Oil commodity returns and macroeconomic factors: A time-varying approach

This paper analyses the dynamic influence of macroeconomic factors on oil commodity returns (crude oil and heating oil) shown in monthly data over the period of 1990–2013. Using a time-varying parameter model via the Kalman filter, we find that macroeconomic factors are relevant for explaining oil commodity returns. We find that multilateral exchange rates have a negative effect on commodity returns. We confirm the existence of a strong linkage between energy and non-energy commodities. More importantly, we find shifts in global demand and SP500 effects that are not identified through the constant parameter model. These variables have had a progressively positive effect on oil commodity returns, especially since 2008.     

The applicability of a national focus State of the Future Index (SOFI) on developing nations and the Implications for Stabilisation Operations—A case study of Timor-Leste

This paper argues for the applicability of utilising the State of the Future Index to forecast the future of small developing nations across a range of areas that are considered important determinants of the type of future a developing country is likely to experience. This analysis provides an insight into the benefits of using such a tool for creating more effective policy towards Official Development Assistance (ODA) and its impact on Stabilisation Operations, in addition to measuring the success and effectiveness of previous policies. Timor-Leste was chosen as a case study because of its contemporary policy significance to Australia and the considerable amount of resources that the Australian government has committed, both directly and indirectly, to its reconstruction. Outputs from the State of the Future Index (SOFI) are used to track some of the key variables that will be significant drivers of future change in Timor-Leste. Hence, Timor's progress at a national level can be monitored. Moreover, individual economic, societal and demographic forecasts provide a more in-depth perspective of the drivers of change and future challenges that Timor-Leste will face.     

Management of petroleum hydrocarbon contaminated sites in Nigeria: Current challenges and future direction

Sites affected by petroleum hydrocarbons from oil exploitation activities have been identified as a major environmental and socio-economic problem in the Niger Delta region of Nigeria. The current Nigerian regulatory instruments to manage these contaminated sites are fragmented and the roles and responsibilities of government agencies, such as the Department for Petroleum Resources (DPR), and the National Oil Spill Detection and Response Agency (NOSDRA), are not well defined. This lack of coordination has led to ineffective land contamination policy and poor enforcement more generally. Appropriate, risk-based policy instruments are needed to improve regulatory capacity, and to enhance the regulator's ability to manage new and existing petroleum hydrocarbons contaminated sites. Lessons can be learned from countries like the United Kingdom (UK) and the United States America (USA) that have experience with the management and clean up of historically contaminated land. In this paper, we review the status of petroleum hydrocarbon contaminated sites management in Nigeria and identify the gaps in existing policy and regulation. We review the contaminated land policies and regulation from the UK and the USA, and identify lessons that could be transferred to the Nigerian system. Finally, we provide a series of recommendations (e.g. source – pathway-receptor approach, soil screening criteria, clean-up funding, liability) that could enhance contaminated land legislation in Nigeria.     

Quantification of the high level of endogeneity and of structural regime shifts in commodity markets

We propose a “reflexivity” index that quantifies the relative importance of short-term endogeneity for several commodity futures markets (corn, oil, soybean, sugar, and wheat) and a benchmark equity futures market (E-mini S&P 500), from mid-2000s to October 2012. Our reflexivity index is defined as the average ratio of the number of price moves that are due to endogenous interactions to the total number of all price changes, which also include exogenous events. It is obtained by calibrating the Hawkes self-excited conditional Poisson model on time series of price changes. The Hawkes model accounts simultaneously for the co-existence and interplay between the exogenous impact of news and the endogenous mechanism by which past price changes may influence future price changes. Our robustness tests show that our index provides a ‘pure’ measure of endogeneity that is independent of the rate of activity, order size, volume or volatility. We find an overall increase of the reflexivity index since the mid-2000s to October 2012, which implies that at least 60–70 percent of commodity price changes are now due to self-generated activities rather than novel information, compared to 20–30 percent earlier. While our reflexivity index is defined on short-time windows (10–30 min) and thus does not capture long-term memory, we discover striking coincidence between its dynamics and that of the price hikes and abrupt falls that developed since 2006 and culminated in early 2009.     

Relationship between oil,stock prices and exchange rates: A vine copula based GARCH method

In this paper, we apply a vine copula approach to investigate the dynamic relationship between energy, stock and currency markets. Dependence modeling using vine copulas offers a greater flexibility and permits the modeling of complex dependency patterns for high-dimensional distributions. Using a sample of more than 10 years of daily return observations of the WTI crude oil, the Dow Jones Industrial average stock index and the trade weighted US dollar index returns, we find evidence of a significant and symmetric relationship between these variables. Considering different sample periods show that the dynamic of the relationship between returns is not constant over time. Our results indicate also that the dependence structure is highly affected by the financial crisis and Great Recession, over 2007–2009. Finally, there is evidence to suggest that the application of the vine copula model improves the accuracy of VaR estimates, compared to traditional approaches.     

A MILP model for planning the trips of dynamic positioned tankers with variable travel time

The transportation of the crude oil produced in offshore oilfields to onshore terminals is performed by vessels, known as shuttle tankers. Scheduling shuttle-tanker operations entails solving complex problems to ensure a timely offloading of the platforms, taking into account several logistics and inventory constraints. This work proposes a new MILP formulation that advances previous works by considering variable travel time between platforms and terminals. The combination of the MILP formulation with an optimization solver constitutes a decision-support tool to aid engineers reach optimal decisions for a planning horizon. To handle large-scale instances, rolling-horizon and relax-and-fix strategies are proposed.     

Futures and futures options with basis risk: theoretical and empirical perspectives

Under a no-arbitrage assumption, the futures price converges to the spot price at the maturity of the futures contract, where the basis equals zero. Assuming that the basis process follows a modified Brownian bridge process with a zero basis at maturity, we derive the closed-form solutions of futures and futures options with the basis risk under the stochastic interest rate. We make a comparison of the Black model under a stochastic interest rate and our model in an empirical test using the daily data of S&P 500 futures call options. The overall mean errors in terms of index points and percentage are ?4.771 and ?27.83%, respectively, for the Black model and 0.757 and 1.30%, respectively, for our model. This evidence supports the occurrence of basis risk in S&P 500 futures call options.     

Exploring the design of conscious media

Our existing model of media, based upon a consumptive-materialist–atomistic orientation, falls short in seeking to promote mainstream awareness of systemic and integral thinking in society-at-large. This paper presents evolutionary guidance media, a new model for media arising from evolutionary perspectives including systems science, humanistic, transpersonal and integral studies designed to promote planetary consciousness and give rise to an ecological–spiritual–integral mindset. Two key elements of evolutionary guidance media are discussed: a databank containing purposeful data from nine or more dimensions of human activity, and transception, the infusion of cyberception with qualities arising from mutual causality. Specific types of transception are introduced including Gaiaception, Agoraception, and Dharmaception. Organizations and companies already in the process of creating green media, socially responsible media, and spiritual, or transformational media are vanguards of the development of conscious media.     

Is the January effect still alive in the futures markets?

The January effect concerns the fact that small capitalization stocks have historically outperformed large capitalized stocks in January. We analyze evidence as to whether this anomaly can be exploited in the futures markets as a speculative investment or to add risk-adjusted value to portfolio performance. We find that the January effect is still alive in the futures markets on the Value Line minus S&P 500 spread trade, but that the marginal liquidity of the Value Line stock index futures contract has made it very risky to exploit the effect. Historically from 1982/3 to 2004/5, the trade has been profitable. This anomaly was also exploitable through a Russell 2000 minus S&P 500 spread trade from 1993/4 to 2004/5.

对外开放条件下的金融安全问题

我国近几年外贸顺差的连创新高,并且进、出口增长的走势与世界经济的联动性日益明显,我国的实体经济已经越来越融入全球经济的大环境当中。同时,我们外贸结构的升级也正在以更快的步伐前进,我国双边贸易的高速增长仍将维持一段时间。中国股市在经历了“2.27”暴跌之后,全球各主要股市随后也遭到重挫。笔者并不认为目前中国的股市对于全球市场有如此巨大的影响,但是全球石油美元的流动以及日元利差交易的变化情况已经逐渐受到国内投资者的重视,中国资本市场已经成为了全球市场的重要一环。在国内实体经济、虚拟经济与世界联动性不断增强的背景下,我们应该更加关注外部因素对于国内经济稳定性的影响,同时也要从其他国家的历史发展经验当中吸取金融安全监管方面的教训。