OPEC news and predictability of oil futures returns and volatility: Evidence from a nonparametric causality-in-quantiles approach

This paper provides a novel perspective to the predictive ability of OPEC meeting dates and production announcements for (Brent Crude and West Texas Intermediate) oil futures market returns and GARCH-based volatility using a nonparametric quantile-based methodology. We show a nonlinear relationship between oil futures returns and OPEC-based predictors; hence, linear Granger causality tests are misspecified and the linear model results of non-predictability are unreliable. When the quantile-causality test is implemented, we observe that the impact of OPEC variables is restricted to Brent Crude futures only (with no effect observed for the WTI market). Specifically, OPEC production announcements, and meeting dates predict only lower quantiles of the conditional distribution of Brent futures market returns. While, predictability of volatility covers the majority of the quantile distribution, barring extreme ends.     

The relationship between oil prices,the stock market and the exchange rate: Evidence from Mexico

This paper analyzes the variables of oil price, exchange rate and stock market index to explain how they interact with each other in the Mexican economy. The examined period includes monthly data from January 1992 to June 2017. A Vector Autoregressive Model (VAR) is implemented that includes oil prices, the nominal exchange rate, the Mexican stock market index, and the consumer price index. Results indicate that the exchange rate has a negative and statistically significant effect on the stock market index; this indicates that an appreciation of the exchange rate is related to an increase in the stock market index. It is also found that the consumer price index has a positive effect on the exchange rate and a negative effect on the stock market index. The results also indicate that oil prices are statistically significant against the exchange rate, concluding that an increase in oil prices creates an appreciation of the exchange rate. In addition, the impulse-response functions show that the effects found tend to disappear over time.     

Heterogeneity dependence between oil prices and exchange rate: Evidence from a parametric test of Granger causality in quantiles

This paper re-examines the nexus between crude oil price and exchange rate by investigating their heterogeneity dependence structure within the framework of Granger causality in quantiles for a sample of developed and emerging economies (namely UK, Canada, Brazil, Russia, Mexico, Norway, India, Japan, South Africa, South Korea and European Union (EU)). The results indicate no distinct causality between the crude oil price changes and the real exchange rate returns for all countries besides Russia at the median of the conditional distribution. Besides, the crude oil price changes influence the exchange rate returns in all countries, except Norway and EU, particularly around the tails of the conditional distributions of exchange rate returns. This suggests that the oil price changes influence the real exchange rate returns when the real exchange rate returns are either in extreme appreciation or depreciation. Moreover, the crude oil price movement can be explained by the exchange rate returns for most oil importers only when the crude oil market is bearish or bullish. By contrast, the real exchange rate can permanently affect the crude oil price for most oil-importing countries irrespective of the crude oil market's state. Finally, our findings provide an essential reference for managing the extreme risk dependence between the exchange rate market and the crude oil market.     

油气资产弃置费用的计量研究

文章综合国内外油气资产弃置费用计量的研究现状,结合油气资产分类以及弃置费用相关特征,提出弃置费用的计提原则。     

Wavelet coherence analysis of returns,volatility and interdependence of the US and the EU money markets: Pre & post crisis

This research analyse the US and the EU money markets interdependence from 2004 to 2018. The study explains to what extent the volatility of the chosen money markets instruments in two regions is inter-correlated before, during and after the financial crisis of 2008. We apply the econometric analysis and estimate time-series models of class GARCH to study the historical dynamics of interbank rates and bond returns. The study demonstrates that correlation between returns of analogous money market instruments in the EU and US is not stable over time. We find that correlation rises in periods when countries are exposed to the same external shocks as global financial crisis. Wavelet coherence analysis suggests that investors do not get any advantages of portfolio diversification investing only in US treasuries with different maturities for more than 256 days and do not get any advantages at all investing only in European bonds.     

The impact of oil prices and the financial market on cost efficiency in the insurance and Takaful sectors: Evidence from a stochastic frontier analysis

The Gulf Cooperation Council’s (GCC) insurance industry, including conventional insurance and Takaful, has witnessed remarkable growth during the last decade. However, the economies of this region rely on oil as the primary stream of revenue and lack development in financial markets. This could affect the insurance industry. For this reason, this paper examines the impact of oil prices and the financial market on the cost efficiency of the insurance and Takaful sectors in GCC countries using a stochastic frontier cost function with data from 2009–2016. The results show that the relationship between oil prices and efficiency changes from positive to negative when the prices increase, whereas the relationship between the financial market and efficiency is negative. No clear evidence of the impact of oil prices on efficiency arises from the differences between conventional insurance and Takaful. However, there are differences regarding the financial market, with a negative impact on conventional insurance and a positive one on the Takaful business. The results of this study have implications for regulators and management. The Takaful industry is rapidly growing compared to conventional insurance in the GCC and, therefore, the financial market may have added benefits for the GCC region. However, caution is required in relation to the impact of the financial market on conventional insurance. Furthermore, management may require the development of strategies to deal with the nature of GCC economies to avoid shocks to oil prices.     

Eco-efficiency changes of the electricity and gas sectors across 28 European countries: A value-based data envelopment analysis productivity approach

This paper assesses the relative eco-efficiency changes in the electricity and gas sector (E&G)' production and consumption chains in 28 European countries. We propose a novel robustness assessment for the productivity index, specifically adjusted to value-based data envelopment analysis. Overall, results indicate that total factor productivity gains have been mainly driven by the catch-up effect across all chains of the E&G sector. When a more demanding perspective concerning negative environmental externalities is adopted, we find that the number of European countries that achieved productivity gains across all chains decreases. Besides, results depict the existence of lower productivity gains for the direct production chain when compared with the direct and indirect supply chains of the E&G sector. Germany, Luxembourg, and Belgium were consistently viewed as innovators across all chains, according to the environmental perspective. Several Eastern Europe countries usually viewed as policy laggards that resisted adopting the ambitious European decarbonization targets, showed total factor productivity gains in the supply chain of the E&G sector under a more environmental demanding perspective. Czechia was the only country with productivity losses across all chains, due to increasing coal-fired electricity generation in the time horizon assessed. The current partial return to coal as a source of electricity, due to the geopolitical tensions between Russia and Europe, brings additional challenges to the enhancement of the eco-efficiency of the European E&G sector.     

A study of the efficiency of the Chinese clean energy stock market and its correlation with the crude oil market based on an asymmetric multifractal scaling behavior analysis

We examine the multifractal scaling behavior and market efficiency of China’s clean energy stock indexes using an asymmetric multifractal detrended fluctuation analysis (A-MFDFA) and then investigate the tail correlation between this index and the crude oil market via an asymmetric multifractal detrended cross-correlation analysis (A-MFDCCA). First, we reveal that the overall, upward and downward trends of the clean energy stock indexes all have significant multifractal characteristics. The clean energy stock market is far from efficient regardless of whether the fluctuations are small or large. In addition, both upward and downward fluctuations exhibit considerable asymmetry. The significant gap between the downward and overall trends indicates that the downward trend following small-scale fluctuations implies weaker efficiency for investors. Furthermore,based on the sliding market deficiency measure (MDM),we find that the change in efficiency in the three trends significantly depends on the length of the window. In the short term, there is no significant efficiency difference among these three trends; however, in the long term, the asymmetry in the upward and downward trends has gradually increased,especially after December 2018. The results demonstrate that bear markets can offer considerably more opportunities for obtaining excess profits. Finally, we reveal that the cross-correlation between the trends of crude oil prices and low-carbon indexes exhibits significant multifractal characteristics. When the crude oil market is in a bull market or the low-carbon energy market is in a bear market, especially in a larger-scale fluctuation, investors should pay attention to the long-term influence of the counterparty market and carry out a hedging operation to avoid risks.