Search

Begin New Search
Proceed to Checkout

Search Results for All:
(Showing results 1 to 6 of 6)



Futures Trading and the European Oil Market

Peter J. W. N. Bird

Year: 1987
Volume: Volume 8
Number: Number 3
DOI: 10.5547/ISSN0195-6574-EJ-Vol8-No3-8
View Abstract

Abstract:
The subject of this paper is the behavior of daily gas oil futures prices on the London-based International Petroleum Exchange (IPE). It reports results consistent with the hypothesis that prices on the IPE follow a random walk.



Business Cycles and the Behavior of Energy Prices

Apostolos Serletis and Vaughn Hullernan

Year: 1994
Volume: Volume15
Number: Number 2
DOI: 10.5547/ISSN0195-6574-EJ-Vol15-No2-7
View Abstract

Abstract:
This paper tests the theory of storage-the hypothesis that the marginal convenience yield on inventory falls at a decreasing rate as inventory increases in energy markets (crude oil, heating oil, and unleaded gas markets). We use the Fama and French (1988) indirect test, based on the relative variation in spot and futures prices. The results suggest that the theory holds for the energy markets.



Is There an East-West Split in North American Natural Gas Markets?

Apostolos Serletis

Year: 1997
Volume: Volume18
Number: Number 1
DOI: 10.5547/ISSN0195-6574-EJ-Vol18-No1-2
View Abstract

Abstract:
This paper presents evidence concerning shared stochastic trends in North American natural gas (spot) markets, using monthly data for the period that natural gas has been traded on organized exchanges (from June, 1990 to January, 1996). In doing so, it uses the Engle and Granger (1987) approach for estimating bivariate cointegrating relationships as well as Johansen's (1988) maximum likelihood approach for estimating cointegrating relationships in multivariate vector autoregressive models. The results indicate that the east-west split does not exist.



Chaos in Natural Gas Futures?

Victor Chwee

Year: 1998
Volume: Volume19
Number: Number 2
DOI: 10.5547/ISSN0195-6574-EJ-Vol19-No2-10
View Abstract

Abstract:
Technical analysis using charting techniques to forecast future price trends can be difficult due to the volatile and unpredictable nature of futures market. Alternatively, the emergence of chaos theory seeks to find order in random looking futures price behavior. Hence, this paper tests for the presence of nonlinearity and chaos using the NYMEX 1 -month, 2-month, 3-month, and 6-month daily natural gas settlement prices, from April 1990 to September 1996. In doing so, we use the BDS statistic of Brock, Dechert, and Scheinkman (1987) for nonlinearity testing and then proceed to compute the Lyapunov spectra to determine to what degree futures data resemble a chaotic system. Although the results indicate the presence of nonlinearity, they fail to provide significant evidence of deterministic chaos.



The Long-Run Evolutions of Energy Prices

Robert S. Pindyck

Year: 1999
Volume: Volume20
Number: Number 2
DOI: 10.5547/ISSN0195-6574-EJ-Vol20-No2-1
View Abstract

Abstract:
In this paper I examine the long-run behavior of oil, coal, and natural gas prices, using up to 127 years of data, and address the following questions: Mat does over a century of data tell us about the stochastic dynamics of price evolution, and how it should be modelled? Can models of reversion to stochastically fluctuating trend lines help us forecast prices over horizons of 20 years or more? And what do the answers to these questions tell us about investment decisions that are dependent on prices and their stochastic evolution ?



Testing for Asymmetric Pricing Behaviour in Irish and UK Petrol and Diesel Markets

Colin Bermingham and Derry O'Brien

Year: 2011
Volume: Volume 32
Number: Number 3
DOI: 10.5547/ISSN0195-6574-EJ-Vol32-No3-1
View Abstract

Abstract:
This paper empirically tests whether Irish and UK petrol and diesel markets are characterised by asymmetric pricing behaviour. The econometric assessment uses threshold autoregressive models and a dataset of monthly refined oil and retail prices covering the period 1994 to mid-2009. In addition to providing an appraisal of the existence of asymmetry in the Irish and UK markets, the paper provides an important methodological contribution. Tests of asymmetry in the literature normally partition the sample into periods of falling and rising international oil prices. This fails to account for price pressures coming from the equilibrium error of the cointegrating relationship. In particular, the possibility of conflicting price pressures arising from short-run dynamics in retail prices and responses to disequilibrium errors needs to be explicitly modelled. We take this issue into account in an econometric model and we highlight the importance of this distinction. In terms of the asymmetric behaviour of these markets, the paper finds no evidence to support the "rockets and feathers" hypothesis that prices rise faster than they fall in response to changes in the value of international oil prices.





Begin New Search
Proceed to Checkout

 

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