uncertainties and extreme risk spillover in the energy markets a time varying copula based covar approach abstract in this paper we explore the impact of uncertainties on energy prices by measuring four types of delta conditional value at risk covar using six time varying copulas three different measures of uncertainty economic policy financial markets and energy markets are considered and the magnitude and asymmetric effects of their influence are investigated our results suggest that there generally exists negative dependence between energy returns and changes in uncertainty the risks of clean energy and crude oil returns are more sensitive to uncertainties in the financial and energy markets while the impact of economic policy uncertainty is relatively weak the upside and downside covars and covars demonstrate significant asymmetric effects in response to extreme uncertainty movement our findings therefore have important implications for energy portfolio investment

oil market conditions and sovereign risk in mena oil exporters and importers abstract we analyze for the first time how various levels of oil returns and oil volatility changes affect sovereign risk in static and time varying settings empirical analyses involve daily data from february 14 2011 to november 23 2018 covering a sample of mena oil exporters and importers the results from a quantile based approach show that the sovereign risk of mena oil exporters and importers is directionally predicted by shocks in oil prices and oil volatility especially during the oil crash of 2014 2016 overall the impact of oil returns and volatility changes occur in a very short time span that is within one day lag and the quantile specific reactions of sovereign risk spreads are time varying the impact of oil returns is asymmetric across quantiles the results hold when we control for stock market returns the findings have implications for investors in terms of portfolio and risk management importantly the findings are useful to policymakers for sovereign risk management decisions the cost of sovereign borrowing and the market timing of debt issuance finally the findings matter to bankers given that central and domestic banks hold large amounts of sovereign debt which makes banking systems particularly exposed to their own sovereign stress

high frequency volatility connectedness between the us crude oil market and china s agricultural commodity markets abstract this paper investigates the realised volatility connectedness of us crude oil futures and five china s agricultural commodity futures using connectedness measures and high frequency data time varying volatility connectedness characteristics are identified by combining a multivariate heteroscedastic autoregressive har model with the dcc garch model the results verify the existence of volatility spillover from the us crude oil market to china s agricultural commodity markets although the magnitude of this spillover is weak furthermore the realised volatility is decomposed into positive and negative components to identify the asymmetric effect of volatility connectedness the results show that market interdependence has obviously increased for negative volatility relative to positive volatility implying that volatility transmission has a leverage effect across markets

modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition based copula method abstract this study combines the variational mode decomposition vmd method and static and time varying symmetric and asymmetric copula functions to examine the dependence structure between crude oil prices and major regional developed stock markets s p500 stoxx600 djpi and tsx indexes during bear normal and bull markets under different investment horizons furthermore it analyzes the upside and downside short and long run risk spillovers between oil and stock markets by quantifying three market risk measures namely the value at risk var conditional var covar and the delta covar covar the results show that there is a tail dependence between oil and all stock markets for the raw return series by considering time horizons we show that there is an average dependence between the considered markets for the short run horizons however the tail dependence is also found for the long run horizons between the oil and stock markets with the exception of the s p500 index which exhibits average dependence with the oil market moreover we find strong evidence of up and down risk asymmetric spillovers from oil to stock markets and vice versa in the short and long run horizons finally the market risk spillovers are asymmetric over the time and investment horizons

a cointegration analysis of agricultural energy and bio fuel spot and futures prices this article features an analysis of the cointegration relationships among agricultural commodity ethanol and cushing crude oil spot and future prices the use of grains for the creation of bio fuels has sparked fears that these demands are inflating food prices we analyse approximately 10 years of daily spot and futures prices for corn wheat sugar ethanol and oil prices from datastream for the period 19 july 2006 to 2 july 2015 the analysis features engle granger pairwise cointegration and partial cointegration pairs of series that are cointegrated are analysed using markov switching vecm and impulse response analysis which confirms that these markets have significant linkages that vary according to whether they are in low or high volatility regimes

spillover network of commodity uncertainties abstract we study time and frequency connectedness among 22 commodity uncertainty indexes applying spillover analysis and network graphs we find that overall connectedness among commodity uncertainties increase during the global financial crisis gfc and the oil price collapse of 2014 16 network analysis shows more spillover within a specific commodity class and that precious metals due to less spillover with other commodities may serve as safe haven during the crisis the decomposition of spillover index reveals that commodity markets are more connected in long run implications of findings are discussed

crude oil risk forecasting new evidence from multiscale analysis approach fluctuations in the crude oil price allied to risk have increased significantly over the last decade frequently varying at different risk levels although existing models partially predict such variations so far they have been unable to predict oil prices accurately in this highly volatile market the development of an effective predictive model has therefore become a prime objective of research in this field our approach albeit based in part on previous research develops an original methodology in that we have created a risk forecasting model with the ability to predict oil price fluctuations caused by changes in both fundamental and transient risk factors we achieve this by disintegrating the multi scale risk structure of the crude oil market using variational mode decomposition normal and transient risk factors are then extracted from the crude oil price using variational mode decomposition and modelled separately using the quantile regression neural network qrnn model both risk factors are integrated and ensembled to produce the risk estimates we then apply our proposed risk forecasting model to predicting future downside risk level in three major crude oil markets namely the west taxes intermediate wti the brent market and the opec market the results demonstrate that our model has the ability to capture downside risk estimates with significantly improved precision thus reducing estimation errors and increasing forecasting reliability

volatility linkages between energy and agricultural commodity prices abstract we investigate price and volatility risk originating in linkages between energy and agricultural commodity prices in germany and study their dynamics over time we propose an econometric approach to quantify the volatility and correlation risk structure which has a large impact for investment and hedging strategies of market participants as well as for policy makers volatilities and their short and long run linkages are analyzed using an asymmetric dynamic conditional correlation garch model as well as a multivariate multiplicative volatility model our approach provides a flexible and accurate fitting procedure for volatility and correlation risk we find that in the long run prices move together and preserve an equilibrium while correlations are mostly positive with persistent market shocks our results reveal that concerns about biodiesel being the cause of high and volatile agricultural commodity prices are rather unjustified

dynamic return volatility dependence and risk measure of covar in the oil market a time varying mixed copula model abstract this study investigates the risk level in the oil market measured by value at risk var and conditional var covar as well as the dynamic and asymmetric dependence between wti returns and crude oil volatility index ovx by constructing six time varying mixed copula models results show that mixed copula between t copula and the 270 degree rotated clayton copula is the optimal fitting copula to measure dynamic dependence the estimated time varying kendall coefficients indicate that wti returns and ovx present negative dependence most of the time there exists a structural change point of dependence between wti returns and ovx changes on april 17 2009 while the dependence characteristics within the subsamples are similar to that in the whole sample indicating the rationality of our time varying mixed copula models finally the tests show significant risk spillover from ovx to wti returns and also asymmetric effects for covars in response to different upside and downside extreme ovx movements

dependence risk analysis in energy agricultural and precious metals commodities a pair vine copula approach we apply pair vine copulas specifically the c vine and r vine copulas to examine the conditional multivariate dependence pattern structure and r vine copula based value at risk var to assess fi

assessment and optimization of clean energy equity risks and commodity price volatility indexes implications for sustainability abstract although clean energy equities have emerged as a new asset class for market participants especially environmentally concerned investors existing and previous studies pay very little attention to how equity investors in clean energy markets can reduce their downside risk the authors of this paper address this void by considering the roles of the commodity market volatility indexes of crude oil gold and silver the results of the dynamic conditional correlation model show that commodity volatilities and clean energy equity prices move in opposite directions based on the hedging effectiveness each of the three volatility indexes acts as an effective tool for reducing the risk of clean energy equity indexes the implied volatility index of crude oil is the most effective tool followed by that of gold and silver further analysis indicates the robustness of the results to the application of an asymmetric conditional correlation model the findings extend the limited understanding of how to hedge the downside risk of clean energy stock indexes and provide useful implications to market participants on the ability of implied volatility indexes of major commodities to hedge that risk

the dependence structure across oil wheat and corn a wavelet based copula approach using implied volatility indexes abstract this paper examines the dependence structure between three commodities implied volatility indexes oil wheat and corn during bear normal and bull markets and at different scales for this purpose we combine wavelet and copula methods to analyse the changes of the tail dependence at different scales or investment horizons the results support evidence of time varying asymmetric tail dependence between the pair of cereals as well as between oil and the two cereals at different time horizons short term horizon medium term horizon and long term horizon suggesting that the dependence structure is sensitive to time horizons these results have important implications for the analysis of portfolio risk management

markets for water rights under environmental constraints abstract the cumulative impact of pollutants on water quality at a given location along a river is a function of prior loadings as well as pollution and surface flows at that particular site the question of whether it is possible to maintain water quality under alternative mechanisms for allocating surface water and pollution rights is addressed we model the optimal allocation of surface water and pollution rights along a river with water quality constraints due to cumulative effects the shadow values of water and pollution rights are contingent on location it is shown that a nash equilibrium in a market for tradable surface water rights in conjunction with a market for pollution damages implements the optimal solution the market supports location specific prices for both consumptive water rights and pollution damages

is there co movement of agricultural commodities futures prices and crude oil even though significant attempts have appeared in literature the current perception of co movement of commodity prices appear inadequate and static in particular we focus on price movements between crude oil futures and a series of agricultural commodities and gold futures a comparative framework is applied to identify changes in relationships through time and various cointegration methodologies and causality tests are employed our results indicate that co movement is a dynamic concept and that some economic and policy development may change the relationship between commodities furthermore we show that biofuel policy buffers the co movement of crude oil and corn futures until the crude oil prices surpass a certain threshold

the economic impact of the coal boom and bust in this paper we examine the impact of the coal boom in the 1970s and the subsequent coal bust in the 1980s on local labour markets in kentucky ohio pennsylvania and west virginia we address two main questions in our analysis how were non mining sectors affected by the shocks to the mining sector how did these effects differ between sectors producing local goods and those producing traded goods we find evidence of modest employment spillovers into sectors with locally traded goods but not into sectors with nationally traded goods

do food and oil prices co move abstract this paper studies co movements between world oil prices and global prices for corn soybean and wheat using copulas several copula models with different conditional dependence structures and time varying dependence parameters were considered empirical results for weekly data from january 1998 to april 2011 showed weak oil food dependence and no extreme market dependence between oil and food prices these results support the neutrality of agricultural commodity markets to the effects of changes in oil prices and non contagion between the crude oil and agricultural markets however dependence increased significantly in the last three years of the sampling period even though upper tail dependence remained insignificant indicating that food price spikes are not caused by positive extreme oil price changes these results have implications for policy design risk management and hedging strategies

how do dynamic responses of exchange rates to oil price shocks co move from a time varying perspective abstract with globalization and financialization exchange rates could be sensitive to oil price shocks due to differences of exchange rate policy oil dependence status and other factors the responses of exchange rates to oil price shocks could be either similar or heterogeneous therefore in this paper we integrate a hybrid research framework to investigate the co movement of responses to oil price shocks of four major exchange rate of currencies included in the special drawing rights basket from january 2000 to september 2018 from a time varying aspect and considering the asymmetric effect of the oil price shocks the main results are as follows compared with the general oil price shocks unexpected oil price shocks could have greater influence on currency markets over time with the asymmetric effect happening only when extreme market situations and unexpected oil price shocks appear simultaneously pairwise exchange rates tend to move in either a negatively or a positively similar way rather than in an unrelated manner in 50 of the sampled market time the co movement situation of exchange rates response could be captured by specific small numbers of co movement modes with the euro us dollar usd and great british pound usd tending to co move in more stable manner and having the potential to serve as an early warning of risk while other pairwise exchange rates are characterized by time varying features

dependence structure between the equity market and the foreign exchange market a copula approach abstract this paper investigates the dependence structure between the equity market and the foreign exchange market by using copulas in particular several copulas with different dependence structure are compared and used to directly model the underlying dependence structure we find that there exists significant symmetric upper and lower tail dependence between the two financial markets and the dependence remains significant but weaker after the launch of the euro our findings have important implications for both global investment risk management and international asset pricing by taking into account joint tail risk

oil price shocks and agricultural commodity prices abstract while the impacts of oil price changes on agricultural commodity markets are of great interest to economists previous studies do not differentiate oil specific shocks from aggregate demand shocks in this paper we address this issue using a structural var analysis our findings indicate that the responses of agricultural commodity prices to oil price changes depend greatly on whether they are caused oil supply shocks aggregate demand shocks or other oil specific shocks mainly driven by precautionary demand oil shocks can explain a minor friction of agricultural commodity price variations before the food crisis in 2006 2008 whereas in post crisis period their explanatory abilities become much higher after crisis the contributions of oil specific factors to variations in agricultural commodity prices are greater than those of aggregate demand shocks the results from an alternative svar confirm the robustness of our main findings

asymmetric and extreme influence of energy price changes on renewable energy stock performance abstract promoting the development of renewable energy has become the key factor to solve the problems of energy and climate change issues however its development is largely constrained by the prices of traditional fossil energy this paper explores the influence of various fossil energy price changes on renewable energy stock returns using a network approach specifically a positive and negative returns network and value at risk var network are constructed separately for identifying the asymmetric and extreme information spillover our findings show the fossil energy renewable energy network system has a relatively high level of interdependence the electricity market behaves as the major contributor to the changes of renewable energy returns in the returns connectedness network while oil and coal contribute most to the changes of renewable energy returns in the var connectedness network the dynamic results show that the contributions of fossil energy price changes to renewable energy returns have strong time varying pattern with high volatility over time the total connectedness in the positive returns network is slightly stronger than that in the negative returns network for most of the time during our sample period

systemic risk measurement multivariate garch estimation of covar abstract we modify adrian and brunnermeier s 2011 covar the var of the financial system conditional on an institution being in financial distress we change the definition of financial distress from an institution being exactly at its var to being at most at its var this change allows us to consider more severe distress events to backtest covar and to improve its consistency monotonicity with respect to the dependence parameter we define the systemic risk contribution of an institution as the change from its covar in its benchmark state defined as a one standard deviation event to its covar under financial distress we estimate the systemic risk contributions of four financial industry groups consisting of a large number of institutions for the sample period june 2000 to february 2008 and the 12 months prior to the beginning of the crisis we also investigate the link between institutions contributions to systemic risk and their characteristics

world oil and agricultural commodity prices evidence from nonlinear causality abstract the increasing co movements between the world oil and agricultural commodity prices have renewed interest in determining price transmission from oil prices to those of agricultural commodities this study extends the literature on the oil agricultural commodity prices nexus which particularly concentrates on nonlinear causal relationships between the world oil and three key agricultural commodity prices corn soybeans and wheat to this end the linear causality approach of toda yamamoto and the nonparametric causality method of diks panchenko are applied to the weekly data spanning from 1994 to 2010 the linear causality analysis indicates that the oil prices and the agricultural commodity prices do not influence each other which supports evidence on the neutrality hypothesis in contrast the nonlinear causality analysis shows that i there are nonlinear feedbacks between the oil and the agricultural prices and ii there is a persistent unidirectional nonlinear causality running from the oil prices to the corn and to the soybeans prices the findings from the nonlinear causality analysis therefore provide clues for better understanding the recent dynamics of the agricultural commodity prices and some policy implications for policy makers farmers and global investors this study also suggests the directions for future studies

the empirical properties of two classes of designs for transferable discharge permit markets abstract previous work by atkinson and lewis j environ econ manag 1 237 250 1974 and anderson et al an analysis of alternative policies for attaining and maintaining a short term no2 standard mathtech inc princeton n j 1979 has indicated the tremendous cost advantages to be achieved by moving from a policy based on emission standards to one based on marketable emission permits as tietenberg land econ 56 391 416 1980 points out however neither of the major permit designs treated in the literature are optimal from all points of view this has triggered a search for alternative permit designs which while they may not minimize compliance costs have sufficient other virtues as to make them attractive on other grounds the purpose of this paper is to examine within the context of an empirical mathematical programming model the air quality emission and cost consequences of two classes of the permit designs which can be implemented in the absence of information on control costs this case study involves particulate control in st louis

the optimal size of a permit market regulating the emissions of non uniformly mixed pollutants with a permit market carries the risk of hot spot formation which can be reduced by dividing the regulation area into trading zones the trading zone approach has been extensively discussed for the full information case we consider incomplete information concerning the emitters abatement costs their locations and pollution dispersion we derive the optimal number of trading zones and the optimal number of permits per zone and analyze under which conditions a system of independent trading zones is superior to other policy measures our results show that appropriately sized permit markets are well suited to regulating non uniformly mixed pollutants under informational constraints if firms are not too heterogeneous only for substantial heterogeneity and a highly non linear damage function can it be optimal to use command and control strategies

a conditional dependence approach to co2 energy price relationships abstract this paper uses the conditional vine copula approach to model the dependence structure between european based carbon allowances and major energy prices it makes two central contributions to the related literature first we extend the previous works of reboredo 2013 2014 by allowing for complete coverage of energy markets including natural gas coal and electricity beyond the carbon oil dependencies second we simultaneously investigate the multivariate dependence among all variables in the system so that each of them can interact with the others based on a rich variety of bivariate copula functions the consideration of the electricity market in this context offers the possibility to gauge its influences through the computation of the fuel switching mechanism we mainly find that there is a reliable and positive link between coal and gas prices and between coal and oil prices with or without the presence of electricity prices while a weak and positive link is detected between brent and gas prices carbon prices co move only weakly with energy prices and their link to oil and gas prices is negative moreover the switch from coal to gas does not occur when the relative price of fuels taking into account carbon costs is assessed this happens because the fuel switching mechanism is still more costly than carbon abatement our findings remain intact when alternative electricity prices are used

dynamic impacts of high oil prices on the bioethanol and feedstock markets this study investigates the impacts of high international oil prices on the bioethanol and corn markets in the us between 2007 and 2008 the prices of major grain crops had increased sharply reflecting the rise in international oil prices these dual price shocks had caused substantial harm to the global economy employing a structural vector auto regression model svar we analyze how increases in international oil prices could impact the prices of and demand for corn which is used as a major bioethanol feedstock in the us the results indicate that an increase in the oil price would increase bioethanol demand for corn and corn prices in the short run and that corn prices would stabilize in the long run as corn exports and feedstock demand for corn decline consequently policies supporting biofuels should encourage the use of bioethanol co products for feed and the development of marginal land to mitigate increases in the feedstock price

assessing the effect of oil price on world food prices application of principal component analysis the objective of this paper is to investigate the co movement of food prices and the macroeconomic index especially the oil price by principal component analysis to further understand the influence of the macroeconomic index on food prices we examined the food prices of seven major products eggs meat milk oilseeds rice sugar and wheat the macroeconomic variables studied were crude oil prices consumer price indexes food production indexes and gdp around the world between 1961 and 2005 we use the scree test and the proportion of variance method for determining the optimal number of common factors the correlation coefficient between the extracted principal component and the macroeconomic index varies between 0 87 for the world gdp and 0 36 for the consumer price index we find the food production index has the greatest influence on the macroeconomic index and that the oil price index has an influence on the food production index consequently crude oil prices have an indirect effect on food prices

oil price agricultural commodity prices and the dollar a panel cointegration and causality analysis abstract this study examines the dynamic relationship between world oil prices and twenty four world agricultural commodity prices accounting for changes in the relative strength of us dollar in a panel setting we employ panel cointegration and granger causality methods for a panel of twenty four agricultural products based on monthly prices ranging from january 1980 to february 2010 the empirical results provide strong evidence on the impact of world oil price changes on agricultural commodity prices contrary to the findings of many studies in the literature that report neutrality of agricultural prices to oil price changes we find strong support for the role of world oil prices on prices of several agricultural commodities the positive impact of a weak dollar on agricultural prices is also confirmed

time and frequency connectedness among oil shocks electricity and clean energy markets abstract this paper examines the time and frequency connectedness among electricity carbon and clean energy markets and oil price demand and supply shocks in doing so we use the spillover method proposed by diebold and yilmaz 2012 and its extension in the frequency domain by barunik and k ehlik 2018 we find increased connectedness during the global financial crisis as well as in the shale oil revolution period the total connectedness is also higher in the short run compared to the long run due to their low connectedness electricity futures can act as a risk diversifier and safe haven asset against oil shocks net pairwise directional connectedness among oil shocks and the clean energy index is higher during the shale oil revolution these results have important implications for investors with different investment time horizons

the minimum cvar strategy with semi parametric estimation in carbon market hedging problems abstract effective hedging strategies are important in reducing price volatility risk for business investors and companies participating into carbon markets in this paper we investigate the risk triggered by price fluctuation of european union allowance eua a semi parametric approach with cornish fisher expansion which approximates the quantile using the higher moments of the distribution is provided to estimate hedging ratios using cvar as risk objective function the approach can successfully capture the features of higher moments with the heavy tailed and higher kurtosis distribution of the eua returns which tends to be neglected the hedging performances of minimum cvar model we proposed and the conventional minimum variance model are evaluated and compared our empirical results show that minimum cvar hedging strategy generally outperforms the other in sample using all the effectiveness criteria while it is not consistent out of sample the proposed semi parametric minimum cvar strategy with cornish fisher expansion is advisable in carbon market hedging problems

systemic risk in european sovereign debt markets a covar copula approach abstract we studied systemic risk in european sovereign debt markets before and after the onset of the greek debt crisis taking the conditional value at risk covar as a systemic risk measure characterized and computed using copulas we found that before the debt crisis sovereign debt markets were all coupled and systemic risk was similar for all countries however with the onset of the greek crisis debt markets decoupled and the systemic risk of the countries in crisis excepting spain for the european debt market as a whole decreased whereas that of the non crisis countries increased to a small degree the systemic risk of the greek debt market for other countries in difficulties increased especially for portugal where systemic risk tripled after the onset of the crisis whereas the systemic impact on the non crisis countries decreased

risk spillover between energy and agricultural commodity markets a dependence switching covar copula model abstract unlike previous studies we employ a relatively newer modelling technique a time varying copula with a switching dependence to characterise the conditional dependence between energy and agricultural commodity markets in a more realistic way because the dependence may switch between positive and negative correlation regimes over time a dependence switching copula more appropriately and realistically captures a dependence structure than a single copula regime our findings indicate that the lower tail dependence is much stronger in a bearish regime than in a bullish regime highlighting the importance of systematic risk spillovers during extreme downward movements furthermore the significant risk spillovers from energy to agricultural commodities are verified by measuring the conditional value at risk covar and delta covar finally some useful implications are summarized for investors portfolios and risk avoidance

environmental policy when market structure and plant locations are endogenous abstract a two region two firm model is developed in which firms choose the number and the regional locations of their plants both firms pollute and market structure is endogenous to environmental policy there are increasing returns at the plant level imperfect competition between the home and the foreign firm and transport costs between the two markets at critical levels of environmental policy variables small policy changes cause large discrete jumps in a region s pollution and welfare as a firm closes or opens a plant or shifts production to from a foreign branch plant the implications for optimal environmental policy differ significantly from those suggested by traditional pigouvian marginal analysis

downside and upside risk spillovers between exchange rates and stock prices abstract we examined downside and upside risk spillovers from exchange rates to stock prices and vice versa for a set of emerging economies we characterized the dependence structure between currency and stock returns using copulas and computed downside and upside value at risk and conditional value at risk we documented a positive relationship between stock prices and currency values in emerging economies with respect to the us dollar and the euro with downside and upside spillover risk effects transmitted both ways finally we also documented asymmetries in upside and downside risk spillovers and asymmetric differences in the size of risk spillovers when the domestic currency values against the us dollar and the euro our results consistent with flight to quality phenomena have implications for downside and upside risk management of international investor portfolios in emerging markets

contemporaneous interactions among fuel biofuel and agricultural commodities abstract this study examines the contemporaneous interactions among energy oil and ethanol and agricultural commodities corn soybean and wheat in the united states during the period 1 june 2006 to 22 january 2016 since traditional var analysis is not able to capture the contemporaneous interactions among these commodities we employ a structural var analysis in combination with the identification through heteroskedasticity approach the empirical results indicate that i the contemporaneous interactions are important asymmetric and have implications for impulse response functions ii crude oil has a unidirectional contemporaneous impact on the agricultural commodities and the agricultural commodities corn and soybean mostly used in the biofuel production have a unidirectional contemporaneous impact on ethanol and finally iii these contemporaneous relations depend on the price level of crude oil in that there are stronger effects from crude oil agricultural commodities to agricultural commodities ethanol in high crude oil price states

time frequency contained co movement of crude oil and world food prices a wavelet based analysis abstract this paper evaluates the association between crude oil prices and world food price indices first within general space and time and then within the combined time frequency sphere monthly price data spanning from january 1990 to february 2016 were used for the analysis the johansen cointegration test conducted within the time domain confirmed the statistically significant cointegrated relationship between crude oil prices and the price indices of food and its sub categories such as dairy cereals vegetable oil and sugar however frequency information was not accounted for to incorporate both the time and frequency features of the data we used a wavelet method that has shown that the world food prices along with the prices of cereals vegetable oils and sugar co move with and are led by crude oil prices results that remain relevant from the short run policy perspective the outcome of toda yamamoto causality confirmed the spillover of crude oil price changes to the world food price index also in the long run the paper ends with the policy implications of these results

efficiency gains under exchange rate emission trading in the case of emission of non uniformly dispersed pollutants such as so2 the negative effects depend on the location of the sources a unit increase at one source must be compensated by either a larger or smaller reduction at another source to keep the negative effects at the same level emission trading between countries is possible under the second sulphur protocol exchange rate trading and third party problems are studied within a simultaneous model facilitating impositions of various environmental constraints simulations based on the negotiated emission quotas are offered results indicate potential cost savings of 19

spillovers between oil and stock returns in the us energy sector does idiosyncratic information matter abstract this paper investigates the inter connectedness between wti oil price returns and the returns of listed firms in the us energy sector specifically we focus on the issue of whether firm level idiosyncratic information matters a generalised dynamic factor model is used to separate common components from idiosyncratic components in these energy stocks systemic connectedness is then estimated following diebold and yilmaz 2014 our empirical results demonstrate the important role of industrial level common information in understanding the oil stock relationship a number of interesting points include the us energy sector is the net contributor to wti price changes but the effect is mainly driven by industrial level common information the oil and gas industry dominates other industries in the energy sector the dynamic analysis shows that although idiosyncratic information is mostly independent of oil shocks individual energy stock returns do respond to wti price movements

a revisit to the dependence structure between the stock and foreign exchange markets a dependence switching copula approach abstract this paper develops a dependence switching copula model to examine dependence and tail dependence for four different market statuses namely rising stocks appreciating currency falling stocks depreciating currency rising stocks depreciating currency and falling stocks appreciating currency the model is then applied to daily stock returns and exchange rate changes for six major industrial countries over the 1990 2010 period the dependence and tail dependence among the above four market statuses are asymmetric for most countries in the negative correlation regime but symmetric in the positive correlation regime these results enrich the findings in the existing literature and suggest that analyzing cross market linkages within a time invariant copula framework may not be appropriate

world oil prices and agricultural commodity prices evidence from an emerging market abstract oil prices are thought to have direct effect on agricultural prices followed by an indirect effect through the exchange rate this paper examines the short and long run interdependence between world oil prices lira dollar exchange rate and individual agricultural commodity prices wheat maize cotton soybeans and sunflower in turkey to this end the toda yamamoto causality approach and generalized impulse response analysis for identification of the long and short run interrelationships are applied to the monthly data spanning from january 1994 to march 2010 the impulse response analysis suggests the turkish agricultural prices do not significantly react to oil price and exchange rate shocks in the short run the long run causality analysis reveals that the changes in oil prices and appreciation depreciation of the turkish lira are not transmitted to agricultural commodity prices in turkey hence our results support neutrality of agricultural commodity markets in turkey to both direct and indirect effects of oil price changes

dynamic spillovers among major energy and cereal commodity prices abstract over the past decade the sharp increases in the prices of oil and agricultural commodities have raised serious concerns about the heightened volatility of these markets and the possible negative interactions between them this article deals with the dynamic return and volatility spillovers across international energy and cereal commodity markets it also examines the impacts of three types of opec news announcements on the volatility spillovers and persistence in these markets for this purpose we make use of the var bekk garch and var dcc garch models for the daily spot prices of eight major commodities including wti oil europe brent oil gasoline heating oil barley corn sorghum and wheat our results provide evidence of significant linkages between these energy and cereal markets moreover the opec news announcements are found to exert influence on the oil markets as well as on the oil cereal relationships finally we show that the persistence of volatility decreases increases for the crude oil and heating oil gasoline returns after accounting for the opec announcements in these multivariate garch models however the results are more mixed for the cereal markets overall our results can be used to improve the risk adjusted performance by having more diversified portfolios and also serve to hedge the oil risk more effectively