scholarly journals Time-Varying Volatility Feedback of Energy Prices: Evidence from Crude Oil, Petroleum Products, and Natural Gas Using a TVP-SVM Model

2018 ◽  
Vol 10 (12) ◽  
pp. 4705 ◽  
Author(s):  
Yong Jiang ◽  
Chao-Qun Ma ◽  
Xiao-Guang Yang ◽  
Yi-Shuai Ren
Keyword(s):  
Natural Gas ◽  
Crude Oil ◽  
Structural Breaks ◽  
Price Volatility ◽  
Petroleum Products ◽  
Energy Price ◽  
Time Varying ◽  
Energy Prices ◽  
Svm Model ◽  
Volatility Feedback

: In this paper, the time-varying volatility feedback of nine series of energy prices is researched by employing the time-varying parameter stochastic volatility in mean (TVP-SVM) model. The major findings and conclusions can be grouped as follows: Significant differences exist in the time-varying volatility feedback among the nine major energy productions. Specifically, crude oil and diesel’s price volatility has a remarkable positive time-varying effect on their returns. Yet the returns, for natural gas and most petroleum products are negatively affected by their price volatility over time. Furthermore, obvious structural break features exist in the time-varying volatility feedback of energy prices, which coincide with the breakpoints in the energy volatility. This indicates that some factors such as major global economic and geopolitical events that cause the sudden structural breaks in the energy volatility may also affect the volatility feedback of the energy price. Moreover, the volatility feedback in energy price will become weak and even have no impact on energy returns in some special periods when the energy price volatility is extremely high.

Can energy commodities affect energy blockchain-based cryptos?

2019 ◽  
Vol 36 (4) ◽  
pp. 682-699 ◽  
Author(s):  
Ikhlaas Gurrib
Keyword(s):  
Natural Gas ◽  
Crude Oil ◽  
Autoregressive Model ◽  
Structural Breaks ◽  
Price Index ◽  
Principal Component ◽  
Commodity Price ◽  
Var Model ◽  
Content Type ◽  
Heating Oil

Purpose The purpose of this paper is to shed fresh light into whether an energy commodity price index (ENFX) and energy blockchain-based crypto price index (ENCX) can be used to predict movements in the energy commodity and energy crypto market. Design/methodology/approach Using principal component analysis over daily data of crude oil, heating oil, natural gas and energy based cryptos, the ENFX and ENCX indices are constructed, where ENFX (ENCX) represents 94% (88%) of variability in energy commodity (energy crypto) prices. Findings Natural gas price movements were better explained by ENCX, and shared positive (negative) correlations with cryptos (crude oil and heating oil). Using a vector autoregressive model (VAR), while the 1-day lagged ENCX (ENFX) was significant in estimating current ENCX (ENFX) values, only lagged ENCX was significant in estimating current ENFX. Granger causality tests confirmed the two markets do not granger cause each other. One standard deviation shock in ENFX had a negative effect on ENCX. Weak forecasting results of the VAR model, support the two markets are not robust forecasters of each other. Robustness wise, the VAR model ranked lower than an autoregressive model, but higher than a random walk model. Research limitations/implications Significant structural breaks at distinct dates in the two markets reinforce that the two markets do not help to predict each other. The findings are limited by the existence of bubbles (December 2017-January 2018) which were witnessed in energy blockchain-based crypto markets and natural gas, but not in crude oil and heating oil. Originality/value As per the authors’ knowledge, this is the first paper to analyze the relationship between leading energy commodities and energy blockchain-based crypto markets.

scholarly journals The Causality Relationship between Energy Prices and Developed Countries Indices

2020 ◽  
Vol 2 (2) ◽  
pp. 1-18
Author(s):  
Yakup Soylemez
Keyword(s):  
Natural Gas ◽  
Stock Market ◽  
Crude Oil ◽  
Developed Countries ◽  
Energy Prices ◽  
G7 Countries ◽  
Causality Test ◽  
Developed Country ◽  
Crude Oil Prices ◽  
Causality Relationship

The aim of this study is to determine the causality relationship between energy prices, which are among the most important inputs of the economy, and selected stock market indices of developed countries. Crude oil and natural gas are used as energy variables. G7 countries were selected to represent developed countries. Stock indices used in the study are Dow&Jones (USA), DAX (Germany), CAC40 (France), FTSE250 (England), FTSE Italia All-Share (Italy), NIKKEI225 (Japan), and S&P/TSX (Canada). In the study, Johansen (1988) cointegration test and Granger (1969) causality test were used to analyze the causality relationship between energy prices and selected stock market indices. The research could not find a long-term balance relationship between energy prices and developed country indices. Also, while the causality relationship was determined between crude oil prices and NIKKEI225, DAX, and CAC40 indices, a causal relationship between natural gas prices and Dow&Jones and FTSE250 indices was determined. In the study, it was found that energy prices can be used for diversification in investments to be made with stock market indices of developed countries. This study is one of the most comprehensive studies in the literature that examines the relationship between energy prices and the stock market indices of G7 countries. It is expected to contribute to the literature in this way.

scholarly journals Impact of COVID-19 on energy prices and main macroeconomic indicators—evidence from China's energy market

Green Finance ◽  
2021 ◽  
Vol 3 (4) ◽  
pp. 383-402
Author(s):  
Yilin Wu ◽  
◽  
Shiyu Ma ◽  
Keyword(s):  
Value At Risk ◽  
Negative Impact ◽  
Price Volatility ◽  
Energy Price ◽  
Special Role ◽  
Energy Prices ◽  
Vector Autoregressive ◽  
Modeling Analysis ◽  
Macroeconomic Indicators ◽  
The Impact

<abstract> <p>With the COVID-19 pandemic sweeping the world, the development of China's energy industry has been hampered. Although previous studies have shown the global influence of COVID-19 on energy prices and macroeconomic indicators, very few of them examined the impact on China independently, considering the special role of China in this pandemic and economy. In this study, we investigate the impact of the pandemic on several major China energy prices using the ARIMA-GARCH model. Combined with the Value-at-Risk (VaR) theory, we further explore the market risk, which indicates an increase in the tail risk of energy price volatility and the dramatic turbulence in energy markets. In addition, a Vector Autoregressive (VAR) model is developed to analyze how the main macroeconomic indicators are affected when energy prices fluctuate. According to the model results, energy price fluctuations caused by the COVID-19 have a negative impact on economic growth and inflation, with a higher contribution to the latter changes. Based on the modeling analysis results, this paper makes constructive suggestions on how to stabilize energy prices and recover the economic development in the context of the COVID-19 pandemic.</p> </abstract>

scholarly journals Impact of US Shale Gas on the Vertical and Horizontal Dynamics of Ethylene Price

Energies ◽  
2020 ◽  
Vol 13 (17) ◽  
pp. 4479
Author(s):  
Soohyeon Kim ◽  
Surim Oh
Keyword(s):  
Natural Gas ◽  
Crude Oil ◽  
Fossil Fuels ◽  
Structural Changes ◽  
The United States ◽  
Price Dynamics ◽  
Time Varying ◽  
Correction Model ◽  
Short Run ◽  
Petrochemical Industries

The rise of shale resources in the United States is changing the petrochemical industries. Ethylene, the first building block of petrochemical products, is becoming the first target to be hit by the shale boom, and its shifting price dynamics needs to be explored. This study analyzes the transition of ethylene prices from crude oil to natural gas (vertical price dynamics) and investigates widening gaps among regional ethylene prices (horizontal price dynamics). To do this, we detect structural changes in cointegrating relationships and derive time-varying cointegration equations. In addition, for the long- and short-run dynamics, this study established and estimated an error correction model (ECM), with controlling, time-varying cointegrations. This study develops econometric studies by applying time-varying cointegration to nonenergy uses of fossil fuels. Thereby, our results discover that the feedstock structure of US ethylene is moving from crude oil to natural gas and that the comovement of US and Japanese prices is getting intensified.

scholarly journals Research on the Time-Varying Impact of Economic Policy Uncertainty on Crude Oil Price Fluctuation

2020 ◽  
Vol 12 (16) ◽  
pp. 6523 ◽  
Author(s):  
Yanhong Feng ◽  
Dilong Xu ◽  
Pierre Failler ◽  
Tinghui Li
Keyword(s):  
Economic Policy ◽  
Crude Oil ◽  
Price Volatility ◽  
Oil Price ◽  
Policy Uncertainty ◽  
Time Varying ◽  
Crude Oil Price ◽  
Price Fluctuation ◽  
Economic Policy Uncertainty ◽  
Oil Price Fluctuation

Due to multiple properties, the international crude oil price is influenced by various and complex interrelated factors from different determinants in different periods. However, the previous studies on crude oil price fluctuation with economic policy uncertainty (EPU) haven’t taken a wider range of volatility sources into their analysis frameworks. In this paper, the time-varying parameter factor-augmented vector autoregressive (TVP-FAVAR) model is introduced in order to avoid important information loss, as well as capture the time-varying impact on crude oil price fluctuation by EPU. Furthermore, the differences on crude oil fluctuations from net-oil exporting and net-oil importing country’s EPU are also elaborated. Here are three findings as follows. First, the impacts of global EPU on the crude oil price volatility show time-varying characteristics both in time duration and time-points. Second, the instantaneous impacts of global EPU on the price volatility of crude oil are directly relevant to major events, and the impacts are different in event types as well. Third, the time-varying characteristics depicting the impacts of EPU in countries who are net-oil exporter and net-oil importer on price volatility of crude oil show heterogeneity in fluctuation range, fluctuation intensity, and stage.

scholarly journals Price and Volatility Spillovers Between the US Crude Oil and Natural Gas Wholesale Markets

Energies ◽  
2018 ◽  
Vol 11 (10) ◽  
pp. 2757 ◽  
Author(s):  
Theodosios Perifanis ◽  
Athanasios Dagoumas
Keyword(s):  
Natural Gas ◽  
Crude Oil ◽  
Oil Price ◽  
Time Varying ◽  
Volatility Transmission ◽  
Volatility Spillovers ◽  
Natural Gas Prices ◽  
Market Fundamentals ◽  
Long Term Impact ◽  
Gas Price

The paper examines both the time-varying price and volatility transmission between US natural gas and crude oil wholesale markets, over the period 1990–2017. Short iterations suggest that neither commodity determines other’s returns, but sub-periods with very short-lived causal relationships exist. It can be asserted that the markets are decoupled, where unconventional production further enhances the already established commodities’ independence. Using Momentum Threshold Autoregressive (MTAR) cointegration methodology, we find evidence of positive asymmetry from crude oil to natural gas prices, i.e., oil price increases cause faster adjustments to natural gas prices than decreases. We also find that an 1% change of oil price has positive and significantly larger long-term impact (between 0.01% to 0.02%) to the gas price, compared to the negligible impact of gas to oil. Volatility transmission is examined using the Dynamic Conditional Covariance (DCC)-Generalized Autoregressive Conditional Heteroscedasticity (GARCH) methodology, presenting their time-varying correlation. Results show that both commodities influence each other’s volatility at the aggregate level. Finally, we conclude that both regional commodity markets are liquid and integrated, where the market fundamentals drive their price formulation. However, although markets are decoupled and not appropriate for perfect hedging of each other, the existence of bidirectional volatility transmission and their substitutability might be useful for diversified portfolio allocation.

scholarly journals Revisiting Egypt's Energy Policy

2011 ◽  
Vol 5 (4) ◽  
Author(s):  
Tarek H. Selim
Keyword(s):  
Sustainable Development ◽  
Natural Gas ◽  
Crude Oil ◽  
Oil And Gas ◽  
Petroleum Products ◽  
Domestic Consumption ◽  
Gradual Reduction ◽  
Industrial Activity ◽  
Energy Subsidies ◽  
Oil And Gas Sector

Egypt's oil and gas sector is one of the most strategic sectors in the economy being the single largest industrial activity in the economy, with exports of crude oil and petroleum products constituting 40% of Egypt's export revenues and 20% of its GDP. However, Egypt is currently trapped between dwindling oil production and increasing domestic consumption, a fact which threatens the country to become a net importer of crude oil as well as deprive it of strongly needed foreign exchange. Yet, Egypt has proven natural gas reserves and its future energy outlook seems to be more affiliated with natural gas especially for future export potential. Given these conditions, a restructuring of the sector is necessary for sustainable development. Suggested strategies in line with Egypt's development efforts are outlined including gradual reduction of energy subsidies and their expected impacts on the economy.

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