This paper investigates the time-varying volatility patterns of some major commodities as well as the potential factors that drive their long-term volatility component. For this purpose, we make use of a recently proposed GARCH-MIDAS approach which typically allows us to examine the role of economic and financial variables of different frequencies. Using commodity futures for crude oil (WTI and Brent), gold, silver and platinum, our results show the necessity of disentangling the short- and long-term components in modeling and forecasting commodity volatility. They also indicate that the long-term volatility of most commodity futures is significantly driven by the level of the general real economic activity as well as the changes in consumer sentiment, industrial production, and economic policy uncertainty. However, the forecasting results are not alike across commodity futures as no single model fits all commodities.
{"title":"Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables","authors":"D. K. Nguyen, T. Walther","doi":"10.2139/ssrn.3294967","DOIUrl":"https://doi.org/10.2139/ssrn.3294967","url":null,"abstract":"This paper investigates the time-varying volatility patterns of some major commodities as well as the potential factors that drive their long-term volatility component. For this purpose, we make use of a recently proposed GARCH-MIDAS approach which typically allows us to examine the role of economic and financial variables of different frequencies. Using commodity futures for crude oil (WTI and Brent), gold, silver and platinum, our results show the necessity of disentangling the short- and long-term components in modeling and forecasting commodity volatility. They also indicate that the long-term volatility of most commodity futures is significantly driven by the level of the general real economic activity as well as the changes in consumer sentiment, industrial production, and economic policy uncertainty. However, the forecasting results are not alike across commodity futures as no single model fits all commodities.","PeriodicalId":448147,"journal":{"name":"EnergyRN: Other Energy Finance","volume":"101 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115326219","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}
J. Blasch, M. Filippini, Nilkanth Kumar, Adan L. Martinez-Cruz
There is evidence that many individuals make sub-optimal investment decisions when the benefits and costs associated with that decision are distributed over time. One example is the decision to adopt new electrical appliances, with the benefits of choosing a more energy efficient device materializing only in the future. This paper analyses the impact of the level of an individual’s energy-related investment literacy on the adoption of energy-efficient appliances. Moreover, the empirical analysis explores the impact of decision support tools such as educational slides on the probability that individuals identify the appliance with the lowest lifetime cost, which is ideally also the most energy-efficient appliance. To test the influence of these decision support tools, we developed an online randomized controlled trial and implemented it on two independently chosen samples of the Swiss population. One treatment offers a short education program on how to calculate the lifetime cost of an appliance – via a set of information slides. The second intervention provides access to an online calculator that supports the investment decision-making of the individual. Results across the two samples are encouraging. We find that i) pre-treatment energy and investment literacy positively impact on the probability of identifying the appliance with the lowest lifetime cost; ii) the reinforcement of energy-related investment literacy increases the rate at which individuals identify the appliance with the lowest lifetime cost; and iii) while both interventions are effective in increasing the chances that an appliance with the lower lifetime cost is chosen, the online calculator turned out to be more effective than the educational program. Public policy implications are discussed.
{"title":"Narrowing the Energy Efficiency Gap: The Impact of Educational Programs, Online Support Tools and Energy-Related Investment Literacy","authors":"J. Blasch, M. Filippini, Nilkanth Kumar, Adan L. Martinez-Cruz","doi":"10.2139/ssrn.3043233","DOIUrl":"https://doi.org/10.2139/ssrn.3043233","url":null,"abstract":"There is evidence that many individuals make sub-optimal investment decisions when the benefits and costs associated with that decision are distributed over time. One example is the decision to adopt new electrical appliances, with the benefits of choosing a more energy efficient device materializing only in the future. This paper analyses the impact of the level of an individual’s energy-related investment literacy on the adoption of energy-efficient appliances. Moreover, the empirical analysis explores the impact of decision support tools such as educational slides on the probability that individuals identify the appliance with the lowest lifetime cost, which is ideally also the most energy-efficient appliance. To test the influence of these decision support tools, we developed an online randomized controlled trial and implemented it on two independently chosen samples of the Swiss population. One treatment offers a short education program on how to calculate the lifetime cost of an appliance – via a set of information slides. The second intervention provides access to an online calculator that supports the investment decision-making of the individual. Results across the two samples are encouraging. We find that i) pre-treatment energy and investment literacy positively impact on the probability of identifying the appliance with the lowest lifetime cost; ii) the reinforcement of energy-related investment literacy increases the rate at which individuals identify the appliance with the lowest lifetime cost; and iii) while both interventions are effective in increasing the chances that an appliance with the lower lifetime cost is chosen, the online calculator turned out to be more effective than the educational program. Public policy implications are discussed.","PeriodicalId":448147,"journal":{"name":"EnergyRN: Other Energy Finance","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125199987","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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