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Volatility Spillovers Across Petroleum Markets

Jozef Baruník, Evzen Kocenda and Lukáš Vácha

Year: 2015
Volume: Volume 36
Number: Number 3
DOI: 10.5547/01956574.36.3.jbar
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Abstract:
By using our newly defined measure, we detect and quantify asymmetries in the volatility spillovers of petroleum commodities: crude oil, gasoline, and heating oil. The increase in volatility spillovers after 2001 correlates with the progressive financialization of the commodities. Further, increasing spillovers from volatility among petroleum commodities substantially change their pattern after 2008 (the financial crisis and advent of tight oil production). After 2008, asymmetries in spillovers markedly declined in terms of total as well as directional spillovers. In terms of asymmetries we also show that overall volatility spillovers due to negative (price) returns materialize to a greater degree than volatility spillovers due to positive returns. An analysis of directional spillovers reveals that no petroleum commodity dominates other commodities in terms of general spillover transmission.



Analysis of mean and volatility price transmissions in the MIBEL and EPEX electricity spot markets

A Ciarreta and A Zarraga

Year: 2015
Volume: Volume 36
Number: Number 4
DOI: 10.5547/01956574.36.4.acia
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Abstract:
We use multivariate Generalized Autoregressive Conditional Heteroscedastic models to assess evidence of electricity market integration between Spain, Portugal, Austria, Germany, Switzerland and France from 7-1-2007 to 2-29-2012. Spillovers and price convergence are used as indicators of integration. Evidence of dynamic conditional correlation is found for the pairs Spain-Portugal, Germany-Austria and Switzerland-Austria. Weak evidence of integration is found between Spain-France and Germany-France since no cross volatility transmissions are estimated. There are increasing price convergence and significant mean and volatility spillovers in the rest of the country pairs. We conclude that the European Union target of achieving a single electricity market depends largely on increasing interconnections and efficient rules of market operation.



Green Inventions: Is Wait-and-see a Reasonable Option?

Tobias Stucki and Martin Woerter

Year: 2017
Volume: Volume 38
Number: Number 4
DOI: 10.5547/01956574.38.4.tstu
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Abstract:
We analyze the potential of different knowledge stocks to decrease the technological gap between the leader in green technology inventions and its followers in order to identify if wait-and-see is a reasonable option to benefit from knowledge. Our econometric results indicate that it is difficult to decrease the technological gap and remain competitive in the generation of green technologies without timely accumulating green knowledge. Although effects from external green knowledge stocks also contribute to decrease the technological gap, the effects are moderate and they cannot compensate the lack of internal green competences. Non-green knowledge stocks even tend to increase the technological gap.



Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets

Jozef Baruník and Evžen Kocenda

Year: 2019
Volume: Volume 40
Number: Special Issue
DOI: 10.5547/01956574.40.SI2.jbar
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Abstract:
We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra-day data over the period 2007-2017. By employing variance decompositions and their spectral representation in combination with realized semivariances to account for asymmetric and frequency connectedness, we obtain interesting results. We show that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio decreases the total connectedness of the mixed portfolio. Asymmetries in connectedness are relatively small. While negative shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly. Frequency connectedness is largely driven by uncertainty shocks and to a lesser extent by liquidity shocks, which impact long-term connectedness the most and lead to its dramatic increase during periods of distress.



Time-Frequency Spillovers and the Determinants among Fossil Energy, Clean Energy and Metal Markets

Qian Ding, Jianbai Huang, and Jinyu Chen

Year: 2023
Volume: Volume 44
Number: Number 2
DOI: 10.5547/01956574.44.2.qdin
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Abstract:
Using the frequency-domain spillover index method, we investigate time-frequency spillovers and their underlying drivers among fossil energy, clean energy and metal markets. We find that short-term spillovers are stronger than long-term spillovers. Global clean energy markets are powerful spillover transmitters that can have strong impacts on fossil energy and metal markets. Rare earth metals are most vulnerable to spillover effects from clean energy and base metal markets, particularly in the long term. Different clean energy sources and metal markets have heterogeneous connectedness, e.g., the impact of wind energy on rare earth market is greater than that of solar energy. The short-term spillovers are mainly driven by policy changes, while the long-term spillovers are mainly affected by stock market uncertainty and economic fundamentals. Our findings have important implications for the construction of optimal diversification strategies and the design of policy incentives to promote clean energy investments across different time horizons.



Net-Zero Policy vs Energy Security: The Impact on GCC Countries

Simona Bigerna, Maria Chiara D’Errico, Paolo Polinori, and Paul Simshauser

Year: 2023
Volume: Volume 44
Number: Special Issue
DOI: 10.5547/01956574.44.SI1.sbig
View Abstract

Abstract:
Gulf Cooperation Council countries have accumulated large oil portfolio revenues. However, the world economy is seeking to reduce carbon emissions, and in turn, its reliance on fossil fuel resources through investments in renewable energy resources. The aim of this research is to analyze oil portfolio risk from an exporters' perspective, highlighting how relevant determinants, such as the increasing penetration of renewables in the importer counterparties, and financial and policy uncertainty, increase the volatility of oil export portfolios.We construct oil portfolios for four Gulf Cooperation Council countries (Kuwait, Oman, Saudi Arabia, United Arab Emirates) from 2008 to 2018, and compute volatility spillovers à la Diebold and Yilmaz. Then, the effects of policy and economic variables on volatility spillover indices are estimated using different panel linear regression models.We find rising renewable market shares significantly affects oil export portfolio risks and reduces adverse impacts on importing countries of oil market fluctuations.





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