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Full-Text Articles in Social and Behavioral Sciences
Contratação E Investimento Em Capacidade De Geração Na Indústria De Energia Elétrica: Uma Abordagem Baseada Na Teoria De Jogos, Gladstone B. Alves
Contratação E Investimento Em Capacidade De Geração Na Indústria De Energia Elétrica: Uma Abordagem Baseada Na Teoria De Jogos, Gladstone B. Alves
Gladstone B. Alves
No abstract provided.
On The Robustness Of Robustness Checks Of The Environmental Kuznets Curve, Marzio Galeotti, Matteo Manera, Alessandro Lanza
On The Robustness Of Robustness Checks Of The Environmental Kuznets Curve, Marzio Galeotti, Matteo Manera, Alessandro Lanza
Matteo Manera
Since its first inception in the debate on the relationship between environment and growth in 1992, the Environmental Kuznets Curve has been subject of continuous and intense scrutiny. The literature can be roughly divided in two historical phases. Initially, after the seminal contributions, additional work aimed to extend the investigation to new pollutants and to verify the existence of an inverted-U shape as well as assessing the value of the turning point. The following phase focused instead on the robustness of the empirical relationship, particularly with respect to the omission of relevant explanatory variables other than GDP, alternative datasets, functional …
The Asymmetric Effects Of Oil Shocks On Output Growth: A Markov-Switching Analysis For The G-7 Countries, Alessandro Cologni, Matteo Manera
The Asymmetric Effects Of Oil Shocks On Output Growth: A Markov-Switching Analysis For The G-7 Countries, Alessandro Cologni, Matteo Manera
Matteo Manera
In this paper we specify and estimate different Markov-switching (MS) regime autoregressive models. The empirical performance of the univariate MS models used to describe the switches between different economic regimes for the G-7 countries is in general not satisfactory. We extend these models to verify if the inclusion of asymmetric oil shocks as an exogenous variable improves the ability of each specification to identify the different phases of the business cycle for each country under scrutiny. Following the wide literature on this topic, we have considered six different definitions of oil shocks: oil price changes, asymmetric transformations of oil price …
Asymmetric Error Correction Models For The Oil-Gasoline Price Relationship, Margherita Grasso, Matteo Manera
Asymmetric Error Correction Models For The Oil-Gasoline Price Relationship, Margherita Grasso, Matteo Manera
Matteo Manera
The existing literature on price asymmetries does not systematically investigate the sensitivity of the empirical results to the choice of a particular econometric specification. This paper fills this gap by providing a detailed comparison of the three most popular models designed to describe asymmetric price behaviour, namely asymmetric ECM, autoregressive threshold ECM and ECM with threshold cointegration. Each model is estimated on a common monthly dataset for the gasoline markets of France, Germany, Italy, Spain and UK over the period 1985-2003. All models are able to capture the temporal delay in the reaction of retail prices to changes in spot …
Econometric Models Of Asymmetric Price Transmission, Giliola Frey, Matteo Manera
Econometric Models Of Asymmetric Price Transmission, Giliola Frey, Matteo Manera
Matteo Manera
In this paper we review the existing empirical literature on price asymmetries in commodities, providing a way to classify and compare different studies which are highly heterogeneous in terms of econometric models, type of asymmetries and empirical findings. Relative to the previous literature, this paper is novel in several respects. First, it presents a detailed and updated survey of the existing empirical contributions on the existence of price asymmetries in the transmission mechanism linking input prices to output prices. Second, this paper presents an extension of the traditional distinction between long-run and short-run asymmetries to new categories of asymmetries, such …
Oil Prices, Inflation And Interest Rates In A Sstructural Cointegrated Var Model For The G-7 Countries, Alessandro Cologni, Matteo Manera
Oil Prices, Inflation And Interest Rates In A Sstructural Cointegrated Var Model For The G-7 Countries, Alessandro Cologni, Matteo Manera
Matteo Manera
Sharp increases in the price of oil are generally seen as a major contributor to business cycle asymmetries. Moreover, the very recent highs registered in the world oil market are causing concern about possible slowdowns in the economic performance of the most developed countries. While several authors have considered the direct channels of transmission of energy price increases, other authors have argued that the economic downturns arose from the monetary policy response to the inflation presumably caused by oil price increases. In this paper a structural cointegrated VAR model has been considered for the G-7 countries in order to study …
Conditional Correlations In The Returns On Oil Companies Stock Prices And Their Determinants, Massimo Giovannini, Margherita Grasso, Alessandro Lanza, Matteo Manera
Conditional Correlations In The Returns On Oil Companies Stock Prices And Their Determinants, Massimo Giovannini, Margherita Grasso, Alessandro Lanza, Matteo Manera
Matteo Manera
The identification of the forces that drive stock returns and the dynamics of their associated volatilities is a major concern in empirical economics and finance. This analysis is particularly relevant for determining optimal hedging strategies based on whether shocks to the volatilities of returns of oil companies stock prices, relevant stock market indexes and oil spot and futures prices are high or low, and positively or negatively correlated. This paper investigates the correlations of volatilities in the stock price returns and their determinants for the most important integrated oil companies, namely Bp (BP), Chevron-Texaco (CVX), Eni (ENI), Exxon-Mobil (XOM), Royal …
Oil And Product Price Dynamics In International Petroleum Markets, Alessandro Lanza, Matteo Manera, Massimo Giovannini
Oil And Product Price Dynamics In International Petroleum Markets, Alessandro Lanza, Matteo Manera, Massimo Giovannini
Matteo Manera
In this paper we investigate crude oil and products price dynamics. We present a comparison among ten price series of crude oils and fourteen price series of petroleum products, considering four distinct market areas (Mediterranean, North Western Europe, Latin America and North America) over the period 1994-2002. We provide first a complete analysis of crude oil and product price dynamics using cointegration and error correction models. Subsequently we use the error correction specification to predict crude oil prices over the horizon January 2002-June 2002.The main findings of the paper can be summarized as follows: a) differences in quality are crucial …
Star-Garch Models For Stock Market Interactions In The Pacific Basin Region, Japan And Us, Giorgio Busetti, Matteo Manera
Star-Garch Models For Stock Market Interactions In The Pacific Basin Region, Japan And Us, Giorgio Busetti, Matteo Manera
Matteo Manera
We investigate the financial interactions between countries in the Pacific Basin region (Korea, Singapore, Malaysia, Hong Kong and Taiwan), Japan and US. The originality of the paper is the use of STAR-GARCH models, instead of standard correlationcointegration techniques. For each country in the Pacific Basin region, we find statistically adequate STAR-GARCH models for the series of stock market daily returns, using Nikkei225 and S&P500 as alternative threshold variables. We provide evidence for the leading role of Japan in the period 1988-1990 (pre-Japanese crisis years), whereas our results suggest that the Pacific Basin region countries are more closely linked with the …
Modelling The Load Curve Of Aggregate Electricity Consumption Using Principal Components, Matteo Manera, Angelo Marzullo
Modelling The Load Curve Of Aggregate Electricity Consumption Using Principal Components, Matteo Manera, Angelo Marzullo
Matteo Manera
Since oil is a non-renewable resource with a high environmental impact, and its most common use is to produce combustibles for electricity, reliable methods for modelling electricity consumption can contribute to a more rational employment of this hydrocarbon fuel. In this paper we apply the Principal Components (PC) method to modelling the load curves of Italy, France and Greece on hourly data of aggregate electricity consumption. The empirical results obtained with the PC approach are compared with those produced by the Fourier and constrained smoothing spline estimators. The PC method represents a much simpler and attractive alternative to modelling electricity …
Rockets And Feathers Revisited: An International Comparison On European Gasoline Markets, Marzio Galeotti, Alessandro Lanza, Matteo Manera
Rockets And Feathers Revisited: An International Comparison On European Gasoline Markets, Marzio Galeotti, Alessandro Lanza, Matteo Manera
Matteo Manera
This paper re-examines the issue of asymmetries in the transmission of shocks to crude oil prices onto the retail price of gasoline. Relative to the previous literature, the distinguishing features of the present paper are: i) use of updated and comparable data to carry out an international comparison of gasoline markets; ii) two-stage modeling of the transmission of oil price shocks to gasoline prices (first refinery stage and second distribution stage), in order to assess possible asymmetries at either one or both stages; iii) use of asymmetric error correction models to distinguish between asymmetries that arise from short-run deviations in …