on the impacts of oil price fluctuations on european equity markets volatility spillover and hedging effectiveness the objective of this paper is to investigate the volatility spillovers between oil and stock markets in europe as not all industries are expected to be equally affected by oil price changes we conduct our study at both the aggregate as well as sector levels empirically we make use of a recently developed var garch approach which allows for transmissions in volatilities in addition we analyze the optimal weights and hedge ratios for oil stock portfolio holdings based on our results on the whole our findings show significant volatility spillovers between oil price and sector stock returns and suggest that a better understanding of those links is crucial for portfolio management in the presence of oil price risk

perishable inventory theory a review this paper reviews the relevant literature on the problem of determining suitable ordering policies for both fixed life perishable inventory and inventory subject to continuous exponential decay we consider both deterministic and stochastic demand for single and multiple products both optimal and sub optimal order policies are discussed in addition a brief review of the application of these models to blood bank management is included the review concludes with a discussion of some of the interesting open research questions in the area

the role of the trade channel in the propagation of oil supply shocks abstract this paper analyzes when and why idiosyncratic oil supply shocks produce large macroeconomic effects in an analytically tractable two country general equilibrium model we focus on a demand driven mechanism the trade channel which transmits oil shocks across economies through changes in the non oil goods terms of trade when the trade channel is operative we have three main consequences on the transmission of oil shocks first the macroeconomic impact of oil shocks may be large and asymmetric across countries second the magnitude of the effects is nonlinear in the size of the oil shock third terms of trade movements never ensure international risk sharing after an idiosyncratic oil supply shock

oil price shocks and the macroeconomy this paper examines the impact of oil price shocks and attempts to explain why the rise in oil prices up to 2008 had little impact on the world economy it makes three main arguments first that oil prices have never been as important as is popularly thought second that the most important route through which oil prices affect output is monetary policy when oil prices pass through to core inflation monetary authorities raise interest rates slowing growth based on the second argument the third argument is that high oil prices have not reduced growth in recent years because they no longer pass through to core inflation so the monetary tightening previously seen in response to high oil prices is absent it also argues that oil prices had little impact on the global recession of 20089

regime switching in the reactions of stock markets in saudi arabia to oil price variations the study revisits the stock oil nexus by examining the reactions of equity markets to oil price shocks at national and sectoral levels for saudi arabia in a time varying framework by employing the markov switching egarch model developed by henry 2009 journal of banking and finance 33 405 based on weekly data the findings reveal that the behaviour of all stock markets switches between an expansion regime and a recession regime with more persistence for the expansion state additionally influential international events associated with stock market drops are clearly identified in the recession regime furthermore there is evidence of asymmetric reactions of the equity index returns and the probabilities of transition from one state to another to oil price variations with heterogeneous impacts across sectors and regimes the stock markets are more sensitive to oil price decreases than to oil price increases although the evidence of relatively slight differences in some findings across weekdays the study allows investors and policymakers to understand well the interactions of stock sector markets vis a vis the world oil market in a regime switching framework in order to make the right decision as regards portfolio diversification and regulation of the stock markets

oil price shocks economic policy uncertainty and industry stock returns in china asymmetric effects with quantile regression abstract this paper investigates the impact of crude oil shocks and china s economic policy uncertainty on stock returns at different locations on the return distributions based on monthly data from 1995 1 to 2016 3 we address this issue by employing the quantile regression technique this approach enables a more detailed investigation in different market circumstances namely bearish normal and bullish markets empirical results indicate that the effects of oil price shocks and economic policy uncertainty are asymmetric and highly related to stock market conditions moreover both the nexus of oil and economic policy uncertainty stock are changed at the onset of a crisis specially rising oil prices have greater negative effects on stock returns when stock markets are bullish extreme higher quantiles before a crisis whereas the effects are significantly positive under different market conditions after the onset of the crisis falling oil prices lower stock returns when stock markets are bullish and normal before the crisis whereas lower stock returns under different market conditions except extreme bullish after the onset of the crisis these findings might be related to the optimistic or pessimistic investor sentiments and investors might become more frightened after the crisis

trading volume maturity and natural gas futures price volatility important characteristics of the natural gas spot and futures markets are discussed the relationship between the variance of price change or volatility of the natural gas futures price and maturity of the futures contract and the volume of trading in the futures contact is also discussed and estimated it is found that the volume of trade rather than maturity explains the variance of the volatility it is also discovered that past levels of volume of trade influence current variability of price volatility but that past variability of price volatility has much less of an influence on current levels of trading

the effects of oil price shocks on expenditure category cpi in this study we apply a two block structural vector autoregressive var model proposed by kilian and park 2009 in order to investigate the dynamic effects of changes in oil price on the expenditure category consumer price index cpi in the united states and japan our results confirm that each expenditure category price index responded very differently to the same structural shock and that whether changes in oil price function as a positive stimulus or a negative shock for the individual expenditure category prices also depends on the kind of underlying shock that drives the changes in oil price finally our results also reveal that the manner in which changes in oil price affect each expenditure category price differs between the united states and japan and these detailed level differences may lead to aggregate level differences in the price response of both countries to changes in oil price

the effect of 107th opec ordinary meeting on oil prices and economic performances in japan abstract the aim of this paper is to show the influence of the 107th opec ordinary meeting meeting and investigates the relationships between oil prices and economic activities using an exponential generalized autoregressive conditional heteroskedasticity egarch and a vector autoregressive var model from 1991 to 2008 in japan we find that levels and volatilities of oil prices increase after the meeting we examine the effects of it on japanese economic activities employing a granger causality test and data before and after it the empirical result reveals that each price of regular gasoline and diesel has information to be useful to predict the economy after the meeting on the other hand volatilities of regular gasoline and diesel price have information to predict the inflation and economic growth before the meeting respectively after the meeting however these volatilities change to be useful to predictive both inflation and economic growth thus we conclude that the decision of meeting is related to not only the domestic oil prices but also the macroeconomy

volatility spillovers between oil prices and stock sector returns implications for portfolio management abstract in this article we take a recent generalized var garch approach to examine the extent of volatility transmission between oil and stock markets in europe and the united states at the sector level the empirical model is advantageous in that it typically allows simultaneous shock transmission in the conditional returns and volatilities insofar as volatility transmission across oil and stock sector markets is a crucial element for portfolio designs and risk management we also analyze the optimal weights and hedge ratios for oil stock portfolio holdings with respect to the results our findings point to the existence of significant volatility spillover between oil and sector stock returns however the spillover is usually unidirectional from oil markets to stock markets in europe but bidirectional in the united states our back testing procedures finally suggest that taking the cross market volatility spillovers estimated from the var garch models often leads to diversification benefits and hedging effectiveness better than those of commonly used multivariate volatility models such as the ccc garch of bollerslev 1990 the diagonal bekk garch of engle and kroner 1995 and the dcc garch of engle 2002

does high frequency crude oil futures data contain useful information for predicting volatility in the us stock market new evidence abstract this study examines whether high frequency crude oil futures data contain useful information to forecast the realized volatility rv of the us stock market from both in and out of sample perspectives there are several significant findings first from the in sample analysis crude oil futures rv exhibits a significant positive impact on the future s p 500 volatility second the out of sample results reveal that the prediction models including crude oil futures rv outperform the related competing models implying that crude oil rv is an important predictive factor for the us stock market third we further find that the primary forecasting ability of crude oil rv is reflected in high frequency information negative crude oil rv and high volatility level finally the out of sample empirical results based on different forecasting windows alternative forecast evaluation approaches subsample analysis different prediction models alternative midas lags and controlling the leverage effect are robust to our conclusions

analysing systemic risk and time frequency quantile dependence between crude oil prices and brics equity markets indices a new look abstract this paper examines the dependence structure and the systemic risk between the return series of oil prices and the brics equity market indices using the newly developed methods of the quantile coherency of barunik and kley 2015 and the nonparametric conditional value at risk causality ncovar and the ncovar granger causality tests ncovar gc of diks and wolski 2018 for the period 2001 2018 further the traditional tests of hiemstra and jones 1994 and diks panchenko 2005 are used for comparison purposes the new methods have given rise to findings that are substantially different from those based on the two traditional approaches from our frequency dependence analysis we find a significant long term dependence coherency between the russian brazilian and south african stock markets and oil shifts however the ncovar analysis demonstrates a robust instantaneous dependence in both directions between almost all of the brics stock markets the exception is the indian market and the oil market the ncovar gc analysis reveals a robust lagged dependence from the oil market onto the chinese stock market only these findings provide helpful insights for regulators and potential international investors

unemployment equilibria and input prices theory and evidence from the united states the paper develops an efficiency wage model where input prices affect the equlibrium rate of unemployment we show that a simple framework based on only two prices the real price of oil and the real rate of interest is able to explain the main post war movements in the rate of u s joblessnss the equations do well in forecasting unemployment many out of sample and provide evidence that the oil price spike associated with iraq s invasion of kuweit appears to be a component of the mystery recession which followed

an optimal ordering and issuing policy for a two stage inventory system for perishable products this paper considers the problem of ordering and issuing policies arising in controlling finite life time fresh meat carcass inventories in supermarkets a supermarket orders a product which constitutes a set of sub products of fixed proportion from a vendor at the beginning of each time cycle after it is received from the vendor the product is stored in the cool room before being issued to the display shelves the sub products then satisfy random customer demand after passing the life time sub products are salvaged in this system the sub products are issued to the display shelves according to theorder up to level policies at the beginning of every period the decisions to be taken to solve this problem are the product ordering quantity from the outside vendor and the order up to issuing quantities for each sub product the objective function to be maximized is the expected profit per unit time consisting of revenue from sales and salvage and the cost of ordering processing or issuing inventory holding emergency issuing and shortage in this paper we first develop a mathematical model describing actual operations and then simplify the sub product runout period so that optimal ordering and issuing policies are easily established we then carry out extensive numerical experiments for a case of two sub products in order to ascertain the properties and the behavior of the optimal solutions

the effects of energy price technology and disaster shocks on china s energy environment economy system abstract this paper constructs a dynamic stochastic general equilibrium dsge model to analyze the effects of energy price technology and disaster shocks on china s energy environment economy 3e system it also studies stylized facts as well as co integration and error correction dynamic analyses of this system the disaster shock is modeled as a two state markov switching process the results show that both technology and energy price shocks increase the ratio of environmental investment to gdp the improvement in technology and rising energy prices helps to reduce co2 pollution and improve economic restructuring among the three kinds of shocks technology shock is the most important the robustness of the model is tested through statistical methods

oil and the macroeconomy since world war ii all but one of the u s recessions since world war ii have been preceded typically with a lag of around three fourths of a year by a dramatic increase in the price of crude petroleum this does not mean that oil shocks caused these recessions evidence is presented however that even over the period 1948 72 this correlation is statistically significant and nonspurious supporting the proposition that oil shocks were a contributing factor in at least some of the u s recessions prior to 1972 by extension energy price increases may account for much of post opec macroeconomic performance

what do we learn from the price of crude oil futures summary despite their widespread use as predictors of the spot price of oil oil futures prices tend to be less accurate in the mean squared prediction error sense than no change forecasts this result is driven by the variability of the futures price about the spot price as captured by the oil futures spread this variability can be explained by the marginal convenience yield of oil inventories using a two country multi period general equilibrium model of the spot and futures markets for crude oil we show that increased uncertainty about future oil supply shortfalls under plausible assumptions causes the spread to decline increased uncertainty also causes precautionary demand for oil to increase resulting in an immediate increase in the real spot price thus the negative of the oil futures spread may be viewed as an indicator of fluctuations in the price of crude oil driven by precautionary demand an empirical analysis of this indicator provides evidence of how shifts in the uncertainty about future oil supply shortfalls affect the real spot price of crude oil copyright 2010 john wiley sons ltd

imposing inequality restrictions efficiency gains from economic theory abstract econometricians may feel that imposing inequality restrictions improves statistical efficiency but no real empirical evidence exists the results of a monte carlo experiment show that imposing the curvature conditions on a system of demand equations improves the mses on estimated elasticities from 3 to 50 depending on the signal to noise ratio and the sample size

oil and stock market volatility a multivariate stochastic volatility perspective abstract this paper models the volatility of stock and oil futures markets using the multivariate stochastic volatility structure in an attempt to extract information intertwined in both markets for risk prediction it offers four major findings first the stock and oil futures prices are inter related their correlation follows a time varying dynamic process and tends to increase when the markets are more volatile second conditioned on the past information the volatility in each market is very persistent i e it varies in a predictable manner third there is inter market dependence in volatility innovations that hit either market can affect the volatility in the other market in other words conditioned on the persistence and the past volatility in their respective markets the past volatility of the stock oil futures market also has predictive power over the future volatility of the oil futures stock market finally the model produces more accurate value at risk estimates than other benchmarks commonly used in the financial industry

review of inventory systems with deterioration since 2001 abstract this paper presents an up to date review of the advances made in the field of inventory control of perishable items deteriorating inventory the last extensive review on this topic dates back to 2001 goyal s k and giri b c recent trends in modeling of deteriorating inventory european journal of operational research 134 1 16 since then over two hundred articles on this subject have been published in the major journals on inventory control indicating the need for a new review we use the classification of goyal and giri based on shelf life characteristics and demand characteristics contributions are highlighted by discussing main system characteristics including price discounts backordering or lost sales single or multiple items one or two warehouses single or multi echelon average cost or discounted cash flow and payment delay

airline deregulation the cost pieces of the puzzle this paper analyzes cost changes in the u s airline industry in the pre and postderegulation era using a panel data set of airlines specifically it seeks to disentangle cost changes attributable to technical change economies of scale and density and input prices the authors estimate a purely general index of industry technical change and in turn analyze its determinants despite the slowing of productivity growth in the 1980s deregulation does appear to have stimulated technical change due to more efficient route structures copyright 1995 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

oil shocks and monetary policy rules in emerging economies we examine the effects of shocks in the oil market on key macroeconomic variables in small open economies using a dynamic stochastic general equilibrium model with sticky prices and imperfect competition under different monetary policy rules the numerical solutions show that the types of exchange rate regimes and monetary policies could partly explain the trends in macroeconomic volatilities considering negative shocks to oil supply hamilton 1983 and positive shocks to oil demand kilian 2009 these findings are confirmed in vector autoregressive responses for chile and israel with inflation targeting under flexible exchange regimes and hong kong with fixed regime

information sharing and order variability control under a generalized demand model the value of information sharing and how it could address the bullwhip effect have been the subject of studies in the literature most of these studies used different forms of demand models assuming that no order smoothing was used by the retailer and that the supplier has full knowledge of the retailer s demand model and order policy in this paper we contribute to the literature by starting with a most general demand model coupled with a smoothing policy for order variability control in addition we do not require that the supplier has full knowledge of the retailer s demand model and order policy but instead let the retailer share its projected future orders and freely revise them as the retailer sees fit under such a setting we first obtain a unifying formula for the magnitude of the bullwhip effect the formula indicates that it is the forecast correlation over the exposure period as a whole that determines the magnitude of the bullwhip effect we then quantify the value of information sharing and generalize the existing results in the literature finally we explore the optimal smoothing parameters that could benefit the total supply chain the resulting optimal policy resembles the postponement strategy we find that information sharing together with order postponement improves the supply chain performance even though the order variability may amplify in some cases

european vs u s airlines performance comparison in a dynamic market abstract this study measures and compares the efficiency and productivity of european and u s airlines over the period from 2001 to 2008 we measure efficiency by estimating a bayesian distance frontier model subject to regularity constraints productivity estimates are also derived parametrically based on the estimates of the distance frontier model we estimate both a constrained i e subject to regularity conditions and an unconstrained model and we show the importance of imposing the monotonicity and curvature conditions on the distance function the efficiency and productivity results based on the constrained model indicate that european airlines have slightly higher efficiency and productivity growth than u s airlines a comparison based on the type of airlines indicates that low cost airlines are on average more productive and efficient than full service airlines the decomposition of productivity growth and related market discussions are also provided

does the s p500 index lead the crude oil dynamics a complexity based approach abstract taking the complex property of nonlinear feedback connectivity into consideration the goal of this paper is to apprehend the interdependences between the financial and energy sectors our contribution is both theoretical and methodological we conduct a multivariate analysis employing nonlinear tools namely the partial transfer entropy and the asymmetric mackey glass causality test in particular we build a system comprising the petroleum complex crude oil gasoline and heating oil the s p500 index and the 1 month futures spot spread for crude oil by adopting a rolling window approach we observe a persistent lead lag relationship between the s p500 index and the market participants expectations for crude oil from 2004 to 2009 depending on the bubble period in the stock market it appears that the resulting coupling becomes subject to the deterioration of global economic activity induced by large common shocks

energy and economic growth in the usa a multivariate approach abstract this paper examines the causal relationship between gdp and energy use for the period 1947 90 in the usa the relationship between energy use and economic growth has been examined by both biophysical and neoclassical economists in particular several studies have tested for the presence of a causal relationship in the granger sense between energy use and economic growth however these tests do not allow a direct test of the relative explanatory powers of the neoclassical and biophysical models a multivariate adaptation of the test vector autoregression var does allow such a test a var of gdp energy use capital stock and employment is estimated and granger tests for causal relationships between the variables are carried out although there is no evidence that gross energy use granger causes gdp a measure of final energy use adjusted for changing fuel composition does granger cause gdp

does the source of oil price shocks matter for south african stock returns a structural var approach abstract in this paper we investigate the dynamic relationship between different oil price shocks and the south african stock market using a sign restriction structural var approach for the period 1973 01 to 2011 07 the results show that for an oil importing country like south africa stock returns only increase with oil prices when global economic activity improves in response to oil supply shocks and speculative demand shocks stock returns and the real price of oil move in opposite directions the analysis of the variance decomposition shows that the oil supply shock contributes more to the variability in real stock prices the main conclusion is that different oil price shocks affect stock returns differently and policy makers and investors should always consider the source of the shock before implementing a policy and making investment decisions

information distortion in a supply chain the bullwhip effect this article originally appeared in management science april 1997 volume 43 number 4 pp 546 558 published by the institute of management sciences consider a series of companies in a supply chain each of whom orders from its immediate upstream member in this setting inbound orders from a downstream member serve as a valuable informational input to upstream production and inventory decisions this paper claims that the information transferred in the form of orders tends to be distorted and can misguide upstream members in their inventory and production decisions in particular the variance of orders may be larger than that of sales and distortion tends to increase as one moves upstream a phenomenon termed bullwhip effect this paper analyzes four sources of the bullwhip effect demand signal processing rationing game order batching and price variations actions that can be taken to mitigate the detrimental impact of this distortion are also discussed

the heterogeneity dependence between crude oil price changes and industry stock market returns in china evidence from a quantile regression approach this paper explores the dependence between real crude oil price changes and chinese real industry stock market returns based on the monthly data from 1994 03 to 2014 06 we address this issue using the quantile regression approach enabling a more detailed investigation of structure and degree of dependence empirical results reveal that the reaction of market returns to crude oil is highly heterogeneous across conditional distribution of industry stock returns furthermore there is evidence that this dependence is positive and exists only in recessions or bearish markets with low expected returns the dependence at low quantiles is not limited to one market but is a common feature across industries additionally dependence also changes since the onset of structural breaks we determine that chinese industry stock and global crude oil markets have contagion in rare situations most cases do not demonstrate contagion

an allocation and distribution model for perishable products this paper presents an allocation model for a perishable product distributed from a regional center to a given set of locations with random demands we consider the combined problem of allocating the available inventory at the center while deciding how these deliveries should be performed two types of delivery patterns are analyzed the first pattern assumes that all demand points receive individual deliveries the second pattern subsumes the frequently occurring case in which deliveries are combined in multistop routes traveled by a fleet of vehicles computational experience is reported

international business cycles world region and country specific factors the paper investigates the common dynamic properties of business cycle fluctuations across countries regions and the world we employ a bayesian dynamic latent factor model to estimate common components in macroeconomic aggregates output consumption and investment in a 60 country sample covering seven regions of the world the results indicate that a common world factor is an important source of volatility for aggregates in most countries providing evidence for a world business cycle we find that region specific factors play only a minor role in explaining fluctuations in economic activity we also document similarities and differences across regions countries and aggregates jel f41 e32 c11 c32

the effects of oil price shocks on output and inflation in china crude oil price shocks derive from many sources each of which may bring about different effects on macro economy variables and require completely different designs in macro economic policy thus distinguishing the sources of oil price fluctuations is crucial when evaluating these effects this paper establishes an open economy dynamic stochastic general equilibrium dsge model with two economies china and the rest of the world to assess the effects of oil price shocks the ces production function is extended by adding oil as an input based on the model the effects of four types of oil price fluctuations are evaluated the four types of oil price shocks are supply shocks driven by political events in opec countries other oil supply shocks aggregate shocks to the demand for industrial commodities and demand shocks that are specific to the crude oil market simulation results indicate the following oil supply shocks driven by political events mainly produce short term effects on china s output and inflation while the other three shocks produce relatively long term effects in addition demand shocks that are specific to the crude oil market contribute the most to the fluctuations in china s output and inflation

order variability in perishable product supply chains abstract empirical research has shown that the degree of order variability in supply chains is significantly influenced by product and industry specific factors this paper analyzes the impact of perishability on order variability and the bullwhip effect in supply chains we decompose the ordering process of a retailer into a sales and an outdating process and quantify their short and long term variability and correlation we find differences to non perishable product supply chains driven by the impact of the inventory depletion policy stock out management and retailers service level requirement these three factors significantly affect the retailer s order variability and thus the decision making process and the profitability of the upstream supply stage for the majority of instances the perishable nature of a product results in the ordering process having a lower variability than the demand process only when inventory depletion is dominated by last in first out in high service level environments variability amplification can be observed we propose a dynamic ordering policy for the upstream supply stage taking into account negative correlation of retailer orders between periods this dynamic policy may lead to substantial performance improvements in a sensitivity analysis we investigate the impact of shelf life lead time and demand correlation

us natural gas markets how efficient are they in this communication we discuss some key features of the natural gas cash and futures markets for natural gas in the usa we also summarize some important and interesting problems in these markets for example the market does not appear to be informationally efficient throughout the usa this lack of efficiency has been addressed by the establishment of a second futures contract market there is also a very active unregulated derivatives market in which options and swaps are bought and sold although the market has changed significantly to better respond to changes in market conditions there are still problems in the way that pipeline space is allocated by pipeline companies who still own the pipe to those companies that have rights to this space there are also problems in that prices for gas and transport are not transparent to many buyers and sellers moreover there are also important idiosyncracies and industry practices that impede progress none the less the different parts of the industry with different interests and expertise and the regulatory authority continue to work at crafting rules to improve business behaviour and performance

the bullwhip effect progress trends and directions the bullwhip effect refers to the phenomenon where order variability increases as the orders move upstream in the supply chain this paper provides a review of the bullwhip literature which adopts empirical experimental and analytical methodologies early econometric evidence of bullwhip is highlighted findings from empirical and experimental research are compared with analytical and simulation results assumptions and approximations for modelling the bullwhip effect in terms of demand forecast delay replenishment policy and coordination strategy are considered we identify recent research trends and future research directions concerned with supply chain structure product type price competition and sustainability

commodity price volatility with endogenous natural resources abstract natural resource reserves are exogenous in models of small commodity exporters changes in the stock of reserves play no role in the macroeconomy including in business cycle volatility trade dynamics or exchange rate volatility we consider richer supply dynamics and model exploration and depletion we show that an endogenous supply of reserves is important for capturing the stylised facts associated with commodity price shocks including a commodity currency the crowding out of non commodity activity dutch disease and a volatile business cycle we also consider how exploration and depletion affect the ranking of optimal monetary and taxation policies when natural resource reserves are held fixed monetary policy is an efficient tool for stabilising the effects of commodity price shocks however when exploration and depletion are accounted for using interest rates to stabilise the effects of commodity price changes becomes inefficient using taxes on the resource sector specifically an ad valorem royalty remains efficient

dynamic cyclical comovements between oil prices and us gdp a wavelet perspective abstract in this paper we use wavelet analysis to investigate the cyclical comovements between crude oil prices and us gdp taking into account the decline in the volatility of us gdp growth that has occurred since the mid 1980s our main findings suggest that before 1984 q1 the crude oil prices were leading the us gdp cycle by 3 quarters and granger cause us gdp in contrast after 1984 q1 the crude oil prices were lagging the us business cycle and a reverse causality is found to run from us gdp to oil prices the multiscale granger causality tests globally corroborate theses results

historical energy price shocks and their changing effects on the economy abstract the purpose of this paper is to identify the changes in the impact of energy shocks on economic activity with an interest in assessing if an economy s vulnerability and resilience to shocks improved with economic development using data on the united kingdom over the last three hundred years the paper identifies supply aggregate demand and residual shocks to energy prices and estimates their changing influence on energy prices and gdp the results suggest that the impacts of supply shocks rose with its increasing dependence on coal and declined with its partial transition to oil however the transition from exporting coal to importing oil increased the negative impacts of demand shocks more generally the results indicate that improvements in vulnerability and resilience to shocks did not progress systematically as the economy developed instead the changes in impacts depended greatly on the circumstances related to the demand for and supply of energy sources if these experiences are transferable to future markets a transition to a diversified mix of renewable energy is likely to reduce vulnerability and increase resilience to energy price shocks

realized volatility transmission between crude oil and equity futures markets a multivariate har approach this paper differs from extant literature because it studies volatility co movements with a multivariate orthogonalized har model a flexible specification for the time series of realized volatility which is able to identify short mid and long term spillover effects we examine volatility transmission mechanisms using high frequency data of the stock index futures on s p 500 nikkei 225 ftse 100 and the futures on the west texas intermediate crude oil during the period from september 2002 to september 2012 considering the full sample the short term volatility of the equity futures contains information about future oil volatility incremental to the information inherent in the time series of oil volatility on the other hand weekly and monthly volatilities do not exhibit a significant spillover effect breaking the whole sample into three subsamples no significant granger causalities are observed in the pre crisis period while in the crisis time and its aftermath we document that the us and uk equity market volatilities to granger cause the oil futures volatility which itself leads the japanese market in terms of magnitude we observe an increase in the short term volatility spillover over time studying the residuals of the har transmission models within a ccc dcc garch framework reveals increasing instantaneous correlation between the energy and equity volatilities in the course of time

oil shocks and production network structure evidence from the oecd abstract does the production network structure matter for the transmission of oil shocks using a bayesian time varying var the paper derives the impact of oil shocks on gdp for a set of oecd economies it further estimates various measures to characterize the production network structure based on input output matrices when the relationship between the time varying responses of gdp to oil demand and oil supply shocks and production network characteristics is analyzed the paper finds that measures like skewness in the in degrees and in the out degrees or density tend to amplify the negative impact of oil shocks on gdp the results here are in line with the recent literature that outlines the importance of network structures for aggregate dynamics

a wavelet analysis of mean and volatility spillovers between oil and brics stock markets this paper investigates the spillover effects of volatility and shocks between oil prices and the brics stock markets using multivariate approach and wavelet analysis at different time horizons hence we combine a multivariate arma garch model and wavelet multiresolution analysis to study this phenomenon a bivariate arma 1 1 garch 1 1 cdcc student t model was joined with modwt filter to capture a broad range of possible spillover effects in mean and variances of level prices at various time horizons generally empirical results provide strong evidence of time varying volatility in all markets under study however our proposed approach shows that oil price and stock market prices are directly affected by their own news and volatilities and indirectly affected by the volatilities of other prices and wavelet scale the results show also that mean and volatility spillover effects was decomposed into many sub spillovers on different time scales according to heterogeneous investors and market participants the practical implications of this study are critical innovative and useful for the local and international investors and also for the portfolio managers they can utilize this study to formulate the optimal oil bricks stock portfolios as well as lead to more accurate predictions of volatility spillovers patterns also in developing their hedging strategies

oil price shocks and stock markets in the u s and 13 european countries abstract oil price shocks have a statistically significant impact on real stock returns contemporaneously and or within the following month in the u s and 13 european countries over 1986 1 2005 12 norway as an oil exporter shows a statistically significantly positive response of real stock returns to an oil price increase the median result from variance decomposition analysis is that oil price shocks account for a statistically significant 6 of the volatility in real stock returns for many european countries but not for the u s increased volatility of oil prices significantly depresses real stock returns the contribution of oil price shocks to variability in real stock returns in the u s and most other countries is greater than that of interest rate an increase in real oil price is associated with a significant increase in the short term interest rate in the u s and eight out of 13 european countries within one or two months counter to findings for the u s and for norway there is little evidence of asymmetric effects on real stock returns of positive and negative oil price shocks for oil importing european countries

an empirical analysis of the relationship between oil prices and the chinese macro economy using the quarterly data from the first quarter of 1996 to the fourth quarter of 2014 this paper studies the relationship between oil prices and the chinese macro economy we find output and interest rate respond significantly to oil price shocks further analysis reveals that the positive response of output to oil price shocks is attributed to the influences of oil price shocks on exports the oil price shocks have both longer and deeper effects on the exports of state owned enterprises than on those of foreign investment enterprises moreover the response of exports to oil price shocks is symmetric finally oil prices are found to be useful for forecasting the china s exports in the periods shorter than about two years

two stage perishable inventory models in this paper we consider perishable inventory systems with two types of demand demand may be for either fresh items or for somewhat older items we model the system with two inventory stages the first stage holds fresh items and the second stage holds the older items we approximate the performance of the two stage inventory system and compare two managerial policies

information transmission and the bullwhip effect an empirical investigation the bullwhip effect is the amplification of demand variability along a supply chain a company bullwhips if it purchases from suppliers more variably than it sells to customers such bullwhips amplifications of demand variability can lead to mismatches between demand and production and hence to lower supply chain efficiency we investigate the bullwhip effect in a sample of 4 689 public u s companies over 1974 2008 overall about two thirds of firms bullwhip the sample s mean and median bullwhips both significantly positive respectively measure 15 8 and 6 7 of total demand variability put another way the mean quarterly standard deviation of upstream orders exceeds that of demand by 20 million we decompose the bullwhip by information transmission lead time estimating the bullwhip s information lead time components with a two stage estimator we find that demand signals firms observe with more than three quarters notice drive 30 of the bullwhip and those firms observe with less than one quarter s notice drive 51 from 1974 1994 to 1995 2008 our sample s mean bullwhip dropped by a third this paper was accepted by christian terwiesch operations management

oil and the macroeconomy since the 1970s economists have long been intrigued by empirical evidence that suggests that oil price shocks may be closely related to macroeconomic performance this interest dates back to the 1970s the 1970s were a period of growing dependence on imported oil unprecedented disruptions in the global oil market and poor macroeconomic performance in the united states thus it was natural to suspect a causal relationship from oil prices to u s macroeconomic aggregates since then a large body of work has accumulated that purports to establish this link on theoretical grounds and to provide empirical evidence in its support we do not attempt a comprehensive survey of this literature but rather provide an idiosyncratic synthesis of what we view as the key issues in this debate and the insights gained over the last 30 years the timing seems right for such an account although the experience of the 1970s continues to play an important role in discussions of the link between oil and the macroeconomy there have been a number of new oil price shocks since the 1970s notably the 1986 collapse of oil prices and the 2000 boom in oil prices as well as the oil price increases associated with the 1990 1991 gulf war and the 2003 iraq war given this richer case history we are arguably in a better position than two decades ago to distinguish the idiosyncratic features of each oil crisis from the systematic effects increases in oil prices have been held responsible for recessions periods of excessive inflation reduced productivity and lower economic growth in this paper we review the arguments supporting such views first we highlight some of the conceptual difficulties in assigning a central role to oil price shocks in explaining

oil price shocks and china s economy reactions of the monetary policy to oil price shocks abstract the paper empirically analyzes the effect of positive oil price shocks on china s economy having special interest in the response of the chinese interest rate to those shocks using different econometric models i a time varying parameter structural vector autoregression tvp svar model with short run identifying restrictions ii a structural var svar model with the short run identifying restrictions and iii a var model with ordering free generalized impulse response var gir var we find that the response of the chinese interest rate to the oil price shocks is not only time varying but also showing quite different signs of responses specifically in the earlier sample period 1992 4 2001 10 the interest rate shows a negative response to the oil price shock while in the latter period 2001 11 2014 5 it shows a positive response to the shock given the negative response of the world oil production to an oil price shock in the earlier period the shock is identified as a negative supply shock or a precautionary demand shock as suggested by kilian 2009 thereby the negative response of the interest rate to the oil price shock is deemed as economy boosting the positive response of the interest rate to the oil price shock in the later period given that this shock is identified as a positive world oil demand shock gives evidence that stabilization of inflation is one of the main objectives of china s monetary authority even though the current main objective of the monetary policy is characterized as maintaining the stability of the value of the currency and thereby promoting economic growth finally the variance decomposition results reveal that the oil price shock becomes an increasingly important source in the volatility of china s interest rate

unbiasedness and time varying risk premia in the crude oil futures market abstract this paper presents some empirical evidence on market efficiency and unbiasedness in the crude oil futures market and some related issues on the basis of monthly observations on spot and futures prices of the west texas intermediate wti crude oil several tests are carried out on the relevant hypotheses the evidence suggests that futures prices are neither unbiased nor efficient forecasters of spot prices furthermore a garch m 1 1 model reveals the existence of a time varying risk premium

trends in world energy prices the correct identification of the time series path of non renewable energy resources has far reaching consequences for economists and policymakers alike this study builds on the existing literature by employing a data series that includes a sample period of institutional change and recently developed unit root testing procedures besides crude oil natural gas and coal prices are also examined aiming to further the knowledge of non renewable energy resource time paths in order to inform future research and update the conclusions of past studies the unit root tests allow for structural breaks and are based on the procedures developed by zivot and andrews 1992 lumsdaine and papell 1997 and lee and strazicich 2003 finally we investigate whether the trend changes signs in the regimes which are bounded by the structural breaks and quantify the prevalence of the trends over the sample period considered the results show that the trend is not well represented by a single positive or negative trend the variability of the trend suggests that forecasting energy prices should not typically occur about a single trend

self fulfilling expectations and the inflation of the 1970s evidence from the livingston survey abstract using survey data on expectations we examine whether the response of monetary policy to sudden movements in expected inflation contributed to the persistent high inflation of the 1970s the evidence suggests that prior to 1979 the fed accommodated temporary shocks to expected inflation which then led to persistent increases in actual inflation we do not find this behavior in the post 1979 data among commonly cited factors oil and fiscal shocks do not appear to have triggered an increase in expected inflation that eventually resulted in higher actual inflation

asset prices and expected monetary policy evidence from daily data this article explores the relationships among libor gold prices the exchange rate oil prices fed funds futures prices and stock prices at a daily frequency this article examines whether expected monetary policy measured by changes in the prices of fed funds futures contracts reacts to high frequency changes in asset prices and in turn whether asset prices respond to changes in expected monetary policy the article reveals that there are statistically significant relationships between expected us monetary policy and shocks to libor and exchange rates it also reveals that there is no evidence of a systematic relationship between stock prices and expected monetary policy changes splitting the data into expansionary and recessionary periods using nber dating we find results for the expansionary periods that are very similar to the results for the entire period for the periods of recession we find little evidence of significant linkages between markets

exogenous oil supply shocks how big are they and how much do they matter for the u s economy abstract the paper proposes a new measure of exogenous oil supply shocks the timing the magnitude and the sign of this measure may differ greatly from current state of the art estimates it is shown that only a small fraction of the observed oil price increases during oil crisis periods can be attributed to exogenous oil production disruptions exogenous oil supply shocks cause a sharp drop of u s real gdp growth after five quarters rather than an immediate and sustained reduction in economic growth and a spike in cpi inflation after three quarters overall exogenous oil supply shocks made remarkably little difference for the evolution of the u s economy since the 1970s although they did matter for some historical episodes

impact of oil price shocks on output inflation and the real exchange rate evidence from selected asean countries this article analyses the impact of oil price shocks on real output inflation and the real exchange rate in thailand malaysia singapore the philippines and indonesia asean 5 using a structural var model the cointegration tests indicate that the macroeconomic variables of these countries are cointegrated and share common trends in the long run the impulse response functions reveal that oil price fluctuations do not impact the asean 5 economies in the long run and much of its effect is absorbed within five to six quarters the variance decomposition results further assert that with a few exceptions oil price shocks do not explain a significant variation in any of the variables under consideration we also identify a very unique pattern of response to oil price fluctuations between malaysia and singapore and between the philippines and thailand the pairs exhibit a high degree of similarity in their responses they do not share any commonalities across the group

oil prices and economic downturns the case of spain abstractwe address the macroeconomic effects of an oil price shock in spain we apply a vector autoregression model var analysis to quarterly data for the spanish economy since 1986 to elucidate the effects of variations in the oil price on the economy considering the three main causes of disruptions in the oil markets oil supply shocks oil demand shocks and oil specific precautionary demand shocks we conclude that the effects in spain strongly depend on the type of shock the consumer price index cpi has mainly been influenced by oil demand shocks output has only reacted to oil supply shocks and monetary policy has mainly reacted after precautionary shocks second round effects caused by the behaviour of nominal wages have not been found additionally we discuss two facts the ability of firms to increase markups in a context of rising demand and the procyclical role of monetary policy when faced with oil demand shocks

the cyclical behavior of monthly nymex energy prices abstract this paper systematically investigates the basic stylized facts of energy price movements using monthly data for the period that energy has been traded on organized exchanges and the methodology suggested by kydland and prescott kydland f e prescott e c 1990 business cycles real facts and a monetary myth fed reserve bank minneapolis q rev spring 3 18 the results indicate that energy prices are in general procyclical in contrast to the accepted fact that energy prices are countercyclical and leading the cycle

how larger demand variability may lead to lower costs in the newsvendor problem in this paper we consider the newsvendor problem intuition may lead to the hypothesis that in this stochastic inventory problem a higher demand variability results in larger variances and in higher costs in a recent paper song 1994a has proved that the intuition is correct for many demand distributions that are commonly used in practice such as for the normal distribution function however this paper shows that there exist demand distributions for which the intuition is misleading i e for which larger variances occur in combination with lower costs to characterize these demand distributions we use stochastic dominance relations

the 2014 oil bust causes and consequences abstract this article suggests that the 2014 oil price collapse was possibly triggered by the falling euro versus the us dollar specifically the usd eur exchange rate likely adjusted to the sudden economic growth outlook divergence between the us and the eu as evident by the relative short term interest rate spread measures and triggered a strong dollar trade which is negative for the crude oil prices thus in our view the 2014 oil price bust is another episode of oil price inefficiency similar to the 2008 oil bubble the key argument presented in this article is that as long as there are temporary economic growth divergences between the us and the eu the resulting exchange rate volatility is likely to create the pricing inefficiencies in crude oil which in fact are mean reverting as the economic growth divergences eventually dissipate

rational expectations risk and efficiency in energy futures markets abstract conditional on the hypothesis that energy futures markets are efficient or rational this paper uses fama s 3 regression approach to measure the information in energy futures prices about future spot prices and time varying premiums the paper finds that the premium and expected future spot price components of energy futures prices are negatively correlated and that most of the variation in futures prices is variation in expected premiums

bullwhip effect measurement and its implications the bullwhip effect or demand information distortion has been a subject of both theoretical and empirical studies in the operations management literature in this paper we develop a simple set of formulas that describe the traditional bullwhip measure as a combined outcome of several important drivers such as finite capacity batch ordering and seasonality our modeling framework is descriptive in nature as it features certain plausible approximations that are commonly employed in practical inventory systems the results are nonetheless compelling and can be used to explain various conflicting observations in previous empirical studies building on the theoretical framework we discuss the managerial implications of the bullwhip measurement we show that the measurement can be completely noninformative about the underlying supply chain cost performance if it is not linked to the operational details such as decision intervals and leadtimes specifically we show that an aggregated measurement over relatively long time periods can mask the operational level bullwhip in addition we show that masking also exists under product or location aggregation in some illustrative cases

unit root properties of crude oil spot and futures prices in this article we examine whether wti and brent crude oil spot and futures prices at 1 3 and 6 months to maturity contain a unit root with one and two structural breaks employing weekly data over the period 1991 2004 to realise this objective we employ lagrange multiplier lm unit root tests with one and two endogenous structural breaks proposed by lee and strazicich 2003 minimum lagrange multiplier unit root test with two structural breaks review of economics and statistics 85 1082 1089 2004 minimum lm unit root test with one structural break working paper no 04 17 department of economics appalachian state university we find that each of the oil price series can be characterised as a random walk process and that the endogenous structural breaks are significant and meaningful in terms of events that have impacted on world oil markets

commodity prices and fiscal policy design procyclical despite a rule recent studies offer evidence of reduced fiscal procyclicality to commodity price changes in resource rich countries a feature commonly attributed to the adoption of fiscal policy rules we revisit this issue and find that by controlling for global activity shocks while allowing for time varying changes in both fiscal policy and the volatility of shocks this finding does not hold to show this we develop a time varying dynamic factor model allowing for a multiple of shocks stochastic volatility and time varying parameters and estimate it on data for norway whose handling of resource wealth is often cited as exemplary

testing the efficiency of the futures market for crude oil in the presence of a structural break the efficiency of the futures market for crude oil has been the subject of significant study with the basis regression representing a popular methodology however the parameters of this model are subject to a structural break casting doubt on any conclusion regarding the efficiency of the futures market to address this problem this article employs a simple generalization which is capable of testing the efficiency of a futures market in the presence of a structural break using this approach strong evidence of inefficiency is found in the one month futures contract for west texas intermediate for the period between 1985 and 2013 which is otherwise not detected

the causal nexus between oil prices and equity market in the u s a regime switching model abstract the aim of this paper is to analyse the causal link between monthly oil futures price changes and a sub grouping of s p 500 stock index changes the causal linkage between oil and stock markets is modelled using a vector autoregressive model with time varying parameters so as to reflect changes in granger causality over time a markov switching vector autoregressive ms var model in which causal link between the series is stochastic and governed by an unobservable markov chain is used for inferring time varying causality although we do not find any lead lag type granger causality the results based on the ms var model clearly show that oil futures price has strong regime prediction power for a sub grouping of s p 500 stock index during various sub periods in the sample while there is a weak evidence for the regime prediction power of a sub grouping of s p 500 stock indexes the regime prediction non causality tests on the ms var model show that both variables are useful for making inference about the regime process and that the evidence on regime prediction causality is primarily found in the equation describing a sub grouping of s p 500 stock market returns the evidence from the conditional non causality tests shows that past information on the other series fails to improve the one step ahead prediction for both oil futures and stock returns

productivity growth and firm ownership an analytical and empirical investigation we focus on the effect of state versus private ownership on the rates of firm specific productivity growth and cost decline by developing a model of endogenous firm specific productivity growth and testing its implications against panel data on 23 international airlines of varying levels of state ownership over the period 1973 83 our model and empirical results show that state ownership can lower the long run annual rate of productivity growth or cost decline but not necessarily their levels in the short run observed level differences in productive efficiency across private and state owned firms may thus be a function of the age distribution of the firms being compared these results appear to be independent of whether the firms operate under apparently more or less competitive or regulated markets and whether they differ in production scales the analysis offers new insights concerning the recent trend toward privatizing state owned enterprises that has been observed in many countries

efficiency technical change and returns to scale in large us banks panel data evidence from an output distance function satisfying theoretical regularity abstract this paper provides parametric estimates of technical change efficiency change economies of scale and total factor productivity growth for large banks those with assets in excess of 1 billion in the united states over the period from 2000 to 2005 this is done by estimating an output distance function subject to theoretical regularity within a bayesian framework we find that failure to incorporate theoretical regularity conditions results in mismeasured shadow revenue and or cost shares which in turn leads to perverse conclusions regarding productivity growth our results from the regularity constrained model show that total factor productivity of the large us banks grew at an average rate of 1 98 over the sample period however our estimates also show a clear downward trend in the growth rate of total factor productivity and our decomposition of the primal divisia total factor productivity growth index into its three components technical change efficiency change and economies of scale indicates that technical change is the driving force behind this decline

expectations learning and the changing relationship between oil prices and the macroeconomy this paper estimates a structural general equilibrium model to investigate the changing relationship between the oil price and macroeconomic variables the oil price through the role of oil in production and consumption affects aggregate demand and supply in the model the assumption of rational expectations is relaxed in favor of learning oil prices therefore affect the economy through an additional channel i e through their effect on the formation of agents beliefs the estimated learning dynamics indicates that economic agents perceptions about the effects of oil prices on the economy have changed over time oil prices were perceived to have large effects on output and inflation in the 1970s but only milder effects after the mid 1980s since expectations play a large role in the determination of output and inflation the effects of oil price increases on expectations can magnify the response of macroeconomic variables to oil price shocks in the estimated model in fact the implied responses of output and inflation to oil price shocks were much more pronounced in the 1970s than in 2008 therefore through the time variation in the impact of oil prices on beliefs the paper can successfully explain the observed weakening of the effects of oil price shocks on real activity and inflation