macroeconomic impacts of oil price shocks in asian economies abstract this paper analyzes the macroeconomic impact of structural oil shocks in four of the top oil consuming asian economies using a var model we identify three different structural oil shocks via sign restrictions an oil supply shock an oil demand shock driven by global economic activity and an oil specific demand shock the main results suggest that economic activity and prices respond very differently to oil price shocks depending on their types in particular an oil supply shock has a limited impact while a demand shock driven by global economic activity has a significant positive effect in all four asian countries examined our finding also includes that policy tools such as interest rates and exchange rates help mitigating the effects of supply shocks in japan and korea however they can be more actively used in response to demands shocks

a time varying copula approach to oil and stock market dependence the case of transition economies abstract we employ the time varying copula approach to investigate the conditional dependence between the brent crude oil price and stock markets in the central and eastern european cee transition economies our results show evidence of a positive dependence between the oil and the stock markets of the six cee countries which is indicative of a contagion between those markets regardless of the changes in the oil price or the cee stock index moreover the dependence patterns in both the center and left tails of the return distributions change over time particularly during the heart of the financial crisis and are best described by the survival gumbel copulas the empirical evidence also suggests that the lower tail dependence is much stronger than that of the upper tail highlighting the importance of contagion during severe contractionary business cycles among the sample markets poland is shown to be particularly sensitive in this regard while hungary and slovenia are the least sensitive

co movement of international crude oil price and indian stock market evidences from nonlinear cointegration tests this article explores nonlinear cointegration between international crude oil price and indian stock market in a multivariate framework for the period january 2 2003 to july 29 2011 by threshold cointegration tests which determine the structural breaks endogenously the tests reject any long run equilibrium relationship among the variables for the entire data span in order to get better insight threshold cointegration tests have been applied on three sub phases prior phase i and post phase iii to most volatile phase phase ii spanning from july 2 2007 to dec 29 2008 the tests suggest existence of cointegration in phase iii only toda yamamoto version of granger causality tests reveals that movements of international crude oil price have impact on indian stock market in phases ii and iii with no feedback effect the findings also suggest that global crude oil price is exogenously determined

oil prices and the stock prices of alternative energy companies energy security issues coupled with increased concern over the natural environment are driving factors behind oil price movements while it is widely accepted that rising oil prices are good for the financial performance of alternative energy companies there has been relatively little statistical work done to measure just how sensitive the financial performance of alternative energy companies are to changes in oil prices in this paper a four variable vector autoregression model is developed and estimated in order to investigate the empirical relationship between alternative energy stock prices technology stock prices oil prices and interest rates our results show technology stock prices and oil prices each individually granger cause the stock prices of alternative energy companies simulation results show that a shock to technology stock prices has a larger impact on alternative energy stock prices than does a shock to oil prices these results should be of use to investors managers and policy makers

incorporating technology buying behaviour into uk based long term domestic stock energy models to provide improved policy analysis the uk has a target for an 80 reduction in co2 emissions by 2050 from a 1990 base domestic energy use accounts for around 30 of total emissions this paper presents a comprehensive review of existing models and modelling techniques and indicates how they might be improved by considering individual buying behaviour macro top down and micro bottom up models have been reviewed and analysed it is found that bottom up models can project technology diffusion due to their higher resolution the weakness of existing bottom up models at capturing individual green technology buying behaviour has been identified consequently markov chains neural networks and agent based modelling are proposed as possible methods to incorporate buying behaviour within a domestic energy forecast model among the three methods agent based models are found to be the most promising although a successful agent approach requires large amounts of input data a prototype agent based model has been developed and tested which demonstrates the feasibility of an agent approach this model shows that an agent based approach is promising as a means to predict the effectiveness of various policy measures

impacts of oil implied volatility shocks on stock implied volatility in china empirical evidence from a quantile regression approach abstract this paper investigates the impacts of changes in the implied volatility index of the oil market ovx on the changes in the implied volatility index of the chinese stock market vxfxi a quantile regression approach is applied to our empirical analysis as this approach can perform a more detailed investigation under different market conditions moreover we test whether the vxfxi changes would respond with lags and asymmetry to the ovx changes our empirical results show that the impacts of the ovx changes on the vxfxi changes are positive and tend to be stronger in bearish markets furthermore the results of testing lagged effects reveal that strong linkages between the two variables are transient in different market conditions which don t support the gradual information diffusion hypothesis very well finally we find that the ovx changes can asymmetrically affect the vxfxi changes specifically the negative ovx changes have stronger effects under bullish market conditions while the positive ovx changes play a more important role during bearish periods

the effects of oil price uncertainty on global real economic activity this paper investigates the effect of oil price uncertainty on global real economic activity using a quarterly vector autoregressive model with stochastic volatility in mean stochastic volatility allows oil price uncertainty to vary separately from changes in the level of oil prices and allows one to incorporate an extraneous indicator of oil price uncertainty such as realized volatility that greatly improves the precision of the estimated uncertainty series the estimation results show that an oil price uncertainty shock has negative effects on world industrial production all else equal for example it is shown that a doubling of oil price volatility is associated with a cumulative decline as high as 0 3 percentage points in world industrial production

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

the structure and degree of dependence a quantile regression approach abstract the copula function defines the degree of dependence and the structure of dependence this paper proposes an alternative framework to decompose the dependence using quantile regression we demonstrate that the methodology provides a detailed picture of dependence including asymmetric and non linear relationships in addition changes in the degree or structure of dependence can be modeled and tested for each quantile of the distribution the empirical part applies the framework to three different sets of financial time series and demonstrates substantial differences in dependence patterns among asset classes and through time the analysis of 54 global equity markets shows that detailed information about the structure of dependence is crucial to adequately assess the benefits of diversification in normal times and crisis times

will domestic consumers take up the renewable heat incentive an analysis of the barriers to heat pump adoption using agent based modelling abstract the uk government introduced the tariff based domestic renewable heat incentive rhi in april 2014 to encourage installation of renewable heat technologies as a key component of its carbon reduction policy of these heat pumps are considered to be the most promising for widespread adoption and as such are the subject of this paper pilot studies prior to introduction of the policy identified non financial barriers to uptake such as the hassle factor involved and initial figures indeed indicate that uptake is lower than expected we analyse these non financial barriers using an agent based model and conclude that there is a tipping point beyond which adoption is likely to fall very sharply we suggest that the rhi s complex and stringent compliance requirements for home inspections and heat emitter performance may well have driven adoption past this point and that further intervention may be required if the key aims of the rhi are to be achieved

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

exploring domestic micro cogeneration in the netherlands an agent based demand model for technology diffusion abstract micro cogeneration micro chp is a new technology at the household level producing electricity in cogeneration with domestic heating thereby increasing the overall efficiency of domestic energy production we have developed a prototypical agent based simulation model for energy technologies competing for demand at the consumer level the model is specifically geared towards the competition between micro chp and incumbent condensing boilers in the model both technologies compete on purchase price and costs of usage to which various types of consumers decide on the installation of either technology simulations with various gas and electricity prices show that micro chp diffusion could be seriously inhibited if demand for natural gas decreases e g due to insulation measures further simulations explore various subsidy schemes a subsidy for purchase is only found to be effective within a limited range of 1400 3250 a subsidy based on decreasing price difference between the competing technologies is much more cost effective than fixed purchase subsidies simulations of a subsidy scheme for usage show that a fast market penetration can be reached but this does not yet take full advantage of technological progress in terms of decreasing co2 emissions selection of the most effective scheme thus depends on the policy criteria assumed

oil price pass through into inflation abstract this paper uses data from 19 industrialized countries to investigate oil price pass through into inflation across countries and over time a time varying pass through coefficient is estimated and the determinants of the recent declining effects of oil shocks on inflation are investigated the appreciation of the domestic currency a more active monetary policy in response to inflation and a higher degree of trade openness are found to explain the decline in oil price pass through

oil price shocks and stock market returns evidence for some european countries abstract in this paper we examine the impact of oil price shocks on stock returns in 12 oil importing european economies using vector autoregressive var and vector error correction models vecm for the period 1973 02 2011 12 we propose an alternative oil price shock specification that takes into account both world oil production and world oil prices in order to disentangle oil supply and oil demand shocks we find that the response of the european real stock returns to an oil price shock may differ greatly depending on the underlying causes of the oil price change the results suggest the existence of a negative and significant impact of oil price changes on most european stock market returns furthermore we find that stock market returns are mostly driven by oil supply shocks

an analysis of uk policies for domestic energy reduction using an agent based tool this paper introduces a new agent based model which incorporates the actions of individual homeowners in a long term domestic stock model and details how it was applied in energy policy analysis the results indicate that current policies are likely to fall significantly short of the 80 target and suggest that current subsidy levels need re examining in the model current subsidy levels appear to offer too much support to some technologies which in turn leads to the suppression of other technologies that have a greater energy saving potential the model can be used by policy makers to develop further scenarios to find alternative more effective sets of policy measures the model is currently limited to the owner occupied stock in england although it can be expanded subject to the availability of data

evaluating the influence of increasing block tariffs in residential gas sector using agent based computational economics abstract designing a desirable increasing block tariff for the residential gas retail market has been a challenging task for regulated utilities especially in china to deal with such problems in this paper we establish an agent based computational economics system to provide a formal evaluation of the direct and indirect influences of several issued increasing block tariffs in the residential gas market moreover a comprehensive demand response behaviour model has been improved in term of price elasticity while still coping with income levels and complex social environment we also compute and compare the outcomes of several increasing block tariffs with the initial flat tariff by running the system on a test case using real world data from a middle scale gas retail market in wuhan the results indicate that there is an appropriate increasing block gas tariff scheme that has greater ability to improve social equity while still ensuring operator revenue and promoting gas conservation in order to offset the limitations of the proposed increasing block tariffs the regulator should adopt some complementary measures such as applying appropriate policies targeting the intended consumers and allowing large families to obtain extra allowance of volume

relationships between oil price shocks and stock market an empirical analysis from china this paper investigates the interactive relationships between oil price shocks and chinese stock market using multivariate vector auto regression oil price shocks do not show statistically significant impact on the real stock returns of most chinese stock market indices except for manufacturing index and some oil companies some important oil price shocks depress oil company stock prices increase in oil volatility may increase the speculations in mining index and petrochemicals index which raise their stock returns both the world oil price shocks and china oil price shocks can explain much more than interest rates for manufacturing index

an integrated supply demand model for the optimization of energy flow in the urban system this research aims to develop a bottom up integrated supply demand model to assess the optimal performance of urban energy systems to this end an optimization model founded on the principles of microeconomics was developed and deployed using mathematical programming in this model the urban energy system is treated as an economic actor in the market seeking to establish an effective energy system to improve its overall resource efficiency with minimum total cost of the system the model leads the system to achieve supply and demand energy commitments which include alternative energy and energy efficiency targets in this paper we apply the model to address the electricity deficiency in delhi india as a case study the results suggest that the saving at the end user level could reach about 220 gwh per annum in the near future through improving energy end use efficiency in the domestic sector besides this the installation of about 40 mw from waste to electricity plants and generating approximately 210 gwh electricity from the rooftop solar pv by 2030 could enable a sufficient surplus for the power supply sector to meet the city s electricity demand in the near future even though the system has some inherent limitations stemming from the assumptions of microeconomics and challenges related to data needs the model can help the local actors from governments to property owners to find the best solutions for their energy needs such a modeling framework could address an organization s sustainable performance at the urban level through the resource use optimization minimization of waste cleaner technologies and pollution limits which are used in achieving co benefits and a broad range of eco industrial development eid goals

oil shocks and their impact on energy related stocks in china abstract this paper contributes to the current literature by adopting time varying conditional correlation and asset pricing models to discover how the dynamics of international oil prices affect energy related stock returns in china after conditioning for structural instability the results show a much stronger relation following the 2008 financial crisis we argue that this reflects the fact that investors in the chinese stock market especially for energy related stocks are more sensitive to the shocks in international crude oil market

do hypothetical and actual marginal willingness to pay differ in choice experiments application to the valuation of the environment abstract in this paper we test the validity of choice experiments with donations for environmental projects in particular we test whether or not there are differences in preferences between a hypothetical and an actual choice experiment our experiments indicate no differences in addition internal tests of validity indicate transitive and stable preferences in both experiments although there are some indications of possible learning effects during the experiment

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

external costs of energy do the answers match the questions looking back at 10 years of externe abstract while the claim for getting prices right is quite popular in conceptual policy papers the implementation of appropriate internalisation strategies is still hampered by a lack of reliable external cost data great expectations were set into the externe project a major research programme launched by the european commission at the beginning of the 1990s to provide a scientific basis for the quantification of energy related externalities and to give guidance supporting the design of internalisation measures after more than a decade of research the externe label became a well recognised standard source for external cost data looking back into the externe history the paper pursues how emerging new scientific insights and changing background assumptions affected external cost estimates and related recommendations to policy over time based on externe results the usefulness and inherent limitations of external cost estimates for impact categories like climate change or nuclear waste disposal is discussed the paper also gives examples on how external costs in spite of remaining uncertainties are successfully used to support environmental policy

do structural oil market shocks affect stock prices abstract this paper investigates how explicit structural shocks that characterize the endogenous character of oil price changes affect stock market returns in a sample of eight countries australia canada france germany italy japan the united kingdom and the united states for each country the analysis proceeds in two steps first modifying the procedure of kilian kilian l forthcoming not all oil price shocks are alike disentangling demand and supply shocks in the crude oil market american economic review we employ a vector error correction or vector autoregressive model to decompose oil price changes into three components oil supply shocks global aggregate demand shocks and global oil demand shocks the last component relates to specific idiosyncratic features of the oil market such as changes in the precautionary demand concerning the uncertainty about the availability of future oil supplies second recovering the oil supply shocks global aggregate demand shocks and global oil demand shocks from the first analysis we then employ a vector autoregressive model to determine the effects of these structural shocks on the stock market returns in our sample of eight countries we find that international stock market returns do not respond in a large way to oil market shocks that is the significant effects that exist prove small in magnitude

oil volatility shocks and the stock markets of oil importing mena economies a tale from the financial crisis abstract the role of oil price volatility in predicting the stock market volatility of small oil importing countries that have a substantial number of investors from neighboring oil exporting countries remains unexplored to refine our basic understanding of this role this paper proposes a methodological extension of the recently developed causality in variance procedure and considers the case of lebanon and jordan these two heavy importers of oil are interesting in the sense that they are located in a region with a large number of rich oil exporting countries so their stock markets are tied to oil exporters by way of foreign investors the conditional mean and variance of returns are modeled within an armax garch framework that accommodates three salient features of the data namely autocorrelation day of the week effects and movements in international markets for comparison purposes the stock markets of morocco and tunisia are also included in the study empirical analyses highlight the dynamic effects of the global financial crisis on the volatility spillovers between oil and the stock markets of oil importing countries and provide more insights into the seemingly contradictory effects of being oil importers while having investors from oil exporting countries the main results indicate that the volatility spillover is much more apparent from the world oil market to the stock market of jordan than the other way around whereas oil volatility is not a good predictor of lebanese stock market volatility finally policy practical implications and conclusions for future research are drawn