Explaining commodity prices through asymmetric oil shocks: evidence from nonlinear models

Linkages between oil and 25 other commodity prices are examined using annual data for 1900 to 2011. We identify long-run relationships using both linear and nonlinear ARDL models and capture short-run causalities through asymmetric Granger causality tests. Nonlinearity can't be rejected for the relationship between oil and most other commodity prices. Long-run positive impacts of oil price increases are found for 20 commodities and short-run negative impacts for 13 commodity prices. Oil prices don't have much impact on beverage or cereal prices once endogeneity is accounted for, but they have substantial impact on metal prices.

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.

Valuing an offshore exploration project through real options analysis

This thesis applied real options analysis to the valuation of an offshore oil exploration project, taking into consideration the several options typically faced by the management team of these projects. The real options process is developed under technical and price uncertainties, where it is considered that the mean reversion stochastic process is more adequate to describe the movement of oil price throught time. The valuation is realized to two case scenarios, being the first a simplified approach to develop the intuition of the used concepts, and the later a more complete cases that is resolved using both the binomial and trinomial processes to describe oil price movement. Real options methodology demonstrated to be capable of assessing and valuing the projects options, and of overcoming common capital budgeting methodologies flexibility limitation. The added value of the application of real options is evident, but so is the method's increased complexity, which adversely influence its widespread implementation.

Dye-sensitized solar cells based on perylene derivatives

The oil price rises more and more, and the world energy consumption is projected to expand by 50 percent from 2005 to 2030. Nowadays intensive research is focused on the development of alternative energies. Among them, there are dye-sensitized nanocrystalline solar cells (DSSCs) “the third generation solar cells”. The latter have gained attention during the last decade and are currently subject of intense research in the framework of renewable energies as a low-cost photovoltaic. At present DSSCs with ruthenium based dyes exhibit highest efficiencies (ca 11%). The objective of the present work is to fabricate, characterize and improve the performance of DSSCs based on metal free dyes as sensitizers, especially on perylene derivatives. The work begins by a general introduction to the photovoltaics and dye-sensitized solar cells, such as the operating principles and the characteristics of the DSSCs. Chapter 2 and 3 discuss the state of the art of sensitizers used in DSSCs, present the compounds used as sensitizer in the present work and illustrate practical issues of experimental techniques and device preparation. A comparative study of electrolyte-DSSCs based on P1, P4, P7, P8, P9, and P10 are presented in chapter 4. Experimental results show that the dye structure plays a crucial role in the performance of the devices. The dye based on the spiro-concept (bipolar spiro compound) exhibited a higher efficiency than the non-spiro compounds. The presence of tert-butylpyridine as additive in the electrolyte was found to increase the open circuit voltage and simultaneously decrease the efficiency. The presence of lithium ions in the electrolyte increases both output current and the efficiency. The sensitivity of the dye to cations contained in the electrolyte was investigated in the chapter 5. FT-IR and UV-Vis were used to investigate the in-situ coordination of the cation to the adsorbed dye in the working devices. The open-circuit voltage was found to depend on the number of coordination sites in the dye. P1 with most coordination sites has shown the lowest potential drop, opposite to P7, which is less sensitive to cations in the working cells. A strategy to improve the dye adsorption onto the TiO2 surface, and thus the light harvesting efficiency of the photoanode by UV treatment, is presented in chapter 6. The treatment of the TiO2 film with UV light generates hydroxyl groups and renders the TiO2 surface more and more hydrophilic. The treated TiO2 surface reacts readily with the acid anhydride group of the dye that acts as an anchoring group and improves the dye adsorption. The short-circuit current density and the efficiency of the electrolyte-based dye cells was considerably improved by the UV treatment of the TiO2 film. Solid-state dye-sensitized solar cells (SSDs) based on spiro-MeOTAD (used as hole transport material) are studied in chapter 7. The efficiency of SSDs was globally found to be lower than that of electrolyte-based solar cells. That was due to poor pore filling of the dye-loaded TiO2 film by the spin-coated spiro-MeOTAD and to the significantly slower charge transport in the spiro-MeOTAD compared to the electrolyte redox mediator. However, the presence of the donor moieties in P1 that are structurally similar to spiro-MeOTAD was found to improve the wettability of the P1-loaded TiO2 film. As a consequence the performance of the P1-based solid-state cells is better compared to the cells based on non-spiro compounds.

Los conceptos de salud financiera, riesgo y epidemiología en los estados financieros de las compañías del sector de extracción de petróleo crudo y gas natural en Colombia

El presente proyecto tiene como objeto identificar cuáles son los conceptos de salud, enfermedad, epidemiología y riesgo aplicables a las empresas del sector de extracción de petróleo y gas natural en Colombia. Dado, el bajo nivel de predicción de los análisis financieros tradicionales y su insuficiencia, en términos de inversión y toma de decisiones a largo plazo, además de no considerar variables como el riesgo y las expectativas de futuro, surge la necesidad de abordar diferentes perspectivas y modelos integradores. Esta apreciación es pertinente dentro del sector de extracción de petróleo y gas natural, debido a la creciente inversión extranjera que ha reportado, US$2.862 millones en el 2010, cifra mayor a diez veces su valor en el año 2003. Así pues, se podrían desarrollar modelos multi-dimensional, con base en los conceptos de salud financiera, epidemiológicos y estadísticos. El termino de salud y su adopción en el sector empresarial, resulta útil y mantiene una coherencia conceptual, evidenciando una presencia de diferentes subsistemas o factores interactuantes e interconectados. Es necesario mencionar también, que un modelo multidimensional (multi-stage) debe tener en cuenta el riesgo y el análisis epidemiológico ha demostrado ser útil al momento de determinarlo e integrarlo en el sistema junto a otros conceptos, como la razón de riesgo y riesgo relativo. Esto se analizará mediante un estudio teórico-conceptual, que complementa un estudio previo, para contribuir al proyecto de finanzas corporativas de la línea de investigación en Gerencia.

Geopolítica y petróleo. La nueva dependencia energética

Este artículo, sobre geopolítica y petróleo, busca analizar la actual geopolítica internacional en función de la variable petrolera. Con el alza del precio del crudo a casi US $150 el barril, el “oro negro” se ha convertido más que nunca en un instrumento de poder global. Por otra parte, la demanda cada vez más apremiante de petróleo, por China e India, está empujando no solamente el precio de los hidrocarburos, sino también la pugna por el control de los yacimientos a nivel mundial o por lo menos tener gobiernos aliados en el poder.Es dentro de esta lógica que China ha iniciado una ofensiva de penetración en el continente africano y es esto lo que explica el crecimiento espectacular del continente negro. Finalmente, el trabajo también demuestra que los datos catastróficos sobre un inminente agotamiento del petróleo no corresponden a la realidad. En 1987 se planteaba la existencia de petróleo por 40 años. Hoy tenemos más petróleo que hace 20 años.-----This article about geopolitics and oil seeks to analyze the current international geopolitics in function of the oil variable. With the rise of the crude oil price up to almost 150 US dollars per barrel, the “black gold” has become an instrument for global power more than ever before. Furthermore, the increasingly urging demand for oil by China and India is pushing not only the hydrocarbon price but also the struggle for controlling the oil reservoirs around the world or at least having allied governments in power.Thus, under this logic, China has started an offensive to penetrate the African continent and this explains the amazing growth of the black continent. Last, this paper also shows that the catastrophic data on an impending shortage of the oil does not correspond with reality. In 1987, oil existence was forecasted for 40 years. Today, we have more oil than 20 years ago. 

Valoración de opciones bajo el modelo de Kou aplicando transformada de Fourier

En esta Tesis se presenta el modelo de Kou, Difusión con saltos doble exponenciales, para la valoración de opciones Call de tipo europeo sobre los precios del petróleo como activo subyacente. Se mostrarán los cálculos numéricos para la formulación de expresiones analíticas que se resolverán mediante la implementación de algoritmos numéricos eficientes que conllevaran a los precios teóricos de las opciones evaluadas. Posteriormente se discutirán las ventajas de usar métodos como la transformada de Fourier por la sencillez relativa de su programación frente a los desarrollos de otras técnicas numéricas. Este método es usado en conjunto con el ejercicio de calibración no paramétrica de regularización, que mediante la minimización de los errores al cuadrado sujeto a una penalización fundamentada en el concepto de entropía relativa, resultaran en la obtención de precios para las opciones Call sobre el petróleo considerando una mejor capacidad del modelo de asignar precios justos frente a los transados en el mercado.

Examining structural breaks and growth rates in international health expenditures

Over the last decade, there has been a growing interest in examining health expenditures. In this paper, we study the behaviour of health expenditures in the G3 countries (USA, the UK, and Japan) and three European countries (the UK, Switzerland and Spain) over the period 1960–2000 from a different perspective, in that we examine: (1) whether there is a common structural break in health expenditures across the G3 and European countries; (2) whether structural breaks have slowed down health expenditure growth rates in these countries or vice versa. Our main findings are that: (1) health expenditures share a common break in both bivariate and trivariate cases, and structural breaks and break intervals suggest that either one or a combination of events (second oil price shock, the 1987 stock market crash and/or recessions) have contributed to the commonality of break in health expenditures in the G3, while the oil price shocks have been instrumental in the commonality of breaks for the European countries; (2) except for the UK, structural breaks have slowed down growth rates in health expenditures for the USA, Japan, Switzerland and Spain.

'I've been to Bali too' (and I will be going back) : are terrorist shocks to Bali's tourist arrivals permanent or transitory?

International visitor arrivals to Bali are examined using univariate and panel Lagrange multiplier (LM) unit root tests with one and two structural breaks to ascertain if shocks to the time path of tourist arrivals are permanent or transitory. The univariate LM unit root tests with one and two structural breaks fail to reject the null hypothesis of a unit root in international visitor arrivals to Bali. However, the panel LM unit root tests with one and two structural breaks applied to a panel of Bali's 11 major source markets reject the null and support the alternative hypothesis of a joint trend-stationary series with transitory shocks. This result suggests that, the effects of the recent terrorist acts on Bali on the growth path of tourist arrivals from major markets are only transitory and that as a consequence Bali's tourism sector is sustainable in the long run.

Docagem ou afretamento de UMS: a escolha ótima para a extensão da vida útil das plataformas de petróleo de campos marítimos maduros sob o enfoque das opções reais

O objetivo deste trabalho é propor a utilização do arcabouço teórico das opções reais e a posterior aplicação do modelo binomial na avaliação de projetos relacionados à exploração e produção de petróleo, tendo em vista a flexibilidade gerencial, os riscos e as incertezas técnicas e de mercado que norteiam o setor petrolífero upstream. Ademais, a aplicação do modelo proposto capta o papel crucial da volatilidade do preço do petróleo na avaliação da decisão de investimento e revela a existência dos custos irrecuperáveis extremos decorrentes do ativo real, neste caso, a unidade marítima de petróleo. Assim, com o intuito de prolongar o ciclo de produção de unidade marítima de petróleo com características preestabelecidas, propõe-se a avaliação econômica de duas alternativas tecnológicas para a extensão de vida útil da plataforma marítima objeto de estudo, sendo estas alternativas tratadas como opções de expansão. As alternativas propostas são duas: o afretamento da UMS (Unidade de Manutenção e Segurança) acoplada à plataforma e a docagem da plataforma a partir da desmobilização, isto é, o descomissionamento, e envio da plataforma ao estaleiro. Na aplicação da primeira opção, a UMS se configura em uma embarcação equipada com toda a estrutura necessária para a realização de serviço de manutenção e revitalização, sem que ocorra interrupção da produção de petróleo. Por outro lado, a opção de descomissionamento é desprovida de receita até o retorno da plataforma do estaleiro. No que tange à metodologia do presente trabalho, o modelo binomial com probabilidades de risco neutro é aplicado considerando a receita proveniente da produção de petróleo de uma plataforma marítima com sistema de produção flutuante com 14 poços, sendo 10 produtores e 4 injetores e sustentada por 8 linhas de ancoragem. Também é definida a volatilidade do projeto como sendo a volatilidade do preço do petróleo. Por fim, as opções de expansão podem ser exercidas a qualquer momento antes da data de expiração das opções, data esta coincidente para ambas as opções e referente ao término de contrato de afretamento da UMS, que corresponde ao período de cinco anos. Neste período de cinco anos, as duas alternativas são exercidas a partir do primeiro ano, com receitas e custos distintos em virtude das especificidades decorrentes das alternativas tecnológicas propostas. A partir da aplicação do modelo binomial com probabilidades de risco neutro sob o enfoque das opções reais, as duas alternativas tecnológicas são tratadas como opções americanas na avaliação econômica da revitalização e manutenção da plataforma marítima. Também realiza-se a análise tradicional do VPL para as duas alternativas. As duas análises apontam para a escolha da UMS como alternativa ótima de expansão da vida útil da plataforma. Ademais, a análise sob o enfoque das opções reais capta um valor adicional em ambas as alternativas tecnológicas, fruto das características inerentes à indústria petrolífera. Quanto à estrutura do trabalho em questão se divide em cinco capítulos: introdução, referencial teórico, metodologia, apresentação dos resultados e as considerações finais.

Simulador de dano à formação, aplicado ao Projeto e à execução da perfuração de poços de petróleo

With the high oil price variability, the petroleum and the reservoir engineers are usually face to face on how they can evaluate the well performance and productivity. They can improve high productivity from the well construction to the secondary recoveries, but they have never tried a measurement in the drilling operations about the lower productivity index. As a rule, frequently the drilling operations hear from the reservoir engineering and geology that, if there is a formation damage, probably some drilling operations practices were not done properly or the good practice in petroleum engineering or mud engineering were not observed. The study in this working search is an attempt of how to measure a formation damage just from the project drilling to the drilling operations, with datum from the fields in Brazilian northeast and putting into practice a Simulator developed from the modeling on the theory offered by different experts and sources in formation damage