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Non-parametric Causal Discovery for EU Allowances Returns Through the Information Imbalance
Salvagnin C +4 more
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OIL, UNCERTAINTY, AND GASOLINE PRICES [PDF]
Macroeconomic Dynamics, 2016 In this paper we investigate the relationship between crude oil and gasoline prices and also examine the effect of oil price uncertainty on gasoline prices. The empirical model is based on a structural vector autoregression that is modified to accommodate multivariate GARCH-in-Mean errors.
Dongfeng Chang, Apostolos Serletis
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Journal of Money, Credit and Banking, 2010
The theories of investment under uncertainty and real options predict that uncertainty about, for example, oil prices will tend to depress current investment. We reinvestigate the relationship between the price of oil and investment, focusing on the role of uncertainty about oil prices.
JOHN ELDER, APOSTOLOS SERLETIS
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The theories of investment under uncertainty and real options predict that uncertainty about, for example, oil prices will tend to depress current investment. We reinvestigate the relationship between the price of oil and investment, focusing on the role of uncertainty about oil prices.
JOHN ELDER, APOSTOLOS SERLETIS
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The Energy Journal, 2019
This study focuses on oil price volatility and uncertainty over the period January 1986-December 2018, covering episodes of oil price increases and collapses. Accordingly, in line with Poon and Granger (2003), and Teräsvirta and Zhao (2011), we propose three different specifications of stochastic oil volatility: standard stochastic volatility ...
Zied Ftiti, Fredj Jawadi
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This study focuses on oil price volatility and uncertainty over the period January 1986-December 2018, covering episodes of oil price increases and collapses. Accordingly, in line with Poon and Granger (2003), and Teräsvirta and Zhao (2011), we propose three different specifications of stochastic oil volatility: standard stochastic volatility ...
Zied Ftiti, Fredj Jawadi
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Markov Switching Oil Price Uncertainty
Oxford Bulletin of Economics and Statistics, 2019AbstractWe investigate whether the United States economy responds negatively to oil price uncertainty and whether oil price shocks exert asymmetric effects on economic activity. In doing so, we relax the assumption in the existing literature that the data are governed by a single process, modifying the Elder and Serletis (2010) bivariate structural ...
Apostolos Serletis, Libo Xu
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Oil price uncertainty in Canada
Energy Economics, 2009Bernanke [Bernanke, Ben S. Irreversibility, uncertainty, and cyclical investment. Quarterly Journal of Economics 98 (1983), 85–106.] shows how uncertainty about energy prices may induce optimizing firms to postpone investment decisions, thereby leading to a decline in aggregate output. Elder and Serletis (Elder, John and Serletis, Apostolos.
John Elder, Apostolos Serletis
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Financial stress, economic policy uncertainty, and oil price uncertainty
Energy Economics, 2021The role of non-financial sector market fluctuations such as the role of oil price uncertainty either on financial stability or on policy-related economic uncertainty has not been investigated extensively. This study examines the connectedness of financial stress and economic policy uncertainty with a non-financial market of Brent oil and its prices ...
George N. Apostolakis +3 more
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Does Oil Price Uncertainty Affect Economic Activity?
SSRN Electronic Journal, 2003The change in investment and output in response to changing energy prices depends on whether energy prices increase or decrease. In the literature, this asymmetry is attributed to irreversibility of investment and uncertainty with respect to energy prices. The empirical literature does not explicitly take uncertainty into account.
Kuper, G.H., van Soest, D.P.
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US partisan conflict uncertainty and oil prices
Energy Policy, 2021Abstract This empirical study significantly contributes in building emerging literature by investigating the impact of US partisan conflict uncertainty on international oil prices. It models oil prices through non-linear Quantile Autoregressive Distributed Lag (QARDL) methods in order to consider potential (non-linear) asymmetric effects of partisan ...
Apergis, Nicholas +2 more
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Cash holdings and oil price uncertainty exposures
Energy Economics, 2021Abstract This paper investigates the role of cash holdings in controlling the negative risk from oil price uncertainty. We develop a dynamic model and find that firms with oil-linked assets in place are more likely to experience cash flow shortfalls, which affect their future investments and lead to additional costs and losses.
Xi Wu, Yudong Wang, Xinle Tong
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