The time-varying causality between spot and futures crude oil prices: A regime switching approach

2015 ◽  
Vol 40 ◽  
pp. 51-71 ◽  
Author(s):  
Mehmet Balcilar ◽  
Hasan Gungor ◽  
Shawkat Hammoudeh
Keyword(s):  
Crude Oil ◽  
Regime Switching ◽  
Oil Prices ◽  
Time Varying ◽  
Crude Oil Prices

scholarly journals Time-varying relationship between Ukrainian corn and world crude oil prices

2020 ◽  
Vol 184 (7-8) ◽  
pp. 49-57
Author(s):  
Mariusz Hamulczuk ◽  
◽  
Oksana Makarchuk ◽  
Keyword(s):  
Crude Oil ◽  
Corn Oil ◽  
Oil Prices ◽  
Developed Countries ◽  
Correlation Technique ◽  
Time Varying ◽  
Policy Reforms ◽  
Crude Oil Prices ◽  
The World ◽  
Corn Prices

Corn belongs to the most important feed and industrial grains in the world being utilized for bioethanol production. Ukraine does not produce biofuels and does not pursue an active renewable energy policy. However, due to significant share of exports, corn prices in Ukraine can be shaped under the influence of biofuel policies pursued by developed countries, as well as under the influence of world energy markets. Therefore, the aim of the paper is to investigate the mechanisms linking Ukrainian export corn prices with Brent oil prices, as well as to quantitatively assess the nature of this relationship. We were especially interested in possible time-varying relationship between the prices. The price analysis was carried out on the basis of monthly data for the period 2001-2020 with the use of rolling correlation technique and rolling causality tests. The results of this research indicate on time-varying co-movements of Ukrainian corn and Brent crude oil prices. The strongest positive correlations and significant bidirectional causality were observed in 2007-2011. However, in most of sub-periods there were no significant relationships between these prices. Among factors strengthening the price linkages are the low corn-oil price ratios, dynamic increase of corn utilized for ethanol production and depletion of the world corn stocks. The conducted analysis confirmed that changes in biofuel demand in other countries can affect Ukrainian corn market due to horizontal integration of grain markets worldwide. Biofuel policy reforms in the EU aiming at decreasing mandatory blending of conventional biofuels in favor of advanced biofuels can lead to decrease in demand for corn in Ukraine after 2021, leading, in turn, to further weakening of linkage between corn and crude oil prices.

The dynamic information spill-over effect of WTI crude oil prices on China’s traditional energy sectors

2018 ◽  
Vol 10 (3) ◽  
pp. 516-534 ◽  
Author(s):  
Yue-Jun Zhang ◽  
Yao-Bin Wu
Keyword(s):  
Crude Oil ◽  
Stock Returns ◽  
Oil Prices ◽  
Petroleum Processing ◽  
Time Varying ◽  
Causality Test ◽  
Content Type ◽  
Market Values ◽  
Crude Oil Prices ◽  
Linear And Nonlinear

PurposeThe purpose of this paper is to explore the dynamic influence of WTI crude oil returns on the stock returns of China’s traditional energy sectors, including oil and gas exploitation, coal mining and processing, petroleum processing and coking, electricity, heat production and supply and mining services.Design/methodology/approachHong’s information spill-over test and the DP Granger causality test are applied to investigate the relationship between the two markets. Moreover, a rolling window is introduced into the above two tests to capture time-varying characteristics of the influence of WTI crude oil returns.FindingsThe empirical results indicate that, first, there exists significant bidirectional linear causality between WTI crude oil returns and China’s traditional energy sectoral stock returns, but the nonlinear causality appears weaker. Second, the influence of WTI crude oil returns on traditional energy sectoral stock returns has time-varying characteristics and industry heterogeneity both in the linear and nonlinear cases. Finally, the decline of WTI crude oil prices may strengthen its linear influence on the stock returns of traditional energy sectors, while the excessive rise of market values in traditional energy sectors may weaken the linear and nonlinear influence of WTI on them.Originality/valueThe general nexus between international crude oil market and China’s traditional energy stock market is explored both in the linear and nonlinear perspectives. In particular, the dynamic linear and nonlinear influence of WTI crude oil returns on China’s traditional energy sectoral stock returns and its industry heterogeneity are analysed in detail.

scholarly journals Linear and Non-Linear Modelling of Nigerian Crude Oil Prices

2021 ◽  
pp. 52-63
Author(s):  
Wiri Leneenadogo ◽  
Sibeate Pius U
Keyword(s):  
Crude Oil ◽  
Linear Model ◽  
Regime Switching ◽  
Linear Models ◽  
Nonlinear Models ◽  
Oil Prices ◽  
Information Criterion ◽  
Ar Model ◽  
Crude Oil Prices ◽  
Non Linear

To model Nigeria crude oil prices, this analysis compared univariate linear models to univariate nonlinear models. The data for this analysis was gathered from the Central Bank of Nigeria (CBN) Monthly Statistical Bulletin. The upward and downward movement in the series revealed by the time plot suggests that the series exhibit a regime-switching pattern: the cycle of expansion and contraction. At lag one, the Augmented Dickey-Fuller test was used to test for stationarity. For univariate linear ARIMA (p, d, q)) and univariate non-linear MS-AR, seven models were estimated for the linear model and two for the non-linear model. The best model was chosen based on the criterion of least information criterion,  AIC (2.006612), SC (2.156581), and the maximum log-likelihood of   (-150.5480) for the crude oil prices were used to pick MS-AR (1) for the series. In analysing crude oil prices data, the MS-AR model proposed by Hamilton outperforms the linear autoregressive models proposed by Box- Jenkins. The model was used to predict the series' values over a one-year cycle (12 months).

scholarly journals Multivariate Garch Analysis of Selected Nigerian Economic Data

2021 ◽  
pp. 23-40
Author(s):  
Shakarho Udi Pepple ◽  
Etuk Ette Harrison ◽  
Isaac D. Essi
Keyword(s):  
Crude Oil ◽  
Price Index ◽  
Consumer Price Index ◽  
Oil Prices ◽  
Multivariate Garch ◽  
Series Data ◽  
Time Varying ◽  
Economic Data ◽  
Crude Oil Prices ◽  
Lending Rate

Aims: The aim of this   study is to examine   multivariate GARCH modeling of selected Nigerian economic data. Study Design: The study used monthly data of Nigerian crude oil prices (dollar Per Barrel), consumer price Index rural, maximum lending rate and prime lending rate. Methodology: This work covers time series data on crude oil prices, consumer price Index rural, maximum lending rate and prime lending rate extracted from   Central Bank of Nigeria (CBN) from 2000 to 2019. In attempt to achieve the aim of the study, quadrivariate VECH and DCC model were applied.  Results: The results confirmed that returns on economic data were correlated. Also, diagonal multivariate VECH model confirmed one of the properties that it must be ‘positive semi-definite’, And the DCC confirmed also the positive-definite conditional-variance. Conclusion: From the results obtained, it was confirmed that there exists a strong confirmation of a time-varying conditional covariance and interdependence among Nigeria economic data. As for cross-volatility effects, past innovations in crude oil price have utmost control on future volatility of returns on economic data. It was also confirmed that time varying covariance displays among these economic data and lower degree of persistence and based on Model selection criteria using the Akaike information criteria (AIC) has 17.485 for diagonal VECH  while for DCC has 17.509 AIC  which makes  VECH model  better fitted.

scholarly journals Dynamic Connectedness of International Crude Oil Prices: The Diebold–Yilmaz Approach

2018 ◽  
Vol 10 (9) ◽  
pp. 3298 ◽  
Author(s):  
Xiaoyong Xiao ◽  
Jing Huang
Keyword(s):  
Crude Oil ◽  
Oil Prices ◽  
Risk Measurement ◽  
Time Varying ◽  
Measurement Framework ◽  
West Texas ◽  
Crude Oil Prices ◽  
Oil Markets ◽  
Network Connectedness ◽  
Market Shocks

Connectedness is the key to modern risk measurement and management. This study investigates the international connectedness of crude oil prices and explores its time-varying characteristics based on a connectedness measurement framework using daily international crude oil prices. The international connectedness of crude oil prices is investigated from three perspectives: total connectedness, total directional connectedness, and pairwise directional connectedness. We find that the total connectedness of crude oil prices is 67.3%. We also find that the crude oil prices of Tapes, Daqing, Dubai and Minas are highly affected by Brent and WTI (West Texas Intermediate) crude oil prices. Furthermore, WTI and Brent are the price makers of international crude oil prices, while Tapes, Daqing, Dubai and Minas are price takers. From the perspective of pairwise directional connectedness, we find that the degree of pairwise directional connectedness between Brent and WTI are high. Finally, the structure of international crude oil markets stays the same even after market shocks. The main contributions of this study are identification of dynamic connectedness and presentation of the network connectedness of international crude oil prices.

scholarly journals Sustainability of Global Economic Policy and Stock Market Returns in Indonesia

2021 ◽  
Vol 13 (10) ◽  
pp. 5422
Author(s):  
Shabir Mohsin Hashmi ◽  
Muhammad Akram Gilal ◽  
Wing-Keung Wong
Keyword(s):  
Economic Policy ◽  
Stock Market ◽  
Crude Oil ◽  
Oil Prices ◽  
Time Varying ◽  
Conditional Correlation ◽  
Developed Markets ◽  
Crude Oil Prices ◽  
Rolling Window ◽  
Crude Oil Production

Interdependence in trade and financial globalization has increased the vulnerability of developed and developing countries to external shocks alike, whereas emerging markets are more vulnerable to the shocks originating from the world’s leading economies. This paper investigates the impact of the uncertainty from the global economic policy on the return of the Indonesian stock market by using the time-varying correlation based on the rolling window method and time-varying built dynamic conditional correlation method. Both the rolling window and condition correlation estimates indicate that the correlation between global policy uncertainty and Indonesian stock returns is time-varying. The results of the autoregressive distributed lag-based regression indicate that inflation, global crude oil prices, gross domestic product, and world crude oil production have significant impacts on the dynamic conditional correlation. The average negative estimate of time-varying correlation suggests that investors when faced with liquidity constraints in one country may sell off their assets in another country to raise funds in order to meet their future financial needs. This also indicates that the rise in the uncertainty of economic policy in developed markets has a negative impact on the shocks faced by the Indonesian stock market. Based on our empirical findings, it is recommended that Indonesian policymakers should place more focus on the sustainability of the economic growth, pay close attention to volatile crude oil prices, world crude oil production, and inflation so as to avoid dynamic interaction between the uncertainty of economic policy in the developed markets and the return of the Indonesian stock market.

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