a semiparametric approach to short term oil price forecasting abstract in this paper it is shown how the garch properties of oil price changes can be employed to forecast the oil price distribution over short term horizons the forecasting methodology is semiparametric and it is based on the bootstrap approach the results of an out of sample forecasting exercise carried out using the brent oil price series suggest that the forecasting approach can be used to obtain a performance measure for the forward price in addition to compute interval forecasts for the oil price

effects of speculation and interest rates in a carry trade model of commodity prices abstract the paper presents and estimates a model of the prices of oil and other storable commodities a model that can be characterized as reflecting the carry trade it focuses on speculative factors here defined as the trade off between interest rates on the one hand and market participants expectations of future price changes on the other hand it goes beyond past research by bringing to bear new data sources survey data to measure expectations of future changes in commodity prices and options data to measure perceptions of risk some evidence is found of a negative effect of interest rates on the demand for inventories and thereby on commodity prices and positive effects of expected future price gains on inventory demand and thereby on today s commodity prices

conditional dependence structure between oil prices and exchange rates a copula garch approach abstract we study the conditional dependence structure between crude oil prices and u s dollar exchange rates using a copula garch approach various copula functions of the elliptical archimedean and quadratic families are used to model the underlying dependence structure in both bearish and bullish market phases over the 2000 2011 period we find evidence of significant and symmetric dependence for almost all the oil exchange rate pairs considered the rise in the price of oil is found to be associated with the depreciation of the dollar moreover we show that student t copulas best capture the extreme dependence and that taking the extreme comovement into account leads to improve the accuracy of var forecasts our main results remain unchanged when considering alternative garch type specifications and the crisis period but are sensitive to the use of raw returns

robust tests for unit roots in the foreign exchange market abstract empirical studies that have tested for unit roots in foreign exchange rate data have assumed independent and identically distributed errors in order to apply dickey fuller test procedures this assumption ignores the temporal dependence of the error sequence present in many simple efficient market tests as discussed in hansen and hodrick 1980 as well as krasker 1980 in this paper we apply unit root test statistics that allow for heterogeneously distributed and mildly dependent error processes and thus provide superior tests of the unit root hypothesis in the case of foreign exchange rates

testing for the absence of expected real profits from forward market speculation abstract this paper tests for the absence of expected real profits from forward market speculation it contrasts with the literature that has considered opportunities for expected nominal profit from speculation that is profits denominated in one of the currencies these studies assume money illusion on the part of market participants but this paper does not empirical results fail to find evidence of unexploited real profit opportunities

equilibrium valuation of natural resources the purpose of this paper is to provide a theoretical investigation of equilibrium spot and futures price behavior in a nonrenewable commodity market the underlying commodity is nonrenewable in the sense that the reserve level of the commodity is expected to decline over time in the absence of successful discoveries of additional reserves i wish to understand how the nonrenewable nature of the commodity influences the intertemporal extraction of the commodity equilibrium spot price behavior and the prices of derivative assets traded on the nonrenewable commodity there is considerable disagreement among economists whether resources are exhaustible in the sense of resource constraints becoming binding on our society in the foreseeable future some economists have argued that natural resources are being depleted at

endogenous efficiency gains from mergers this article analyzes endogenous efficiency gains from mergers it considers oligopolistic homogeneous good markets and duopolistic and triopolistic markets under product differentiation pd quantity and price competition in a two stage game firms invest in cost reducing innovation with and without mergers and then compete in output prices it is found that in homogeneous good markets all possible mergers generate efficiency gains and that these are most significant when r d spillovers are very low or very high efficiency gains increase with the number of insiders and generally decrease with the number of outsiders with pd in most cases the merger generates efficiency gains when spillovers and or pd are sufficiently high with pd efficiency gains increase with spillovers but may increase or decrease with the level of pd the implications of the results for the relationship between competition and innovation outputs and for merger policy are discussed

a model of the crude oil market in which market conduct varies this paper describes a model which first identifies in an estimatable manner parameters which describe the conduct each decision maker in an oligopoly expects from it s rivals and then allows them to vary in a systematic fashion across rivals and over time the model is applied to ten producing countries in the crude oil market 1966i to 1981iii a fully dynamic demand system is estimated together with equations describing price choice and variations in conduct and the null hypothesis of constant conduct is rejected against the more general alternative proposed here copyright 1987 by royal economic society

the relationship between spot and futures oil prices do structural breaks matter abstract this paper examines the effect of structural breaks on the spot futures oil prices relationship we explore the impact of structural breaks on four critical issues including cointegrating relationships market efficiency under the expectation hypothesis and the no arbitrage rule causalities and forecasting performance of futures oil volatility as far as our empirical results exhibit the structural break we detect endogenously causes some influences on these issues which is in sharp contrast to the conclusions of existing studies our findings offer some implications and suggestions to researchers investors and policymakers

time varying predictability in crude oil markets the case of gcc countries abstract this paper uses a time varying parameter model with generalized autoregressive conditional heteroscedasticity effects to examine the dynamic behavior of crude oil prices for the period february 7 1997 january 8 2010 using data from four countries of the gulf cooperation council we find evidence of short term predictability in oil price changes over time except for several short sub periods however the hypothesis of convergence towards weak form informational efficiency is rejected for all markets in addition we explore the possibility of structural breaks in the time paths of the estimated predictability indices and detect only one breakpoint for the oil markets in qatar and the united arab emirates our empirical results therefore call for new empirical research to further gauge the predictability characteristics and the determinants of oil price changes

toward efficiency in the crude oil market the official opec prices of crude oil before the collapse in the oil market in the mid 1980s can be interpreted as contract prices and analysed on the basis of the theory of futures or forward markets this paper uses the generalized method of moments estimation technique to test for efficiency in the relationship between the official prices and the ex post spot prices at the time of delivery efficiency is rejected for the sample period 1978 1985 as a whole but evidence is found of improvements over time further the gmm wald and hansen tests although asymptotically equivalent are shown to differ greatly when applied to a small sample of monthly oil price data

disability transfers and the work decision of older men the potential causal relationship between the availability and generosity of disability transfers and the nonparticipation rates of older men is often asserted and much studied parsons 1980 haveman and wolfe 1984 leonard 1986 however estimates of the magnitude of this linkage vary widely the growth in transfer availability and generosity has been credited with from 30 to 100 percent of the significant post 1960 fall in older male participation rates the disparity in these research results stems primarily from 1 alternative sources of data that differentially constrain estimation of relevant expected wage and transfer incomes 2 specifications that are unable to distinguish income transfer from labor market effects and 3 reliance on measures of health status that are endogenous to the work leisure decision this study seeks to narrow the range of estimates by addressing each of these issues our utility maximization model of work status choice assumes that workers who differ in health status choose between the mutually exclusive options of working at the wage offered for their characteristics and accepting public or private disability transfers because the income flows in the two options are censored they are estimated using switching regression techniques as expectations conditional on exogenous individual characteristics hence accounting for the potentially endogenous process that separates wage earners from transfer recipients the marginal utilities of income from the two sources are allowed to differ because of stigma effects in the estimation we adjust the choice based nature of our sample employ longitudinal earnings data to measure expected changes in as distinct from the expected level of income in the two options and use a separately estimated latent health status measure largely purged of its endogeneity with the participation decision

a continuous time equilibrium model of forward prices and futures prices in a multigood economy abstract this paper is a theoretical investigation of equilibrium forward and futures prices we construct a rational expectations model in continuous time of a multigood identical consumer economy with constant stochastic returns to scale production using this model we find three main results first we find formulas for equilibrium forward futures discount bond commodity bond and commodity option prices second we show that a futures price is actually a forward price for the delivery of a random number of units of a good the random number is the return earned from continuous reinvestment in instantaneously riskless bonds until maturity of the futures contract third we find and interpret conditions under which normal backwardation or contango is found in forward or futures prices these conditions reflect the usefulness of forward and futures contracts as consumption hedges

on the short and long run efficiency of energy and precious metal markets this article contributes to the related literature by empirically investigating the efficiency of nine energy and precious metal markets over the last decades employing several pronounced models we test for both short and the long run efficiency using in addition to linear cointegration models nonlinear cointegration and error correction models ecms which allow the efficiency intensity to change per regime our findings can be summarized as follows i futures prices are found to be cointegrated with spot prices but they do not constitute unbiased predictors of future spot prices ii the hypothesis of risk neutrality is rejected iii the short run efficiency hypothesis is rejected suggesting that using past futures price returns improves the modeling and forecasting of future spot prices and iv the nonlinear modeling suggests the presence of two distinct regimes wherein the first regime the efficiency hypothesis is supported whereas in the second it is rejected the empirical findings have important implications for producers hedgers speculators and policymakers

energy security externalities and policies abstract in this paper we review conceptual arguments and empirical evidence related to two potential sources of market failure involving energy security in doing so we consider several questions involving the distinction between externality and market inefficiency and the distinction between market failures that are amenable or not amenable to correction given our current understanding of the workings of an economy several conclusions follow from our analysis regarding the potential sources of market failure and possible remedies the problem of excess wealth transfer from exporter market power may be an issue but current knowledge of oil market behaviour is too weak to support a strong conclusion other supposed costs of oil import dependence also are not well grounded including externalities related to the vulnerability of the economy to energy price shocks

supply shocks and price adjustment in the world oil market understanding the impacts of transitory oil supply shocks on world oil prices is crucial to the evaluation of the economic impacts of shocks and the design of policy responses to address those impacts this paper integrates short run and long run approaches to oil price determination with particular emphasis on the two price structure of the world oil market with coexisting short term spot prices and long term contract prices even transitory shocks are shown to exhibit persistence effects on long term prices some implications for econometric models of the relationship between spot and contract prices are discussed

are the crude oil markets becoming weakly efficient over time a test for time varying long range dependence in prices and volatility this paper analyzes the efficiency of crude oil markets brent and west texas intermediate by means of estimating the fractal structure of these time series we test for time varying degrees of long range dependence using the rescaled range hurst analysis and find evidence that this market has become more efficient over time these results are robust for controlling for short term autocorrelation by means of a shuffling procedure

going onto invalidity benefit a study for women 1977 78 1983 84 the main form of state insurance for long term sickness in britain is invalidity benefit there has been a dramatic growth in the stock of claimants on this benefit since its introduction in 1971 a logit model is fitted to explain at the individual level the probability of entering invalidity benefit among over 50 000 women in 1977 8 and over 65 000 in 1983 4 demographic characteristics played a powerful role in this model pay and benefit rates were also significant married women s entry probabilities were highly sensitive to local labour market conditions and much more so than other population groups

disability benefits replacement ratios and the labour market a time series approach in this paper a study of factors affecting the number of disability beneficiaries in norway is presented equations determining entry rates into the disability benefit system are estimated using aggregated time series data grouped by sex and age unemployment is found to influence disability entry the results regarding effects of the replacement ratio are ambiguous a model determining the number of beneficiaries including the estimated entry equations is presented the model is used to simulate the effect of counterfactual changes in exogenous variables on the number of disability beneficiaries

disability transfers self reported health and the labor force attachment of older men evidence from the historical record we use trends in self reported disability to gauge the impact of the growth of disability transfer programs on the labor force attachment of older working aged men our tabulations suggest that between 1949 and 1987 about half of the 4 9 percentage point drop in the labor force participation of men aged 45 54 and between one quarter and one third of the 19 9 point drop among men aged 55 64 represented a movement of men out of the labor force and onto the rolls of transfer programs targeted at the disabled since the expansion of transfer programs represents only one of the forces behind this movement these figures represent upper bounds on the impact of such programs on work force attachment

contracting and price adjustment in commodity markets evidence from copper and oil this paper analyzes price adjustment in markets where trade takes place through both spot market and long term contract transactions the authors develop a model illustrating the role of the resulting two price system in describing price adjustment to transitory shocks persistence effects of these shocks on prices depends on inter alia the fraction of trades carried out through contracts the model is tested on price data from the world copper and crude oil markets econometric tests of the model provide support for the hypothesis that the increase in the importance of spot markets in copper and oil is associated with an increase in the speed of adjustment of spot prices to supply and demand disturbances copyright 1989 by mit press

testing the evolution of crude oil market efficiency data have the conn utilising a time varying gar 1 tgarch 1 1 model with different frequency data we investigate the weak form efficiency of major global crude oil spot markets in europe the us the uae and china for the period from december 2001 to august 2013 our empirical results with weekly data indicate that all four markets have reached efficiency with few brief inefficient periods during the past decade whereas the daily crude oil returns series suggest intermittent and inconsistent efficiency we argue that the weekly friday series fit the data better than the average series in autocorrelation tests the evidence suggests that all four markets exhibit asymmetries in return volatility reactions to different information shocks and that they react more strongly to bad news than to good news the 2008 financial crisis has significantly affected the efficiency of oil markets furthermore a comovement phenomenon and volatility spillover effects exist among the oil markets policy recommendations consistent with our empirical results are proposed which address three issues implementing prudential regulations establishing an asian pricing centre and improving transparency in crude oil spot markets

is the spot market for oil products efficient some rotterdam evidence abstract this paper presents evidence relating to the efficiency of the rotterdam market for oil products analysis of daily weekly and monthly price changes for gas oil during the period 1978 1983 results in the rejection of the efficiency hypothesis ie relative price changes have been serially dependent on the basis of this observation a very simple trading rule is developed this rule is tested out simulating market transactions during the first two quarters of 1984 the financial outcome of this game turns out to be rather rewarding

the relation between forward prices and futures prices abstract this paper consolidates the results of some recent work on the relation between forward prices and futures prices it develops a number of propositions characterizing the two prices these propositions contain several testable implications about the difference between forward and futures prices many of the propositions show that equilibrium forward and futures prices are equal to the values of particular assets even though they are not in themselves asset prices the paper then illustrates these results in the context of two valuation models and discusses the effects of taxes and other institutional factors

efficiency of crude oil markets evidences from informational entropy analysis abstract the role of crude oil as the main energy source for the global economic activity has motivated the discussion about the dynamics and causes of crude oil price changes an accurate understanding of the issue should provide important guidelines for the design of optimal policies and government budget planning using daily data for wti over the period january 1986 march 2011 we analyze the evolution of the informational complexity and efficiency for the crude oil market through multiscale entropy analysis the results indicated that the crude oil market is informationally efficient over the scrutinized period except for two periods that correspond to the early 1990s and late 2000s us recessions overall the results showed that deregulation has improved the operation of the market in the sense of making returns less predictable on the other hand there is some evidence that the probability of having a severe us economic recession increases as the informational efficiency decreases which indicates that returns from crude oil markets are less uncertain during economic downturns