The 19739/74 and 1979/1980 oil price shocks coupled with the unreliability of its supply as against the ever‐increasing demand for energy‐based inputs, further reinforced the stern implications that energy may have on economic development reducing energy intensity is often advocated as a way to ensure efficient utilisation of energy resources and minimising the adverse effects of its shortage on economic development. Using the annual time series data set spanning 1981–2014 this study examined, in Ghana where energy crises continue to immense adverse effects on the economy, the relationships between energy consumption and economic growth at the one hand, and that between energy intensity and economic growth on the other hand within the standard Environmental Kuznets Curve framework. In Autoregressive Distributed Lagged model estimation, there was strong evidence of the existence of a valid long‐run relationship between energy consumption and economic growth as well as energy intensity and economic growth.
{"title":"The Policy Implications of the Relationship between Energy Consumption, Energy Intensity and Economic Growth in Ghana","authors":"Solomon Aboagye","doi":"10.1111/opec.12114","DOIUrl":"https://doi.org/10.1111/opec.12114","url":null,"abstract":"The 19739/74 and 1979/1980 oil price shocks coupled with the unreliability of its supply as against the ever‐increasing demand for energy‐based inputs, further reinforced the stern implications that energy may have on economic development reducing energy intensity is often advocated as a way to ensure efficient utilisation of energy resources and minimising the adverse effects of its shortage on economic development. Using the annual time series data set spanning 1981–2014 this study examined, in Ghana where energy crises continue to immense adverse effects on the economy, the relationships between energy consumption and economic growth at the one hand, and that between energy intensity and economic growth on the other hand within the standard Environmental Kuznets Curve framework. In Autoregressive Distributed Lagged model estimation, there was strong evidence of the existence of a valid long‐run relationship between energy consumption and economic growth as well as energy intensity and economic growth.","PeriodicalId":103205,"journal":{"name":"Wiley-Blackwell: OPEC Energy Review","volume":"694 13","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133322507","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Sub‐Saharan African (SSA) countries need adequate energy to achieve socio‐economic growth and development. According to recent statistics, only 30 per cent of the entire population have access to power, making the region the highest in the world with people without access to electricity. This is in sharp contrast with the abundant energy resources available, which could be harnessed to provide the needed energy. The purpose of this study is to identify and analyse the determinants of aggregate energy demand in SSA. Reliable secondary macroeconomic and energy data were collected from publicly available and widely used databases. The study uses a panel cointegration technique to examine the determinants of energy demand in SSA, over the period from 1980 to 2014, for selected countries in the region. Our results reveal that income is the predominant factor behind the increase in energy demand in SSA, with the highest elasticity. Furthermore, energy demand in SSA conforms to a priori expectations of a negative price elasticity. The results are in line with the theory of demand. Significantly, we also find that urbanisation an important role for energy demand. Stringent energy conservation policy and other recommendations flow from the findings.
{"title":"Factors that Drive Energy Use in Africa: Panel Data Evidence from Selected Sub‐Sahara African Countries","authors":"A. Kolawole, S. Adesola, Glauco De Vita","doi":"10.1111/opec.12115","DOIUrl":"https://doi.org/10.1111/opec.12115","url":null,"abstract":"Sub‐Saharan African (SSA) countries need adequate energy to achieve socio‐economic growth and development. According to recent statistics, only 30 per cent of the entire population have access to power, making the region the highest in the world with people without access to electricity. This is in sharp contrast with the abundant energy resources available, which could be harnessed to provide the needed energy. The purpose of this study is to identify and analyse the determinants of aggregate energy demand in SSA. Reliable secondary macroeconomic and energy data were collected from publicly available and widely used databases. The study uses a panel cointegration technique to examine the determinants of energy demand in SSA, over the period from 1980 to 2014, for selected countries in the region. Our results reveal that income is the predominant factor behind the increase in energy demand in SSA, with the highest elasticity. Furthermore, energy demand in SSA conforms to a priori expectations of a negative price elasticity. The results are in line with the theory of demand. Significantly, we also find that urbanisation an important role for energy demand. Stringent energy conservation policy and other recommendations flow from the findings.","PeriodicalId":103205,"journal":{"name":"Wiley-Blackwell: OPEC Energy Review","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124635129","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Africa's growth over the past two decades has been unprecedented. However, access to modern forms of energy seems to be a major hurdle for most African countries even though renewable energy sources abound. It has been argued that, knowledge of demand determinants and estimates help to guide investment and policy design in the energy industry. This study therefore examined the efficiency of renewable energy consumption. Furthermore, it investigated the effect of carbon emissions, GDP per capita, energy resource depletion and human capital development on renewable energy demand in 10 African countries. A dynamic panel generalised method of moments, panel fixed‐effect and a panel random‐effect models were applied. The results suggest that economic growth, energy prices, carbon emissions and energy resource depletion significantly affect renewable energy demand in one or all the models. The study recommends that to promote renewable energy consumption, economic welfare of the population should be enhanced.
{"title":"Analysing the Efficiency of Renewable Energy Consumption Among Oil‐Producing African Countries","authors":"I. Ackah, Fisayo Titilope Alabi, Abraham Lartey","doi":"10.1111/opec.12081","DOIUrl":"https://doi.org/10.1111/opec.12081","url":null,"abstract":"Africa's growth over the past two decades has been unprecedented. However, access to modern forms of energy seems to be a major hurdle for most African countries even though renewable energy sources abound. It has been argued that, knowledge of demand determinants and estimates help to guide investment and policy design in the energy industry. This study therefore examined the efficiency of renewable energy consumption. Furthermore, it investigated the effect of carbon emissions, GDP per capita, energy resource depletion and human capital development on renewable energy demand in 10 African countries. A dynamic panel generalised method of moments, panel fixed‐effect and a panel random‐effect models were applied. The results suggest that economic growth, energy prices, carbon emissions and energy resource depletion significantly affect renewable energy demand in one or all the models. The study recommends that to promote renewable energy consumption, economic welfare of the population should be enhanced.","PeriodicalId":103205,"journal":{"name":"Wiley-Blackwell: OPEC Energy Review","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133150184","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The petroleum energy market is becoming more volatile owing to recent fluctuations in oil price, which in the long run affects the pricing and volatility persistence levels of other petroleum products. Apart from the symmetry and asymmetry that are known with volatility series, jumps have recently been identified, while the symmetric and asymmetric models failed in predicting the jump components in the financial series. The historical prices of crude oil and its distilled constituents possess occasional jumps as a result of global political or economic constraints. We applied both fractional persistence and volatility modelling frameworks in studying the volatility persistence in crude oil and petroleum products prices. We chose among symmetric, asymmetric and jumps volatility models. Results indicated that prices of crude oil and gasoline were less persistent when compared with volatility series of other petroleum products. The newly proposed jump volatility model variants outperformed other existing volatility models in predicting the volatility in the prices of crude oil, heating oil and diesel. The exception was the Asymmetric Power ARCH (APARCH) model, which emerged best in predicting the prices of gasoline, kerosene and propane prices; but GAS variants were still ranked second and third competing models in predicting the volatility in gasoline and kerosene prices. Using wrongly specified model for predicting the volatility in petroleum pricing can misinform oil markets, thereby generating intense conditional oil market volatility that is capable of distorting the price of oil and macroeconomic stability of the entire globe.
{"title":"Time Series Analysis of Volatility in the Petroleum Pricing Markets: The Persistence, Asymmetry and Jumps in the Returns Series","authors":"O. Olubusoye, O. S. Yaya","doi":"10.1111/opec.12077","DOIUrl":"https://doi.org/10.1111/opec.12077","url":null,"abstract":"The petroleum energy market is becoming more volatile owing to recent fluctuations in oil price, which in the long run affects the pricing and volatility persistence levels of other petroleum products. Apart from the symmetry and asymmetry that are known with volatility series, jumps have recently been identified, while the symmetric and asymmetric models failed in predicting the jump components in the financial series. The historical prices of crude oil and its distilled constituents possess occasional jumps as a result of global political or economic constraints. We applied both fractional persistence and volatility modelling frameworks in studying the volatility persistence in crude oil and petroleum products prices. We chose among symmetric, asymmetric and jumps volatility models. Results indicated that prices of crude oil and gasoline were less persistent when compared with volatility series of other petroleum products. The newly proposed jump volatility model variants outperformed other existing volatility models in predicting the volatility in the prices of crude oil, heating oil and diesel. The exception was the Asymmetric Power ARCH (APARCH) model, which emerged best in predicting the prices of gasoline, kerosene and propane prices; but GAS variants were still ranked second and third competing models in predicting the volatility in gasoline and kerosene prices. Using wrongly specified model for predicting the volatility in petroleum pricing can misinform oil markets, thereby generating intense conditional oil market volatility that is capable of distorting the price of oil and macroeconomic stability of the entire globe.","PeriodicalId":103205,"journal":{"name":"Wiley-Blackwell: OPEC Energy Review","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129130804","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Widespread ownership of oil and natural gas resources by private individuals is unique to the United States. The owner's share is typically specified as a gross revenue royalty. We develop estimates of income from production of privately owned minerals. Focusing on onshore resources in the continental United States, we determine that the share of total oil and natural gas production attributable to privately owned minerals has been approximately 75 per cent in recent years. We find that average private royalty rates in recent years were 13.5 per cent for oil and 11.8 per cent for natural gas, and that private royalty income from oil and gas production was $21–22 billion in 2011 and 2012. We then briefly discuss four current policy issues upon which our estimates have bearing: exports of liquefied natural gas and crude oil, effects of refinery and pipeline constraints, state and federal tax policy, and regulation of technology.
{"title":"US Private Oil and Natural Gas Royalties: Estimates and Policy Relevance","authors":"Timothy Fitzgerald, R. Rucker","doi":"10.1111/opec.12052","DOIUrl":"https://doi.org/10.1111/opec.12052","url":null,"abstract":"Widespread ownership of oil and natural gas resources by private individuals is unique to the United States. The owner's share is typically specified as a gross revenue royalty. We develop estimates of income from production of privately owned minerals. Focusing on onshore resources in the continental United States, we determine that the share of total oil and natural gas production attributable to privately owned minerals has been approximately 75 per cent in recent years. We find that average private royalty rates in recent years were 13.5 per cent for oil and 11.8 per cent for natural gas, and that private royalty income from oil and gas production was $21–22 billion in 2011 and 2012. We then briefly discuss four current policy issues upon which our estimates have bearing: exports of liquefied natural gas and crude oil, effects of refinery and pipeline constraints, state and federal tax policy, and regulation of technology.","PeriodicalId":103205,"journal":{"name":"Wiley-Blackwell: OPEC Energy Review","volume":"83 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126217841","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Indian economy has been facing the twin issues of mounting trade imbalance and persisting inflation. Oil constitutes one-third of the country's total imports and is considered to have wide-ranging impact on its economy. This paper empirically examines how oil price fluctuations impact Indian economy through various channels, viz. real sector, monetary policy, external trade, exchange rate and investment. The results of cyclical correlation analysis suggest that oil is pro-cyclical to output, price level, stock market, gold, interest rate and foreign exchange reserves, while it is counter-cyclical to money supply, net exports and exchange rate. Also, it is found that oil Granger causes output, general price level and net exports. The study employs vector auto-regression (VAR) analysis and examines variance decomposition to capture the linear inter-dependencies among the variables. The structural stability tests demonstrate that there is no evidence of structural break in the VAR model, confirming the reliability of estimated relationships under the VAR model.
{"title":"Impact of Oil Price Fluctuations on Indian Economy","authors":"Priyanshi Gupta, Anurag Goyal","doi":"10.1111/opec.12046","DOIUrl":"https://doi.org/10.1111/opec.12046","url":null,"abstract":"Indian economy has been facing the twin issues of mounting trade imbalance and persisting inflation. Oil constitutes one-third of the country's total imports and is considered to have wide-ranging impact on its economy. This paper empirically examines how oil price fluctuations impact Indian economy through various channels, viz. real sector, monetary policy, external trade, exchange rate and investment. The results of cyclical correlation analysis suggest that oil is pro-cyclical to output, price level, stock market, gold, interest rate and foreign exchange reserves, while it is counter-cyclical to money supply, net exports and exchange rate. Also, it is found that oil Granger causes output, general price level and net exports. The study employs vector auto-regression (VAR) analysis and examines variance decomposition to capture the linear inter-dependencies among the variables. The structural stability tests demonstrate that there is no evidence of structural break in the VAR model, confirming the reliability of estimated relationships under the VAR model.","PeriodicalId":103205,"journal":{"name":"Wiley-Blackwell: OPEC Energy Review","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117248642","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Erik Haugom, Steinar Veka, Gudbrand Lien, Sjur Westgaard
This paper is the first to use the concept of realized volatility to forecast Value-at-Risk (VaR) for ICE Brent Crude oil futures. We examine sensitivities in the VaR forecasts across intra-daily sampling frequency used to calculate realized volatility. We evaluate the VaR forecasts using Christoffersen's test for conditional coverage on quantiles of particular interest. Additionally, we examine a percentile–percentile plot of the VaR forecasts for all percentiles. The main empirical results show that very good VaR forecasts can be obtained using Gaussian critical values in combination with volatility forecasts based on realized volatility. An examination of the sampling frequency suggests that the most accurate VaR forecasts are obtained with a sampling frequency of between 1 and 10 min. This has important implications for practitioners operating in the financial oil sector.
{"title":"Estimating and Evaluating Value‐at‐Risk Forecasts Based on Realized Variance: Empirical Evidence from ICE Brent Crude Oil Futures","authors":"Erik Haugom, Steinar Veka, Gudbrand Lien, Sjur Westgaard","doi":"10.1111/opec.12024","DOIUrl":"https://doi.org/10.1111/opec.12024","url":null,"abstract":"This paper is the first to use the concept of realized volatility to forecast Value-at-Risk (VaR) for ICE Brent Crude oil futures. We examine sensitivities in the VaR forecasts across intra-daily sampling frequency used to calculate realized volatility. We evaluate the VaR forecasts using Christoffersen's test for conditional coverage on quantiles of particular interest. Additionally, we examine a percentile–percentile plot of the VaR forecasts for all percentiles. The main empirical results show that very good VaR forecasts can be obtained using Gaussian critical values in combination with volatility forecasts based on realized volatility. An examination of the sampling frequency suggests that the most accurate VaR forecasts are obtained with a sampling frequency of between 1 and 10 min. This has important implications for practitioners operating in the financial oil sector.","PeriodicalId":103205,"journal":{"name":"Wiley-Blackwell: OPEC Energy Review","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129304585","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study examines the impact of global food and oil price shocks and their transmission channels to the selected macroeconomic variables including the inflation rate, output, money balances, interest rate and real effective exchange rate for Pakistan using monthly data over the period 1990M1–2011M7. An empirical analysis is carried out by employing a structural vector autoregressive framework to identify different structural shocks and explore the relative contribution of oil and food price shocks. Generalised impulse response functions and generalised forecast variance decompositions are employed to track the impact of oil and food price shocks on Pakistan's economy. The results suggest that oil price shocks negatively affect industrial production, appreciates real effective exchange rate and positively affect inflation, either the shocks are positive or negative. Only the oil and food price shocks have asymmetric impact on the short-term interest rate. In contrast, following the positive (or negative) food price shock, industrial output, interest rate and inflation rate respond positively. However, the variation in interest rate due to food price shock is relatively larger than that of oil price shocks. Generalised impulse response functions reveal that real effective exchange rate is the most important source of disturbances following either oil price or food price shocks. Generalised forecast variance decompositions analysis also supports the findings based on generalised impulse response functions. The results clearly reveal that oil and food price shocks significantly affect output, short-term interest rate, inflation rate and the real effective exchange rate. However, among all, real effective exchange rate has been a dominant source of variation in Pakistan. This implies that supply-side and demand-side disturbances originated by external shocks are the major sources of variation in output and inflation in Pakistan.
{"title":"Revisiting the Macroeconomic Effects of Oil and Food Price Shocks to Pakistan Economy: A Structural Vector Autoregressive (SVAR) Analysis","authors":"Muhammad Arshad Khan, Ayaz Ahmed","doi":"10.1111/opec.12020","DOIUrl":"https://doi.org/10.1111/opec.12020","url":null,"abstract":"This study examines the impact of global food and oil price shocks and their transmission channels to the selected macroeconomic variables including the inflation rate, output, money balances, interest rate and real effective exchange rate for Pakistan using monthly data over the period 1990M1–2011M7. An empirical analysis is carried out by employing a structural vector autoregressive framework to identify different structural shocks and explore the relative contribution of oil and food price shocks. Generalised impulse response functions and generalised forecast variance decompositions are employed to track the impact of oil and food price shocks on Pakistan's economy. The results suggest that oil price shocks negatively affect industrial production, appreciates real effective exchange rate and positively affect inflation, either the shocks are positive or negative. Only the oil and food price shocks have asymmetric impact on the short-term interest rate. In contrast, following the positive (or negative) food price shock, industrial output, interest rate and inflation rate respond positively. However, the variation in interest rate due to food price shock is relatively larger than that of oil price shocks. Generalised impulse response functions reveal that real effective exchange rate is the most important source of disturbances following either oil price or food price shocks. Generalised forecast variance decompositions analysis also supports the findings based on generalised impulse response functions. The results clearly reveal that oil and food price shocks significantly affect output, short-term interest rate, inflation rate and the real effective exchange rate. However, among all, real effective exchange rate has been a dominant source of variation in Pakistan. This implies that supply-side and demand-side disturbances originated by external shocks are the major sources of variation in output and inflation in Pakistan.","PeriodicalId":103205,"journal":{"name":"Wiley-Blackwell: OPEC Energy Review","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128394411","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In this paper, the relationship between electricity consumption (LEC) and economic growth (LGDP) using Autoregressive Distributed Lag (ARDL) model and Granger causality within error correction framework in India over the period 1970–1971 to 2009–2010 are analysed. The results of these tests exhibit the existence of long-run equilibrium relationship and bilateral causality in case of India. Then, Hodrick–Prescott filter is used to decompose the data into trend and cyclical (fluctuation) components of electricity consumption and economic growth. The results of decomposed series revealed that both series are cointegrated with the strong evidence of bidirectional causality, implying that trend and cyclical components are strongly correlated with business cycles in India. From these findings, we conclude that the feedback hypothesis is applicable in case of India. Therefore, government should undertake necessary policy measures to augment the investment in power sector from existing level and more importantly the emphasis should also be given on the efficient use of electricity.
{"title":"On the Role of the Trend and Cyclical Components in Electricity Consumption and India's Economic Growth: A Cointegration and Cofeature Approach","authors":"W. Ahmad, Md. Zulquar Nain, B. Kamaiah","doi":"10.1111/opec.12028","DOIUrl":"https://doi.org/10.1111/opec.12028","url":null,"abstract":"In this paper, the relationship between electricity consumption (LEC) and economic growth (LGDP) using Autoregressive Distributed Lag (ARDL) model and Granger causality within error correction framework in India over the period 1970–1971 to 2009–2010 are analysed. The results of these tests exhibit the existence of long-run equilibrium relationship and bilateral causality in case of India. Then, Hodrick–Prescott filter is used to decompose the data into trend and cyclical (fluctuation) components of electricity consumption and economic growth. The results of decomposed series revealed that both series are cointegrated with the strong evidence of bidirectional causality, implying that trend and cyclical components are strongly correlated with business cycles in India. From these findings, we conclude that the feedback hypothesis is applicable in case of India. Therefore, government should undertake necessary policy measures to augment the investment in power sector from existing level and more importantly the emphasis should also be given on the efficient use of electricity.","PeriodicalId":103205,"journal":{"name":"Wiley-Blackwell: OPEC Energy Review","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128675696","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2013-03-01DOI: 10.1111/j.1753-0237.2012.00230.x
Bernard Ben Sita, Ranim Haidar
We investigate the impact of bills about energy policy, introduced and discussed in the US Congress, on the conditional variance process of the five largest Gulf Cooperation Council (GCC) stock markets. Using an augmented asymmetric Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) model, we investigate the hypothesis that public news associated with US energy policy leads to the reversion of the conditional variance process. Our findings are consistent with the information hypothesis. GCC stock variance tends to revert on days when bills are introduced and discussed in the US Congress.
{"title":"US Energy Policies and Variance in the GCC Stock Markets","authors":"Bernard Ben Sita, Ranim Haidar","doi":"10.1111/j.1753-0237.2012.00230.x","DOIUrl":"https://doi.org/10.1111/j.1753-0237.2012.00230.x","url":null,"abstract":"We investigate the impact of bills about energy policy, introduced and discussed in the US Congress, on the conditional variance process of the five largest Gulf Cooperation Council (GCC) stock markets. Using an augmented asymmetric Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) model, we investigate the hypothesis that public news associated with US energy policy leads to the reversion of the conditional variance process. Our findings are consistent with the information hypothesis. GCC stock variance tends to revert on days when bills are introduced and discussed in the US Congress.","PeriodicalId":103205,"journal":{"name":"Wiley-Blackwell: OPEC Energy Review","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122383977","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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