Journals
Journal:
FINANCE RESEARCH LETTERS
ISSN:
1544-6123
Year:
2023
Vol.:
58
N°:
C
pp.
104495
This paper analyzes the impact of commodity price shocks and global supply chain disruptions on U.S. inflation rates. Based on the idea that the inflationary effect of particular commodities is time-varying, our main contribution is to construct a Cost-Push Commodity (CPC) factor through a genetic algorithm which allows to recursively select the combination of commodity prices that best explain U.S. inflation over time. When this factor is included into a Structural Vector Autoregressive (SVAR) model, average and time-varying impulse response functions show how the U.S. inflation rate has responded to commodity price shocks and supply chain disruptions over the sample period, including the crisis caused by the COVID-19 pandemic. Important policy implications can be derived from these results.
Journal:
INTERNATIONAL REVIEW OF ECONOMICS AND FINANCE
ISSN:
1059-0560
Year:
2023
Vol.:
83
pp.
114 - 123
This paper examines the dynamic connectedness among the implied volatilities of oil prices (OVX) and fourteen other assets, which can be grouped into five different assets classes (i.e., energy commodities, stock markets, precious metals, exchange rates and bond markets). To do so we estimate a recently developed time-varying parameter vector autoregressive (TVP-VAR) connectedness approach using daily data spanning from March 16th, 2011 to March 3rd, 2021 - covering the first year of the COVID-19 pandemic. The empirical results suggest that connectedness across the different asset classes and oil price implied volatilities are varying over time and fluctuate at very high levels. The dynamic total connectedness ranges between 65% and 85% indicating a high degree of cross-market risk linkages. Furthermore, we find that the oil market is becoming more integrated with the financial markets, since it tends to be materially impacted by abrupt fluctuations of the global financial markets' volatilities. More specifically, the analysis shows that, throughout the period, OVX is a net receiver of shocks to the remaining implied volatilities. Finally, the net pairwise connectedness measures suggest that OVX is constantly at the net receiving end vis-a-vis the majority of the asset classes' implied volatilities. Those findings are of major importance for portfolio and risk management in terms of asset allocation and diversification.
Journal:
ENERGY ECONOMICS
ISSN:
0140-9883
Year:
2022
Vol.:
111
pp.
106051-*
This study provides a novel framework for analysing systematic tail risk transmission mechanisms by combining the Conditional Autoregressive Value-at-Risk (CAViaR) model with the recently developed Time-Varying Parameter Vector Autoregressive (TVP-VAR) based connectedness approach. We estimate dynamic spillovers across two crude oil (Brent and WTI) and four refined petroleum product (gasoline, heating oil, jet fuel and propane) prices from January, 17, 1997 to December 11, 2020. Results show that, both heating oil and kerosene are persistent net transmitters of shocks, signifying the important role of liquidity in the relevant markets. In addition, the role of either crude oil type appears to shift around 2009 following developments in the energy market. Overall, our findings suggest that, total connectedness are positively affected by major crisis episodes and that the recent COVID-19 pandemic appears to have the potential to propel both tail risk and exposure to losses to levels akin to those of the Global Financial Crisis of 2007-2008.
Journal:
APPLIED ECONOMICS
ISSN:
0003-6846
Year:
2021
Vol.:
53
N°:
56
pp.
6488 - 6496
This paper extends previous literature that investigates the impact of crude oil prices on US gasoline prices using a structural vector autoregressive model of the global crude oil market. In particular, we disentangle the global oil production into non-US and US oil production and we examine whether real gasoline prices respond to non-US and US oil supply shocks using monthly data from October 1973 to February 2018. It shows that non-US (US) oil supply disruptions generate nonsignificant (significantly positive) effects on the real price of oil and real price of gasoline. The effect of non-US (US) oil supply shocks on the real price of gasoline has been declining (rising) over time.
Journal:
THE NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
ISSN:
1062-9408
Year:
2021
Vol.:
57
pp.
101388
This paper examines the impacts of economic policy uncertainty and oil price shocks on stock returns of U.S. airlines using both industry and firm-level data. Our empirical approach considers a structural vector-autoregressive model with variables recognized to be important for airline returns including jet fuel price volatility. Empirical results confirm that oil price increase, economic uncertainty and jet fuel price volatility have significantly adverse effect on real stock returns of airlines both at industry and at firm level. In addition, we also find that hedging future fuel purchase has statistically positive impact on the smaller airlines. Our results suggest policy implications for practitioners, managers of airline industry and commodity investors.
Journal:
ENERGY ECONOMICS
ISSN:
0140-9883
Year:
2020
Vol.:
92
pp.
104951
In this paper we investigate the impact of changes in proved reserves on U.S. stock returns using firm level data of the largest U.S. oil and gas companies. The selected sample covers the period 2009 to 2018 incorporating the recent episode of the shale oil and gas revolution. In contrast to previous studies, our results show that changes in proved oil and gas reserves have no significant effect on stock returns. We also give evidence of the impact of reserves on financial returns being dependent on the level of oil prices. Since oil prices fell abruptly after 2014, we show a significantly lower effect of oil reserves in stock returns in this subperiod and, thus, partly explain the overall insignificant effect. (C) 2020 Elsevier B.V. All rights reserved.
Journal:
ENERGY ECONOMICS
ISSN:
0140-9883
Building on the increased interest in oil prices and other financial assets, this paper examines the dynamic conditional correlations among their implied volatility indices. We then proceed to the examination of the optimal hedging strategies and optimal portfolio weights for implied volatility portfolios between oil and fourteen asset volatilities, which belong to four different asset dasses (stocks, commodities, exchange rates and macroeconomic conditions). The results suggest that the oil price implied volatility index (OVX) is highly correlated with the US and emerging stock market volatility indices, whereas the lowest correlations are observed with the implied volatilities of gold and the Euroidollar exchange rate. Hedge ratios indicate that VIX is the least useful implied volatility index to hedge against oil implied volatility. Finally, we show that investors can benefit substantially by adjusting their portfolios based on the dynamic weights and hedge ratios obtained from the dynamic conditional correlation models, although a trade-off exists between the level of risk reduction and portfolio profitability. (C) 2020 Elsevier B.V. All rights reserved.
Journal:
JOURNAL OF ECONOMICS AND FINANCE
ISSN:
1938-9744
Year:
2020
Vol.:
44
N°:
4
pp.
708 - 723
Journal:
JOURNAL OF ECONOMIC STUDIES
ISSN:
0144-3585
Year:
2019
Vol.:
46
N°:
2
pp.
356 - 371
Purpose
The purpose of this paper is to examine the impact of fossil fuel prices ¿ crude oil, natural gas and coal ¿ on different electricity prices in Mexico. The use of alternative variables for electricity price helps to increase the robustness of the analysis in comparison to previous empirical studies.
Design/methodology/approach
The authors use an unrestricted vector autoregressive model and the sample covers the period January 2006 to January 2016.
Findings
Empirical findings suggest that crude oil, natural gas and coal prices have a significant positive impact on electricity prices ¿ domestic electricity rates ¿ in Mexico in the short run. Furthermore, crude oil and natural gas prices have also a significant positive impact on electricity prices ¿ commercial and industrial electricity rates.
Originality/value
Two are the main contributions. First, this paper explores the nexus among crude oil, natural gas, coal and electricity prices in Mexico, while previous studies focus on the US, UK and some European economies. Second, instead of using one electricity price as a reference of national or domestic electricity sector, the analysis considers alternative Mexican electricity prices.
Journal:
APPLIED ECONOMICS LETTERS
ISSN:
1350-4851
Year:
2019
Vol.:
26
N°:
11
pp.
919 - 926
In this paper, we investigate the impact of oil prices on both aggregate and industry US real stock returns over the period 1973¿2017. The empirical analysis contributes to the related literature introducing a state-dependent oil price (high and low) and the local projections approach. Our main finding is that, depending on the nature of the shock and industry, the negative effects of oil price shocks become exacerbated -and the positive effects get moderated- if oil prices are already high.
Journal:
ENERGY ECONOMICS
ISSN:
0140-9883
Year:
2019
Vol.:
77
pp.
66 - 79
This study shows that the effect of oil price shocks on the real price of gasoline is interrelated with economic policy uncertainty. Economic policy shocks are linked with increased real price of gasoline and reduced consumption of gasoline. There is evidence that the fluctuation of both real gasoline prices and of gasoline consumption is associated with uncertainty of tax legislation expiration expectation as well as other components of economic policy uncertainty. Positive shocks to economic policy uncertainty have relatively larger effects on gasoline prices than do negative shocks to economic policy uncertainty. Economic policy uncertainty responds asymmetrically to increases and decreases in real oil price. Shocks to economic policy uncertainty account for 16.1% of variation in real gasoline prices and for 4.9% of variation in gasoline consumption in the long-run. (C) 2018 Elsevier B.V. All rights reserved.
Journal:
APPLIED ECONOMICS LETTERS
ISSN:
1350-4851
Year:
2018
Vol.:
25
N°:
5
pp.
305 - 308
This study examines the relationship between oil prices and economic activity in the G-7 economies during the period 1960M1¿2014M07 using a wavelet approach. The results show significant differences in the relationship between these two variables depending on the frequencies. Furthermore, we find that oil price shocks affect economic activity at low frequencies (long run) in all G-7 countries, while the effect at high frequencies (short run) is limited to a few countries.
Journal:
ENERGY ECONOMICS
ISSN:
0140-9883
Year:
2018
Vol.:
70
pp.
499 - 515
This paper investigates the volatility spillovers and co-movements among oil prices and stock prices of major oil and gas corporations over the period between 18th June 2001 and 1st February 2016. To do so, we use the spillover index approach by Diebold and Yilmaz (2009, 2012, 2014, 2015) and the dynamic correlation coefficient model of Engle (2002) so as to identify the transmission mechanisms of volatility shocks and the contagion of volatility among oil prices and stock prices of oil and gas companies, respectively. Given that volatility transmission across oil and major oil and gas corporations is important for portfolio diversification and risk management, we also examine optimal weights and hedge ratios among the aforementioned series. Our results point to the existence of significant volatility spillover effects among oil and oil and gas companies' stock volatility. However, the spillover is usually unidirectional from oil and gas companies' stock volatility to oil volatility, with BP, CHEVRON, EXXON, SHELL and TOTAL being the major net transmitters of volatility to oil markets. Conditional correlations are positive and time-varying, with those between each of the aforementioned companies and oil being the highest. Finally, the diversification benefits and hedging effectiveness based on our results are discussed. (C) 2018 Elsevier B.V. All rights reserved.
Journal:
ENERGY SOURCES. PART B. ECONOMICS, PLANNING, AND POLICY
ISSN:
1556-7249
Year:
2017
Vol.:
12
N°:
5
pp.
420 - 427
This paper contributes to the literature on crude oil price behavior and examines how this affects mergers and acquisitions (M&A) in the petroleum industry in the US. The paper analyzes the relationship of these two series by studying its dynamic in the time¿frequency domain. The novelty of this study¿s approach lies in the application of wavelet tools for its resolution. Monthly data are used in this study, covering the period January 1980¿June 2012. It was observed that there was a shift to higher frequencies of the wavelet coherency during the mid-1990s and the late 2000s. The results also indicate that during the mid-1990s and the late-2000s, an increase in M&A took place that was led by the increase in West Texas Intermediate crude oil prices.
Journal:
ENERGY
ISSN:
0360-5442
Year:
2017
Vol.:
120
pp.
79 - 91
Crude oil price behaviour depends on all the events that have the potential to disrupt the flow of oil. We understand that these causes could be geopolitical issues and/or military conflicts in/with the producer countries and a problem relating to demand and supply. In the paper we first investigate the statistical properties of the real oil prices as well as its log-transformation, along with the absolute and squared returns values. Then, we also address the following issue: Does the crude oil price behave in the same way before and after a military conflict or geopolitical problem in the producer countries? To answer this question we analyse the real oil prices of West Texas Intermediate (WTI) before and after the different military conflicts and political events that occurred after World War II. For this purpose we use techniques based on unit roots and fractional integration. The empirical results provide evidence of persistence and breaks in the oil prices series and stationary long memory in the absolute returns. However, we do not observe significant differences before and after the conflict and geopolitical events. (C) 2016 Elsevier Ltd. All rights reserved.
Journal:
RESOURCES POLICY
ISSN:
0301-4207
Year:
2017
Vol.:
53
pp.
147 - 163
This paper examines the resource curse hypothesis both within and between countries of different democratic footprint, based on a dynamic model that properly accounts for endogeneity issues. To achieve that, we apply a panel Vector Auto-Regressive (PVAR) approach along with panel impulse response functions to data on oil dependence variables, economic growth and several political institutional variables in 76 countries classified by different income groupings and level of development, over the period 1980-2012. Our results suggest that controlling for the quality of political institutions, and in particular the constraints to the executives, is important in rendering the resource curse hypothesis significant. Doing so, the resource curse hypothesis is documented mainly for developing economies and medium-high income countries. Specifically, when economies from the aforementioned groups are characterised by weak quality of political institutions, then oil dependence is not growth-enhancing.
Journal:
FINANCE RESEARCH LETTERS
ISSN:
1544-6123
Year:
2017
Vol.:
20
pp.
75 - 80
In this paper we examine the impact of oil price shocks on stock returns of four oil and gas corporations listed on NYSE over the period January 1974 to December 2015. We consider different linear and nonlinear oil price specifications and take into account the structural break date of the year 1986. The novelty evidence supports a significant positive impact of oil price shocks on stock returns in the short-run. We also find that the relationship has become statistically significant during the post-1986 period. (C) 2016 Elsevier Inc. All rights reserved.
Journal:
JOURNAL OF INTERNATIONAL MONEY AND FINANCE
ISSN:
0261-5606
Year:
2017
Vol.:
70
pp.
344 - 359
This paper investigates the effects of oil price shocks and economic policy uncertainty on the stock returns of oil and gas companies. We find that an oil demand-side shock has a positive effect on the return of oil and gas companies on average, whereas shocks to policy uncertainty have a negative effect on the return. Historical decomposition shows that the effects of oil shocks on the stock return are amplified by the endogenous policy uncertainty responses. These results are consistent with those for major integrated oil and gas companies. The return responses, however, show heterogeneous effects of structural shocks on upstream, midstream, and downstream oil and gas companies, suggesting that a well-diversified portfolio is obtainable. (C) 2016 Elsevier Ltd. All rights reserved.
Journal:
ENERGY
ISSN:
0360-5442
Year:
2017
Vol.:
141
pp.
12 - 19
The aim of this paper is to relate the shale oil revolution in the United States with WTI oil price behavior. Since the development of the combination of horizontal drilling techniques together with hydraulic fracturing in the 1970s, known as shale oil, oil markets have undergone a significant transformation with the unexpectedly strong rise in the United States production affecting oil prices. The goal of this paper is two-fold: first, we analyze the relationship of total United States crude oil production and WTI crude oil prices by studying its performance in the time-frequency domain applying wavelet tools for its resolution. Using wavelet methodologies, we observe a shift to higher frequencies of the wavelet coherency for the time period 2003-2009 and lower frequencies for the period 2009-2014. The results also indicate that during the period 2003-2009 the U.S. oil production and WTI oil prices time series are in phase; they move together, with total United States oil production leading. During the period 2009-2014 oil production and WTI oil prices time series are out of phase (negatively correlated), suggesting that oil production increases precede a decrease in WTI oil prices. In the second part of the paper and to give greater credibility to the results obtained through the wavelet transform, we analyze the behavior of WTI crude oil before and after the shale oil boom in the United States employing methodologies based on long run dependence. The results indicate that mean reversion takes place only for the data corresponding to the first subsample, ending at 2003. For the second subsample, as well as for the whole sample, lack of mean reversion is detected with orders of integration equal to or higher than 1 in all cases. (C) 2017 Elsevier Ltd. All rights reserved.
Journal:
JOURNAL OF POLICY MODELING
ISSN:
0161-8938
Year:
2016
Vol.:
38
N°:
1
pp.
166 - 180
This paper investigates the relationship between oil prices and exchange rates in three African countries using a Vector AutoRegressive (VAR) model. We use daily data on nominal exchange rates, oil prices and short term interbank interest rates from 01/12/2003 to 02/07/2014. The results suggest that the exchange rate of the three selected countries behavior is different in the event of an oil price shock, not only before and after the oil peak of July of 2008, but also between each other. Therefore, no general rule can be made for net oil importing sub-Saharan countries, such as Botswana, Kenya and Tanzania. We conclude that after an oil price peak, the Botswanan pula clearly appreciates against the US dollar, the Kenyan and Tanzanian shilling.
Journal:
ENERGY ECONOMICS
ISSN:
0140-9883
Year:
2016
Vol.:
54
pp.
417 - 430
This study examines the relationship between oil price volatility and stock returns in the G7 economies (Canada, France, Germany, Italy, Japan, the UK and the US) using monthly data for the period 1970 to 2014. In order to measure oil volatility we consider alternative specifications for oil prices (world, nominal and real prices). We estimate a vector autoregressive model with the following variables: interest rates, economic activity, stock returns and oil price volatility taking into account the structural break in the year 1986. We find a negative response of G7 stock markets to an increase in oil price volatility. Results also indicate that world oil price volatility is generally more significant for stock markets than the national oil price volatility.
Journal:
CUESTIONES ECONOMICAS
ISSN:
0252-8673
Year:
2016
Vol.:
26
N°:
2
pp.
141 - 167
In this paper we study the impact of oil price shocks on real economic activity and inflation rates in three Latin American economies (Brazil, Colombia and Peru) using a Vector AutoRegressive (VAR) model over the period 1991:M01-2014:M01. We also consider different oil shock specifications. We find a strong and prolonged increase in inflation in Brazil after an oil price shock and a negative effect with respect to economic growth. We find less significant results for Colombia and Peru that can be explained by the distorted pass-through of oil price shocks to domestic prices.
Journal:
ENERGY ECONOMICS
ISSN:
0140-9883
Year:
2014
Vol.:
42
pp.
365 - 377
In this paper we examine the impact of oil price shocks on stock returns in 12 oil importing European economies using Vector Autoregressive (VAR) and Vector Error Correction Models (VECM) for the period 1973:02-2011:12. We propose an alternative oil price shock specification that takes into account both world oil production and world oil prices in order to disentangle oil supply and oil demand shocks. We find that the response of the European real stock returns to an oil price shock may differ greatly depending on the underlying causes of the oil price change. The results suggest the existence of a negative and significant impact of oil price changes on most European stock market returns. Furthermore, we find that stock market returns are mostly driven by oil supply shocks
Journal:
ANNALS OF TOURISM RESEARCH
ISSN:
0160-7383
Year:
2014
Vol.:
46
pp.
89 - 101
This article investigates the statistical properties of the total number of arrivals and departures in Kenya for the time period 1975Q1¿2011Q4 by looking at the degree of persistence of the series. We use long range dependence techniques and given the quarterly nature of the series seasonality is also taken into account. Moreover, the potential presence of breaks is also considered. The tourism sector in Kenya is especially sensitive to political shocks, and this is particularly exemplified by the shocks in 1992Q4 and 2008Q1 that were associated with crucial election periods in Kenya. Our results, however, show that the series are fractionally integrated with orders of integration strictly below 1. Thus, shocks are expected to be transitory and disappearing relatively quickly.
Journal:
ENVIRONMENTAL AND RESOURCE ECONOMICS
ISSN:
0924-6460
Year:
2014
Vol.:
63
N°:
1
pp.
45 - 56
This paper examines the stationarity of global carbon dioxide emissions and its components¿gas, liquids, solids, cement production and gas flaring, as well as global per capita emissions¿for a long span of data using long range dependence techniques. The empirical results suggest that the series are highly persistent with orders of integration which are above 1 in practically all cases. Disaggregating the data by components, cement production displays the highest persistence, and allowing for structural breaks, two breaks are detected (at 1830 and 1946) for the total series and solids, and one single break (at 1946) for gas, liquids and cement production. In general, higher orders of integration are detected after the break at World War II.
Journal:
SOCIAL INDICATORS RESEARCH
ISSN:
0303-8300
Year:
2013
Vol.:
112
N°:
3
pp.
549 - 567
This paper explores the relationship between air pollution, climate and reported subjective well-being (or happiness) in Spanish regions. The results show that, after controlling for most of the socio-economic variables affecting happiness, there are still significant regional differences in subjective well-being. Evidence also suggests that climate and air pollution variables play a significant role in explaining these regional differences in happiness. The analysis also allows us to calculate the monetary value of air quality and climate, deriving the average marginal rate of substitution between income and air quality and climate for the Spanish regions
Journal:
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN:
0378-4371
Year:
2013
Vol.:
392
N°:
15
pp.
3198 - 3212
This paper deals with the analysis of long range dependence in the US stock market. We focus first on the log-values of the Dow Jones Industrial Average, Standard and Poors 500 and Nasdaq indices, daily from February, 1971 to February, 2007. The volatility processes are examined based on the squared and the absolute values of the returns series, and the stability of the parameters across time is also investigated in both the level and the volatility processes. A method that permits us to estimate fractional differencing parameters in the context of structural breaks is conducted in this paper. Finally, the 'day of the week' effect is examined by looking at the order of integration for each day of the week, providing also a new modeling approach to describe the dependence in this context
Journal:
SOCIAL INDICATORS RESEARCH
ISSN:
0303-8300
Year:
2012
Vol.:
108
N°:
1
pp.
185 - 196
In this paper we study the impact of education on happiness in Spain using individual-level data from the European Social Survey, by means of estimating Ordinal Logit Models. We find both direct and indirect effects of education on happiness. First, we find an indirect effect of education on happiness through income and labour status. That is, we find that people with a higher education level have higher income levels and a higher probability of being employed, and thus, report higher levels of happiness. Second, and after controlling by income, labour status and other socio-economic variables, we find that education has a positive (and direct) impact on happiness. We interpret this result as evidence of a ¿self-confidence¿ or ¿self-estimation¿ effect from acquiring knowledge. Finally, we find that the direct impact of education on happiness does not depend of the level of education (primary, secondary or tertiary)
Journal:
JOURNAL OF MEDIA ECONOMICS
ISSN:
0899-7764
Year:
2012
Vol.:
25
N°:
1
pp.
8 - 34
This article concerns the study of the impact of media consumption on happiness in Spain using data from the fourth wave of the European Social Survey, distinguishing between watching TV, listening to the radio, reading newspapers, and using the Internet. A negative effect of TV watching was found on individual happiness, mainly among women; those with higher incomes; and those with paying jobs¿that is, among those with a higher opportunity cost of time. However, this negative effect on happiness does not appear for radio listening, newspaper reading, or Internet usage
Journal:
JOURNAL OF FORECASTING
ISSN:
0277-6693
Year:
2012
Vol.:
31
N°:
6
pp.
524 - 539
Journal:
JOURNAL OF INTERNATIONAL MONEY AND FINANCE
ISSN:
0261-5606
Year:
2011
Vol.:
30
N°:
6
pp.
1214-1233
Journal:
ESTUDIOS DE ECONOMIA APLICADA
ISSN:
1133-3197
Year:
2011
Vol.:
29
N°:
3
pp.
723 - 736
Este trabajo investiga el grado de persistencia en las llegadas internacionales de turistas a España empleando técnicas de integración fraccional. Los resultados que se obtienen son los siguientes. Los resultados sugieren que las hipótesis de I(0) e I(1) se rechazan y que la serie de llegada de turistas a España se puede modelizar como una serie I(d) donde d toma valores en el intervalo (0.421, 0.780) implicando un proceso de memora larga y con reversion a la media. Sin embargo, teniendo en cuenta la existencia de un cambio estructural, este ocurre en Mayo del 2007, y las dos submuestras son entonces integradas fraccionalmente con un parámetro de integración superior a 1 en ambas submuestras, y rechazando por tanto la hipótesis de reversión a la media
Journal:
EASTERN ECONOMIC JOURNAL
ISSN:
0094-5056
Year:
2010
Vol.:
36
N°:
2
pp.
177-187
Journal:
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
ISSN:
0275-5319
Year:
2010
Vol.:
24
N°:
2
pp.
113 - 122
In this paper we test whether mean reversion in stock market prices presents a different behavior in bull and bear markets. We date the US bull and bear periods using Bry and Boschan (1971) algorithm. We examine the order of integration in the S&P 500 stock market index covering a daily period from August 1929 to December 2006 in bull and bear phases. Our results indicate the existence of different episodes of mean reversion, which mainly correspond to bull market periods.
Journal:
JOURNAL OF POLICY MODELING
ISSN:
0161-8938
Year:
2010
Vol.:
32
N°:
1
pp.
138 - 154
In this paper we account for the U.S. Fed's response to money demand shocks by allowing for less-than-complete accommodation in the estimation of the Fed's money supply policy rule. We find a significantly lower degree of money accommodation in the 1979¿1982 period, which hints at money targeting during that period rather than interest rate targeting. We identify the path of money demand and money supply shocks and comment on their effects on the dynamic behavior of money, interest rates, output and inflation: the monetary policy intermediate target seems not to be the key determinant of macro-dynamics. Our results allow us to offer comments on the implications for monetary policy of both the degree of money demand accommodation ¿ thus, of the intermediate monetary policy target ¿ and the evolution (reduction) of macroeconomic volatility between 1984 and 2007.
Journal:
JOURNAL OF FUTURES MARKETS
ISSN:
0270-7314
Year:
2010
Vol.:
5
N°:
30
pp.
490 - 507
In this study, we examine the possibility of long-range dependence in some energy futures markets for different maturities. In order to test for persistence, we use a variety of techniques based on non-parametric, semi-parametric and parametric methods. The results indicate that there is little or no evidence of long memory in gasoline, propane, oil and heating oil at different maturities. However, when we focus on the volatility process, proxied by the absolute returns, we find strong evidence of long memory in all the variables at different contracts.
