In this article, we develop a two-factor model of commodity prices that allows meanreversion in short-term prices and uncertainty in the equilibrium level to which prices revert. Although these two factors are not directly observable, they may be estimated from spot and futures prices. Intuitively, movements in prices for long-maturity futures contracts provide information about the equilibrium...

this paper investigates the short- run and long-run effects of government size and exports on the economic growth of iran as a developing oil export based economy for the period of 1974 - 2008 using an autoregressive distributed lags (ardl) framework. a modified form of feder (1982) and subsequently ram’s (1986) model has been applied to include both government size and exports in growth equati...

We consider the linkage between stock prices and exchange rates in four Middle East emerging markets. The existing evidence on stock prices and exchange rates typically relies on introduction of a global market index. On the contrary, we find that for the countries of our sample oil prices emerge as the dominant factor in the above relationship. When we focus on the extended sample we do not de...

According to the standard analysis of commodity prices, stockpiling is a necessary signature of speculation. This paper develops an approach suggesting that speculation may temporarily push crude oil prices above the level justified by physical-market fundamentals, without necessarily resulting in a significant increase in oil inventories. Looking beyond debate on the value of oil-demand price-...

a r t i c l e i n f o JEL classification: Q43 F3 G14 G15 Keywords: Stock market returns Oil price fluctuations Gregory–Hansen co-integration test Toda–Yamamoto Granger non-causality test The main focus of this study is to examine how oil price fluctuations influence the performance of stock markets. This study used the causality approach developed by Toda and Yamamoto (1995) to explore the caus...

Using a structural VAR with block exogeneity, diagonality and identifying restrictions, this paper analyzes: first, the macroeconomic linkages among the oil price, U.S. output, interest rate, money supply, general price level and exchange rate and second, the relationships of the macroeconomic variables with the price indices of ten international nonfuel commodity groups. By assuming the block ...

in this paper, a novel hybrid model based on neural network and game theory is proposed to support the analyzers in oil market. in this model, first the neural network is utilized to learn the oil prices associated with opec production level and usa imports level. then the learned neural network is applied by a game model. finally the nash equilibrium points of the game present the optimum deci...

This study further develops a party to party gas price bargaining model (expanded in a research paper by Okugu, 2002) by using proxies of prices of these replacement fuels in OPEC spot oil prices and Henry Hub (HH) spot gas prices. The study finds a significant relationship between the variables. When optimally lagged data are analysed in a vector autoregressive model, a significant longer-term...

Beginning in 2009, in many advanced economies, policy rates reached their zero lower bound (ZLB). Almost at the same time, oil prices started rising again. We analyze how the ZLB affects the propagation of oil shocks. As these shocks move inflation and output in opposite directions, their effects on economic activity are cushioned when monetary policy is constrained. The burst of inflation from...

We attempt to determine the impact of production decisions on the price of heating oil. A model for the production of distillate fuel oil is proposed. Its solution, obtained using stochastic dynamic programming, closely matches history. By perturbing the problem in a deliberate manner, we can determine the value of additional units of inventory by examining diierences in costs. Using these diie...