Essays On Pricing Behaviors Of Energy Commodities
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Essays On Pricing Behaviors Of Energy Commodities
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Author : Xiaoyan Qin
language : en
Publisher:
Release Date : 2012
Essays On Pricing Behaviors Of Energy Commodities written by Xiaoyan Qin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
This dissertation investigates the pricing behaviors of two major energy commodities, U.S. natural gas and crude oil, using times series models. It examines the relationships between U.S. natural gas price variations and changes in market fundamentals within a two-state Markov-switching framework. It is found that the regime-switching model does a better forecasting job in general than the linear fundamental model without regime-switching framework, especially in the case of 1-step-ahead forecast. Studies are conducted of the dynamics between crude oil price and U.S. dollar exchange rates. Empirical tests are applied to both full sample (1986-2010) and subsample (2002-2010) data. It is found that causality runs in both directions between the oil and the dollar. Meanwhile, a theoretical 5-country partial dynamic portfolio model is constructed to explain the dynamics between oil and dollar with special attention to the roles of China and Russia. It is shown that emergence of China's economy enhances the linkage between oil and dollar due to China's foreign exchange policy. Further research is dedicated to the role of speculation in crude oil and natural gas markets. First a literature review on theory of speculation is conducted. Empirical studies on speculation in commodity markets are surveyed, with special focus on energy commodity market. To test the theory that speculation may affect commodity prices by exaggerating the signals sent by market fundamentals, this essay utilizes the forecast errors from the first essay to investigate the forecasting ability of speculators' net long positions in the market. Limited evidence is provided to support the bubble theory in U.S. natural gas market. In conclusion, this dissertation explores both fundamentals and speculators' roles in the U.S. natural gas and global crude oil markets. It is found that market fundamentals are the major driving forces for the two energy commodities price booms seen during the past several years.
Commodity Modeling And Pricing
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Author : Peter V. Schaeffer
language : en
Publisher: John Wiley & Sons
Release Date : 2008-10-06
Commodity Modeling And Pricing written by Peter V. Schaeffer and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-10-06 with Business & Economics categories.
Commodity Modeling and Pricing provides extensions and applications of state-of-the-art methods for analyzing resource commodity behavior. Drawing from the seminal work of Professor Walter Labys on the development of econometric methods for forecasting commodity prices, this collection of essays features expert contributors ranging from practitioners in private industry, public sector, and nongovernmental organizations to scholars in higher education–all of whom were Labys's former students or collaborators. Filled with in-depth insights and expert advice, Commodity Modeling and Pricing contains the information you need to excel in this demanding environment.
Essays On U S Energy Regulation
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Author : Anna Terkelsen
language : en
Publisher:
Release Date : 2021
Essays On U S Energy Regulation written by Anna Terkelsen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with Electronic dissertations categories.
Chapter 1: Workable Competition and Allocative Efficiency in Deregulated U.S. Petroleum Pipeline Markets: Since 1990, the Federal Energy Regulatory Commission (FERC) has quietly and gradually removed price controls from oil pipeline segments through its ``market-based rate" program. Outside of individual rate cases, the FERC has not reviewed the success of this program in terms of efficiency improvement. I argue that, despite the lack of quantity data, market power and efficiency in transportation markets can be detected using available commodity price and sales data. Using a novel dataset linking oil pipeline rates and services to wholesale refined products prices, I study (1) the rate effects of oil pipeline deregulation, (2) whether deregulated pipelines exercise market power, and (3) whether deregulated rate signals result in improved allocative efficiency on deregulated lines. I find that deregulated carriers gradually increased rates up to 10 percent, or an average 5.7 percent, over the first five years. However, because commodity prices remained constant and sales increased in destination markets, the higher rates do not lead to the conclusion that firms set their deregulated rates supracompetitively. Instead, I offer evidence that rate deregulation led to efficiency improvement by allowing more higher-valued commodities to pass through the capacity constrained pipeline network in both Chicago and the broader U.S. pipeline market.Chapter 2: Spillovers of Mixed Regulation: Evidence from U.S. Petroleum Pipeline Markets: U.S. regulatory policy of oil pipeline markets produces mixed markets where regulated firms compete with unregulated firms. In this paper, I present a novel 35-year monthly panel of pipeline services including commodity-specific refined products consumption, refinery production, and waterborne movements. Using these data, I analyze two types of spillovers in partially regulated pipeline markets: spillovers within firm and spillovers across firms. I find when capacity-constrained firms are only partially deregulated, they set rates above the competitive level. Similarly, when deregulated firms compete against regulated firms, they can monopolize residual capacity in the market and reduce market efficiency.Chapter 3: Regulatory Threat Under Administrative Litigation: Though firm behavior under price regulation has been studied extensively in economics, law, and policy, few opportunities arise to study firm behavior under just the threat of such regulation, a potentially effective force alone. This paper extends the Glazer (1992) model of regulatory threat to the administrative litigation setting where bureaucratic commissioners, not legislators, decide whether to regulate rates of service providers in disputes between stakeholding parties. I find that firms should decrease their rates when they believe their regulators would rule against them in a complaint case. I empirically test the predictions of this model using FERC's 2012 challenge to deregulated rates, a perceived shift in its regulatory stance, but find that firms appear to increase prices in their most vulnerable markets.
Essays On Energy Economics And Policy Price Elasticity Policy Evaluation And Potential Savings
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Author : Annina Angelina Boogen
language : en
Publisher:
Release Date : 2016
Essays On Energy Economics And Policy Price Elasticity Policy Evaluation And Potential Savings written by Annina Angelina Boogen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
Commodity Option Pricing
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Author : Iain J. Clark
language : en
Publisher: John Wiley & Sons
Release Date : 2014-03-05
Commodity Option Pricing written by Iain J. Clark and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-03-05 with Business & Economics categories.
Commodity Option Pricing: A Practitioner’s Guide covers commodity option pricing for quantitative analysts, traders or structurers in banks, hedge funds and commodity trading companies. Based on the author’s industry experience with commodity derivatives, this book provides a thorough and mathematical introduction to the various market conventions and models used in commodity option pricing. It introduces the various derivative products typically traded for commodities and describes how these models can be calibrated and used for pricing and risk management. This book has been developed with input from traders and features examples using real-world data, together with relevant up-to-date academic research. This book includes practical descriptions of market conventions and quote codes used in commodity markets alongside typical products seen in broker quotes and used in calibration. Also discussed are commodity models and their mathematical derivation and volatility surface modelling for traded commodity derivatives. Gold, silver and other precious metals are addressed, including gold forward and gold lease rates, as well as copper, aluminium and other base metals, crude oil and natural gas, refined energy and electricity. There are also sections on the products encountered in commodities such as crack spread and spark spread options and alternative commodities such as carbon emissions, weather derivatives, bandwidth and telecommunications trading, plastics and freight. Commodity Option Pricing is ideal for anyone working in commodities or aiming to make the transition into the area, as well as academics needing to familiarize themselves with the industry conventions of the commodity markets.
Econometrics Econometrics And The Cost Of Capital Essays In Honor Of Dale W Jorgenson
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Author : Dale Weldeau Jorgenson
language : en
Publisher: MIT Press
Release Date : 2000
Econometrics Econometrics And The Cost Of Capital Essays In Honor Of Dale W Jorgenson written by Dale Weldeau Jorgenson and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Business & Economics categories.
This volume summarizes the economic theory, the econometric methodology and the empirical findings resulting from the new approach to econometric modelling of producer behaviour.
The Limits To Satisfaction
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Author : William Leiss
language : en
Publisher: Toronto ; Buffalo : University of Toronto Press
Release Date : 1976
The Limits To Satisfaction written by William Leiss and has been published by Toronto ; Buffalo : University of Toronto Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1976 with Business & Economics categories.
Essays In The Economics Of Uncertainty
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Author : Jean-Jacques Laffont
language : en
Publisher: Harvard University Press
Release Date : 1980
Essays In The Economics Of Uncertainty written by Jean-Jacques Laffont and has been published by Harvard University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1980 with Business & Economics categories.
These three elegant essays develop principles central to the understanding of the diverse ways in which imperfect information affects the distribution of resources, incentives, and the evaluation of economic policy. The first concerns the special role that information plays in the allocation process when it is possible to improve accuracy through private investment. The common practice of hiring "experts" whose information is presumably much better than their clients' is analyzed. Issues of cooperative behavior when potential group members possess diverse pieces of information are addressed. Emphasis is placed on the adaptation of the "core" concept from game theory to the resource allocation model with differential information. The second essay deals with the extent to which agents can influence the random events they face. This is known as moral hazard, and in its presence there is a potential inefficiency in the economic system. Two special models are studied: the role of moral hazard in a monetary economy, and the role of an outside adjudicatory agency that has the power to enforce fines and compensation. The final essay discusses the problem of certainty equivalence in economic policy. Conditions under which a full stochastic optimization can be calculated by solving a related, much simpler "certainty equivalence" problem are developed. The reduction in the complexity of calculation involved is very great compared with the potential loss of efficiency.
Anatomy Of The Crude Oil Pricing System
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Author : Bassam Fattouh
language : en
Publisher:
Release Date : 2022
Anatomy Of The Crude Oil Pricing System written by Bassam Fattouh and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
Dynamic Modeling Empirical Macroeconomics And Finance
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Author : Lucas Bernard
language : en
Publisher: Springer
Release Date : 2016-10-03
Dynamic Modeling Empirical Macroeconomics And Finance written by Lucas Bernard and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-10-03 with Business & Economics categories.
This edited volume, with contributions by area experts, offers discussions on a range of evolving topics in economics and social development. At center are important issues central to sustainable development, economic growth, technological change, the economics of climate change, commodity markets, long wave theory, non-linear dynamic models, and boom-bust cycles. This is an excellent reference for academic and professional economists interested in emerging areas of empirical macroeconomics and finance. For policy makers and curious readers alike, it is also an outstanding introduction to the economic thinking of those who seek a holistic and all-compassing approach in economic theory and policy. Looking into new data and methodology, this book offers fresh approaches in a post-crisis environment. Set in a profound understanding of the diverse currents within the many traditions of economic thought, this book pushes the established frontiers of economic thinking. It is dedicated to a leading scholar in the areas covered in this book, Willi Semmler.