conditions of forming Pre-Cenozoic hydrocarbon reservoirs. Pre-Cenozoic Residual Basins are usually buried deep and then transformed many times in its long evolutional history. These characteristics make it difficult to apply a single method in exploring Pre-Cenozoic Residual Basins. On the other hand, it is highly effective to solve key problems of gas and oil exploration of Pre-Cenozoic Residual Basins in Yellow Sea by using integrated geological and geophysical methods which make full use of the advantages of various exploring techniques. Based on the principle of “the region controls the local; the deep restricts the shallow,” this study focuses on Pre-Cenozoic Residual Basins in Yellow Sea to describe the structure frame of its distribution, with gravity, magnetic, seismic, drill-hole and geological data and previous research findings. In addition, the distribution characteristics of Pre-Cenozoic Residual Basins in Yellow Sea are also analyzed. This paper explores the characteristics of error between gravity forward with constant density and gravity forward with variable density through the study on 2-D and 3-D gravity forward in frequency domain. The result shows that there is a linear relationship between error and depth of 2-D geological model but there is a nonlinear relationship between error and depth of 3-D geological model. The error can be removed according to its linear characteristics or statistical nature of nonlinear characteristics. There is also error between gravity inversion with constant density and gravity inversion with variable density due to variable density and edge-effect. Since there are not noticeable rules between the error and the two causes as variable density and edge-effect, this study adopts gravity inversion with variable density and methods to eliminate the edge-effect in basement inversion to improve inversion accuracy. Based on the study on the rock physical properties and strata distribution of Yellow Sea and adjacent regions, this study finds that there is a big density contrast between Cretaceous-Jurassic strata and their substratum. The magnetic basement of south Yellow Sea is regarded as top of Archeozoic-Proterozoic early strata, and there are double magnetic basements in north Yellow Sea. Gravity and magnetic data are used to inverse the gravity basement and magnetic basement of Yellow Sea, with seismic and drill-hole data as constrains. According to data of gravity and magnetic basement distribution, the depth of Cenozoic strata and previous research findings, this paper calculates the thickness of the Mesozoic and Pre-Mesozoic Residual Basins, draws the distribution outline of Pre-Cenozoic Residual Basins in Yellow Sea, and analyzes its macro-distribution characteristics. Gravity inversion is applied on a typical geological profile in Yellow Sea to analyze the characteristics of its fractures and magnetic basements. The characteristics of Pre-Cenozoic Residual Basins distribution outline in Yellow Sea and the fractures and magnetic basements of its typical profile shown by profile inversion provides new geophysical evidence for these structure views such as “the South Yellow Sea and the North Yellow Sea belong to different structural units” and “Sino-Korea and Yangtze blocks combine along Yellow Sea East Fractured Zone in Yellow Sea”.

Determinants of venture capital and private equity investments in renewable energy: A cross-country study

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business and Economics

Drilling deeper: Understanding trade in Angola

The present study analyzes Angola’s trading partners from 2005 to 2015 in order to understand the main drivers of Exports and Imports growth. Departing from a gravity model, foreign GDP growth and real exchange rate fluctuations were interpreted as demand and supply disturbances on Exports. While nominal and real exports both increase with demand expansions, they react differently to supply shocks. Imports are growing at the same rate as Angola’s economy while exchange rate fluctuations capture the wealth effect of Oil price in the economy.