Search

Begin New Search
Proceed to Checkout

Search Results for All:
(Showing results 1 to 4 of 4)



On the Oil Price Uncertainty

Zied Ftiti and Fredj Jawadi

Year: 2019
Volume: Volume 40
Number: Special Issue
DOI: 10.5547/01956574.40.SI2.zfti
View Abstract

Abstract:
This study focuses on oil price volatility and uncertainty over the period January 1986-December 2018, covering episodes of oil price increases and collapses. Accordingly, in line with Poon and Granger (2003), and Terasvirta and Zhao (2011), we propose three different specifications of stochastic oil volatility: standard stochastic volatility, stochastic volatility moving average, leverage stochastic volatility models. We compute the out-of-sample forecasts for the uncertainty in oil prices using the estimates for these three stochastic oil price volatility models and we discuss its effects. Our findings show that the standard stochastic volatility model outperforms the other two models when focusing on oil price uncertainty. This finding is relevant to better forecast and understand the effects of oil price uncertainty on the real economy.



Oil Price Shocks in Major Emerging Economies

Nahiyan Faisal Azad and Apostolos Serletis

Year: 2022
Volume: Volume 43
Number: Number 4
DOI: 10.5547/01956574.43.4.naza
View Abstract

Abstract:
As the world economic power shifts from the advanced G7 countries—Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States—to the seven largest emerging market countries (EM7)—Brazil, China, India, Indonesia, Mexico, Russia, and Turkey—the vulnerability of these emerging market countries to exogenous shocks is becoming of growing importance. This paper presents a comprehensive examination of the effects of oil price shocks on real economic activity in the EM7 economies in the context of two classes of empirical models. In general, we find that oil price uncertainty has statistically significant effects on the real output of the EM7 economies and that the relationship between oil prices and economic activity is in general symmetric. We also find that oil price uncertainty has in general a negative effect on world crude oil production.



Oil Price Uncertainty and M&A Activity

Samuel D. Barrows, Magnus Blomkvist, Nebojsa Dimic, and Milos Vulanovic

Year: 2023
Volume: Volume 44
Number: Number 4
DOI: 10.5547/01956574.44.4.sbar
View Abstract

Abstract:
This study examines the impact of oil price uncertainty on mergers and acquisition (M&A) activity in the oil and gas sector. Analyzing this industry enables us to construct a natural forward-looking measure of oil price uncertainty, namely the implied crude oil volatility. Using a sample of U.S. firms in the oil and gas sector from 1994-2018 containing 4,323 announced transactions, we document that oil price uncertainty is negatively related to future M&A activity. Uncertainty is mainly a driver of horizontal and vertical M&A activity, where upstream firms are more affected by this uncertainty than downstream firms. Our results lend support to a real options explanation of investment under uncertainty where firms choose to defer investments as a response to increased uncertainty.



Oil Price Uncertainty and IPOs

Magnus Blomkvist, Nebojsa Dimic, and Milos Vulanovic

Year: 2023
Volume: Volume 44
Number: Number 6
DOI: 10.5547/01956574.44.6.mblo
View Abstract

Abstract:
We examine the impact of oil price uncertainty on IPO volume in the oil and gas sector. By using the implied volatility of oil options, a forward-looking uncertainty measure, we identify the effect of uncertainty on the going-public decision. Oil price uncertainty exhibits a strong negative relation to IPO volume. A one standard deviation decrease in the implied volatility results in a 29% increase in the number of quarterly IPOs. The effect is concentrated among the price-sensitive upstream producers. We further report that uncertainty positively impacts the IPO withdrawal decision and increases the value of postponing the offering.





Begin New Search
Proceed to Checkout

 

© 2024 International Association for Energy Economics | Privacy Policy | Return Policy