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A Time-Series Analysis of U.S. Petroleum Industry Inventory Behavior

Robert Krol and Shirley Svorny

Year: 1987
Volume: Volume 8
Number: Number 4
DOI: 10.5547/ISSN0195-6574-EJ-Vol8-No4-6
View Abstract

Abstract:
This paper examines inventory behavior in the U.S. petroleum industry. Inventories of crude oil and its three major products-gasoline, distillate and residual fuel oil-are studied. Earlier empirical studies of inventory behavior have been unable to provide evidence of the production smoothing role of inventories emphasized in the theoretical literature (see Blinder, 1984). We suggest that these results are due to a tradition of relying on a partial-adjustment model to explain inventory behavior. We feel that the partial-adjustment model ignores potentially significant relationships between lagged values of explanatory variables and inventories implied by dynamic analysis. This leads us to investigate the time-series properties of petroleum inventories using the vector autoregression(VAR) methodology developed by Sims (1980).



Forecasting the Demand for Energy in China

Hing Lin Chan and Shu Kam Lee

Year: 1996
Volume: Volume17
Number: Number 1
DOI: 10.5547/ISSN0195-6574-EJ-Vol17-No1-2
View Abstract

Abstract:
In this paper we use a cointegration and vector error-correction model to analyze the energy consumption behavior of China. In formulating a model suitable to China, it is found that not only conventional variables such as energy price and income are important, but the share of heavy industry output in the, national income is also a significant factor. With the help of a vector errorcorrection model, we predict that China will need approximately 1.42 billion tons of standard coal equivalent by the end of this century, representing a 44 percent increase compared with 1990.



The Impact of Changes in Crude Oil Prices and Offshore Oil Production on the Economic Performance of U.S. Coastal Gulf States

Omowumi Iledare and Williams O. Olatubi

Year: 2004
Volume: Volume 25
Number: Number 2
DOI: 10.5547/ISSN0195-6574-EJ-Vol25-No2-5
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Abstract:
This paper investigates the effects of changes in crude oil prices and offshore oil and gas production on the economic performance of U.S. Coastal Gulf States Texas, Louisiana, Alabama and Mississippi. The empirical results do not provide statistical evidence to reject the hypothesis that positive shocks to oil and gas prices and production variation increase the economic performance of these coastal Gulf States. However, the magnitude of the response to changes in prices varies across the states. In addition, the empirical results show significant differences in the duration of the lingering economic effects of price shocks and changes in production among the states. The duration varies depending upon whether the state is a net petroleum exporter or net importer, and whether the state has a diversified economic base or structure.



Revisiting the Inflationary Effects of Oil Prices

Shiu-Sheng Chen

Year: 2009
Volume: Volume 30
Number: Number 4
DOI: 10.5547/ISSN0195-6574-EJ-Vol30-No4-5
View Abstract

Abstract:
This paper uses a structural vector autoregression model to investigate the inflationary effects of oil prices. Rather than simply infer the oil price changes as oil supply shocks, we identify three different shocks in the crude oil market: the oil supply shock, the global aggregate demand shock, and the oil-market specific demand shock. We then use impulse response functions to compute the conditional oil price pass-through ratios. It is found that the largest oil price pass-through is caused by oil supply shocks. However, evidence from historical decompositions suggests that the oil price movements have been driven by shocks from strong global aggregate demand and oil demand while only minor contributions come from oil supply shocks. Disentangling demand and supply shocks in the crude oil market helps to uncover the fact that a recent decline in unconditional oil price pass-through may come from the low conditional pass-through caused by global demand shocks.



EU-ETS and Nordic Electricity: A CVAR Analysis

Harrison Fell

Year: 2010
Volume: Volume 31
Number: Number 2
DOI: 10.5547/ISSN0195-6574-EJ-Vol31-No2-1
View Abstract

Abstract:
A cointegrated vector autoregressive (CVAR) model is estimated to determine the dynamic relationship between Nordic wholesale electricity prices and EU emissions trading scheme (EU-ETS) CO2 allowance prices. An impulse response analysis reveals that electricity prices have large short-term responses to CO2 price shocks, but that this response dampens over time. Using hourly Nordic electricity spot market prices, I find that the value of short-term response of electricity prices to a shock in CO2 prices in off-peak hours is consistent with expected values for near complete pass-through of CO2 emission costs when coal-generated power is at the margin. Likewise, the estimates reveal that peak hour electricity price responses to CO2 price shocks are as expected for a market that has near complete pass-through of CO2 emission costs when natural gas-generated power is at the margin. These results further suggest the Nordic electricity market is pricing as a competitive market.



Drilling Down: The Impact of Oil Price Shocks on Housing Prices

Valerie Grossman, Enrique Martínez-García, Luis Bernardo Torres, and Yongzhi Sun

Year: 2019
Volume: Volume 40
Number: Special Issue
DOI: 10.5547/01956574.40.SI2.vgro
No Abstract



Oil Prices and the Stock Markets: Evidence from High Frequency Data

Sajjadur Rahman and Apostolos Serletis

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

Abstract:
We use the highest frequency data that have ever been studied before to investigate the relationship between the price of oil and stock market returns. In the context of a bivariate (identified using heteroscedasticity in daily data) structural VAR in stock market returns and the change in the price of oil, we find evidence that positive oil price shocks have negative and statistically significant effects on stock market returns. Our results are robust to the use of different types of market returns, including aggregate and disaggregate U.S. market returns, aggregate and disaggregate U.S. excess returns, returns of the energy sector, returns of the major oil and gas companies, and global, eurozone, and some country specific stock market returns. They are also robust to the use of weekly data.



Modelling the Global Price of Oil: Is there any Role for the Oil Futures-spot Spread?

Daniele Valenti

Year: 2022
Volume: Volume 43
Number: Number 2
DOI: 10.5547/01956574.43.2.dval
View Abstract

Abstract:
This paper illustrates the main benefits of accounting for the oil futures-spot spread in a Structural Vector Autoregressive model of the international market for crude oil. To this end, we replace the proxy for global above-ground crude oil inventories with the spread, which is derived by Brent crude futures prices with maturity 3-months. This model can be motivated on the basis of several economic considerations. First, the spread exploits the price discovery role in the crude oil futures markets. Second, the spread-based model alongside a proper set of identifying assumptions accounts for the presence of informational frictions and it allows for the feedback effect from futures to spot markets. Finally, the inventory proxy is affected by measurement error. The dynamic response functions show a positive relationship between the spread and the real price of oil, triggered by speculative shocks to financial markets. Moreover, this study provides a clear picture of the historical dynamic of the real price of oil and the spread during some of the exogenous events in the oil markets.



The Threshold Role of FDI Flows in the Energy-Growth Nexus: An Endogenous Growth Perspective

Olayeni Olaolu Richard, Jemiluyi Olayemi Olufunmilayo, Aviral Kumar Tiwari, and Shawkat Hammoudeh

Year: 2023
Volume: Volume 44
Number: Number 5
DOI: 10.5547/01956574.44.4.oric
View Abstract

Abstract:
In this paper, we have investigated the implications of the threshold effect of changes in FDI inflows for the nexus between energy consumption and economic growth in eight under-researched sub-Saharan African countries for the period 1971–2016. The countries are Benin, Congo, Kenya, Nigeria, Senegal, South Africa, Sudan, and Zambia. Using the lag-augmented VAR (LAVAR) model (corrected for cross-sectional dependence), we develop an empirical framework tightly linked to the endogenous growth model that allows for a threshold effect of changes (strength and weakness) in FDI inflows on the nexus. Our findings show that the FDI inflows matter for the causal link between energy consumption and economic growth in some countries, although, for the cross-section as a whole, our bootstrap simulation supports the neutrality hypothesis. The overall results suggest that an energy demand policy, such as an energy conservation policy, should not cause any significant adverse side-effects to economic growth in those sub-Saharan African countries. Policy implications of the threshold effect for the nexus for individual sub-Saharan African countries are also provided.





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