Do Energy Prices Respond to U.S. Macroeconomic News? a Test of the Hypothesis of Predetermined Energy Prices
Do Energy Prices Respond to U.S. Macroeconomic News? a Test of the Hypothesis of Predetermined Energy Prices

Author: Lutz Kilian

Publisher:

Published: 2008

Total Pages: 36

ISBN-13:

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"Models that treat innovations to the price of energy as predetermined with respect to U.S. macroeconomic aggregates are widely used in the literature. For example, it is common to order energy prices first in recursively identified VAR models of the transmission of energy price shocks. Since exactly identifying assumptions are inherently untestable, this approach in practice has required an act of faith in the empirical plausibility of the delay restriction used for identification. An alternative view that would invalidate such models is that energy prices respond instantaneously to macroeconomic news, implying that energy prices should be ordered last in recursively identified VAR models. In this paper, we propose a formal test of the identifying assumption that energy prices are predetermined with respect to U.S. macroeconomic aggregates. Our test is based on regressing cumulative changes in daily energy prices on daily news from U.S. macroeconomic data releases. Using a wide range of macroeconomic news, we find no compelling evidence of feedback at daily or monthly horizons, contradicting the view that energy prices respond instantaneously to macroeconomic news and supporting the use of delay restrictions for identification"--Federal Reserve Board web site.

How Large and Persistent is the Response of Inflation to Changes in Retail Energy Prices?
How Large and Persistent is the Response of Inflation to Changes in Retail Energy Prices?

Author: Mr.Chadi Abdallah

Publisher: International Monetary Fund

Published: 2020-06-12

Total Pages: 31

ISBN-13: 1513546090

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We estimate the dynamic effects of changes in retail energy prices on inflation using a novel monthly database, covering 110 countries over 2000:M1 to 2016:M6. We find that (i) inflation responds positively to retail energy price shocks, with effects being, on average, modest and transitory. However, our results suggest significant heterogeneity in the response of inflation to these shocks owing to differences in factors related to labor market flexibility, energy intensity, and monetary policy credibility. We also find compelling evidence of asymmetric effects—under sufficiently large shocks—in the case of high-income and low-income countries, with increases in retail fuel prices inducing larger effects on inflation than decreases in fuel prices.

Routledge Handbook of Energy Economics
Routledge Handbook of Energy Economics

Author: Uğur Soytaş

Publisher: Routledge

Published: 2019-09-23

Total Pages: 620

ISBN-13: 1315459647

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Energy consumption and production have major influences on the economy, environment, and society, but in return they are also influenced by how the economy is structured, how the social institutions work, and how the society deals with environmental degradation. The need for integrated assessment of the relationship between energy, economy, environment, and society is clear, and this handbook offers an in-depth review of all four pillars of the energy-economy-environment-society nexus. Bringing together contributions from all over the world, this handbook includes sections devoted to each of the four pillars. Moreover, as the financialization of commodity markets has made risk analysis more complicated and intriguing, the sections also cover energy commodity markets and their links to other financial and non-financial markets. In addition, econometric modeling and the forecasting of energy needs, as well as energy prices and volatilities, are also explored. Each part emphasizes the multidisciplinary nature of the energy economics field and from this perspective, chapters offer a review of models and methods used in the literature. The Routledge Handbook of Energy Economics will be of great interest to all those studying and researching in the area of energy economics. It offers guideline suggestions for policy makers as well as for future research.

Structural Vector Autoregressive Analysis
Structural Vector Autoregressive Analysis

Author: Lutz Kilian

Publisher: Cambridge University Press

Published: 2017-11-23

Total Pages: 757

ISBN-13: 1107196574

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This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.

Handbook of Economic Forecasting
Handbook of Economic Forecasting

Author: Graham Elliott

Publisher: Newnes

Published: 2013-08-23

Total Pages: 719

ISBN-13: 0444536841

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The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. - Focuses on innovation in economic forecasting via industry applications - Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications - Makes details about economic forecasting accessible to scholars in fields outside economics

Energy and Finance
Energy and Finance

Author: André Dorsman

Publisher: Springer

Published: 2016-08-13

Total Pages: 204

ISBN-13: 3319322680

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This book analyses how socially responsible investments as well as the rising importance of Islamic finance are linked to the shift towards renewable energy. Academics and practitioners in the field take a global perspective and present case studies from several countries. The book is divided into three parts: The first part sheds new light on the energy shift towards renewable energy. The second shows the increasing interest of investors in sustainability, and the authors argue that investors not only look at expected returns and risks, but also at social returns. Finally, the third part explains the need for social returns in Islamic finance, which cannot be explained by traditional finance theory. This is the fifth volume in a series on energy organized by the Centre for Energy and Value Issues (CEVI).

Handbook of Sustainable Energy
Handbook of Sustainable Energy

Author: Ibon Galarraga

Publisher: Edward Elgar Publishing

Published: 2011

Total Pages: 625

ISBN-13: 0857936387

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Ô. . . was impressed by the scope of the contributions and their clarity. All appear to have been written specifically for this ÒHandbookÓ and all are readily comprehensible without a large amount of assumed previous knowledge. . . a very useful source document and many of the chapters represent a good starting point for student research projects.Õ Ð Tony Owen, Economics of Energy and Environmental Policy ÔIn todayÕs modern world where energy resources are increasingly scarce, climate change is a hot-button issue, and population growth continues to push the need to promote sustainable living, Handbook of Sustainable Energy is highly recommended as an absolutely invaluable contribution to graduate school libraries and the pool of literature available to professionals in the field.Õ Ð The Midwest Book Review Major contemporary issues and debates relating to the sustainable use of energy are addressed in this far-reaching Handbook. The contributing authors discuss the ongoing debates about sustainability and energy use, energy economics, renewable energy, efficiency and climate policy. New and original chapters from leading academics cover the full spectrum of relevant research including: definitions of sustainability in energy use; consumer behaviour and energy markets; the impacts of innovation and new technologies; energy economics and climate modelling; low carbon economies and renewable energies. The authors critically engage with perspectives from developed and developing countries from both global and regional standpoints. This Handbook will make a timely and important contribution to the study of energy, climate change and climate economics, and will prove essential reading for international researchers in the fields of natural resources, climate change and energy. Students in environmental science faculties, economics departments, business schools and engineering schools will also find this important and enriching compendium insightful. Similarly, policy-makers in energy and environment ministries and international organizations will find much topical debate to engage them.

Oil Price Volatility and the Role of Speculation
Oil Price Volatility and the Role of Speculation

Author: Samya Beidas-Strom

Publisher: International Monetary Fund

Published: 2014-12-12

Total Pages: 34

ISBN-13: 1498333486

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How much does speculation contribute to oil price volatility? We revisit this contentious question by estimating a sign-restricted structural vector autoregression (SVAR). First, using a simple storage model, we show that revisions to expectations regarding oil market fundamentals and the effect of mispricing in oil derivative markets can be observationally equivalent in a SVAR model of the world oil market à la Kilian and Murphy (2013), since both imply a positive co-movement of oil prices and inventories. Second, we impose additional restrictions on the set of admissible models embodying the assumption that the impact from noise trading shocks in oil derivative markets is temporary. Our additional restrictions effectively put a bound on the contribution of speculation to short-term oil price volatility (lying between 3 and 22 percent). This estimated short-run impact is smaller than that of flow demand shocks but possibly larger than that of flow supply shocks.

Uncertainty, Expectations and Asset Price Dynamics
Uncertainty, Expectations and Asset Price Dynamics

Author: Fredj Jawadi

Publisher: Springer

Published: 2018-11-30

Total Pages: 214

ISBN-13: 3319987143

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Written in honor of Emeritus Professor Georges Prat (University of Paris Nanterre, France), this book includes contributions from eminent authors on a range of topics that are of interest to researchers and graduates, as well as investors and portfolio managers. The topics discussed include the effects of information and transaction costs on informational and allocative market efficiency, bubbles and stock price dynamics, paradox of rational expectations and the principle of limited information, uncertainty and expectation hypotheses, oil price dynamics, and nonlinearity in asset price dynamics.

The Economics of Commodity Markets
The Economics of Commodity Markets

Author: Julien Chevallier

Publisher: John Wiley & Sons

Published: 2013-06-19

Total Pages: 373

ISBN-13: 1119945402

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As commodity markets have continued their expansion an extensive and complex financial industry has developed to service them. This industry includes hundreds of participating firms, including asset managers, brokers, consultants, verification agencies and a myriad of other institutions. Universities and other training institutions have responded to this rapid expansion of commodity markets as well as their substantial future growth potential by launching specialized courses on the subject. The Economics of Commodity Markets attempts to bridge the gap between academics and working professionals by way of a textbook that is both theoretically informative and practical. Based in part on the authors’ teaching experience of commodity finance at the University Paris Dauphine, the book covers all important commodity markets topics and includes coverage of recent topics such as financial applications and intuitive economic reasoning. The book is composed of three parts that cover: commodity market dynamics, commodities and the business cycle, and commodities and fundamental value. The key original approach to the subject matter lies in a shift away from the descriptive to the econometric analysis of commodity markets. Information on market trends of commodities is presented in the first part, with a strong emphasis on the quantitative treatment of that information in the remaining two parts of the book. Readers are provided with a clear and succinct exposition of up-to-date financial economic and econometric methods as these apply to commodity markets. In addition a number of useful empirical applications are introduced and discussed. This book is a self-contained offering, discussing all key methods and insights without descending into superfluous technicalities. All explanations are structured in an accessible manner, permitting any reader with a basic understanding of mathematics and finance to work their way through all parts of the book without having to resort to external sources.