SABIIA - Sistema Aberto e Integrado de Informação em Agricultura (Sabiia)

Cattaneo, Cristina; Manera, Matteo; Scarpa, Elisa.

In recent years, concerns regarding the environmental implications of the rising coal demand have induced considerable efforts to generate long-term forecasts of China’s energy requirements. Nevertheless, none of the previous empirical studies on energy demand for China has tackled the issue of modelling coal demand in China at provincial level. The aim of this paper is to fill this gap. In particular, we model and forecast the Chinese demand for coal using time series data disaggregated by provinces. Moreover, not only does our analysis account for heterogeneity among provinces, but also, given the nature of the data, it captures the presence of spatial autocorrelation among provinces using a spatial econometric model. A fixed effects spatial lag model...

Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach

Palavras-chave: Energy demand; Coal demand; China; Spatial econometrics; Panel data; Forecasting; Resource /Energy Economics and Policy; C23; E6; Q31; Q41.

Ano: 2008

URL: http://purl.umn.edu/44425

Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria.

This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between commodities are present and the conditional correlations among commodities are high and time-varying.

Tipo: Working Paper

Palavras-chave: Energy; Commodities; Futures Markets; Financial Speculation; Multivariate GARCH; Financial Economics; C32; G13; Q11; Q43.

Ano: 2012

URL: http://purl.umn.edu/122868

Exogenous Oil Shocks, Fiscal Policy and Sector Reallocations in Oil Producing Countries

Previous literature has suggested that different mechanisms of transmission of exogenous oil shocks are responsible for the negative effects on the economic performances of oil exporting countries. This paper aims at providing further evidence on the role of sectoral reallocation between private and public sectors in explaining the impact of shocks to oil revenues on the economic growth rates of major oil producing countries (namely the GCC - Gulf Corporation Council - countries). The effects of oil shocks and expansionary fiscal policy on the business cycle of oil producing countries are examined. The possibility to distinguish between various components of public sector spending policy (that is, purchases of consumption goods, investments in productive...

Oil Prices, Inflation and Interest Rates in a Structural Cointegrated VAR Model for the G-7 Countries

Palavras-chave: Oil Shocks; Dutch Disease; Resource Curse and Real Business Cycle Modelling; Resource /Energy Economics and Policy; C61; E22; E62; Q48.

Ano: 2011

URL: http://purl.umn.edu/115726

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 the direct effects of oil price shocks on output and prices and the reaction of monetary variables to external shocks....

Econometric Models of Asymmetric Price Transmission

Palavras-chave: Resource /Energy Economics and Policy.

Ano: 2005

URL: http://purl.umn.edu/12110

Frey, Giliola; Manera, Matteo.

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 as: contemporaneous impact, distributed lag effect, cumulated impact, reaction...

The Asymmetric Effects of Oil Shocks on Output Growth: A Markov-Switching Analysis

Palavras-chave: Demand and Price Analysis.

Ano: 2005

URL: http://purl.umn.edu/12122

Manera, Matteo; Cologni, Alessandro.

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 changes, oil price volatility, and oil supply conditions. We measure the persistence of each...

Evaluating the Empirical Performance of Alternative Econometric Models for Oil Price Forecasting

Palavras-chave: Resource /Energy Economics and Policy.

Ano: 2006

URL: http://purl.umn.edu/12121

Scarpa, Elisa; Longo, Chiara; Manera, Matteo; Markandya, Anil.

The relevance of oil in the world economy explains why considerable effort has been devoted to the development of different types of econometric models for oil price forecasting. Several specifications have been proposed in the economic literature. Some are based on financial theory and concentrate on the relationship between spot and futures prices (financial models). Others assign a key role to variables explaining the characteristics of the physical oil market (structural models). The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should be implemented. Relative to the previous literature, this paper is novel in several respects. First of all, we test and systematically evaluate the...

Oil Price Forecast Evaluation with Flexible Loss Functions

Palavras-chave: Resource /Energy Economics and Policy.

Ano: 2007

URL: http://purl.umn.edu/12118

Bastianin, Andrea; Manera, Matteo; Markandya, Anil; Scarpa, Elisa.

The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should be implemented. Relative to the previous literature, this paper is novel in several respects. First of all, we test and systematically evaluate the ability of several alternative econometric specifications proposed in the literature to capture the dynamics of oil prices. Second, we analyse the effects of different data frequencies on the coefficient estimates and forecasts obtained using each selected econometric specification. Third, we compare different models at different data frequencies on a common sample and common data. Fourth, we evaluate the forecasting performance of each selected model using static forecasts, as well as...

Tipo: Working Paper

Palavras-chave: Oil Price; WTI Spot and Futures Prices; Forecasting; Econometric Models; Research and Development/Tech Change/Emerging Technologies; C52; C53; Q32; Q43.

Ano: 2011

URL: http://purl.umn.edu/120042

On the Economic Determinants of Oil Production. Theoretical Analysis and Empirical Evidence for Small Exporting Countries

In this paper, decisions regarding production in oil exporting countries are studied by means of theoretical analysis and empirical investigation. Under the assumptions of exogenous oil prices and world oil demand, we are able to describe the relationship between oil production levels and changes in the conditions in world oil markets. Intertemporal production decisions by a representative oil producer are modelled by means of a partial equilibrium model. In this theoretical model, oil producers are subject to exogenous shocks in world oil demand and prices. Oil companies can change output levels only by incurring a fixed cost. Results from the simulation of this model show a strong relationship between oil production and changes in world oil consumption....

Modeling Electricity Prices: From the State of the Art to a Draft of a New Proposal

Palavras-chave: Oil Production; Exogenous Shocks; Theoretical Modelling; Time Series Analysis; Resource /Energy Economics and Policy; C22; D21; D22; Q41.

Ano: 2011

URL: http://purl.umn.edu/115725

Serati, Massimiliano; Manera, Matteo; Plotegher, Michele.

In the last decades a liberalization of the electric market has started; prices are now determined on the basis of contracts on regular markets and their behaviour is mainly driven by usual supply and demand forces. A large body of literature has been developed in order to analyze and forecast their evolution: it includes works with different aims and methodologies depending on the temporal horizon being studied. In this survey we depict the actual state of the art focusing only on the recent papers oriented to the determination of trends in electricity spot prices and to the forecast of these prices in the short run. Structural methods of analysis, which result appropriate for the determination of forward and future values are left behind. Studies have...

Consumption and Precautionary Saving: An Empirical Analysis under Both Financial and Environmental Risks

Palavras-chave: Electricity Spot Prices; Autoregressive Models; GARCH Models; Regime Switching Models; Dynamic Factor Models; Demand and Price Analysis; Resource /Energy Economics and Policy; C2; C3; Q4.

Ano: 2008

URL: http://purl.umn.edu/44426

Baiardi, Donatella; Manera, Matteo; Menegatti, Mario.

This paper studies the empirical relationship between consumption and saving under two different sources of uncertainty: financial risk and environmental risk. The analysis is carried out using time series data for six advanced economies in the period 1965-2007. The results support the theoretical conclusions that both financial risk alone and the interaction between financial and environmental risks affect consumption. Moreover, we suggest a solution to some shortcomings which concern the empirical analysis performed with one-argument utility functions. Finally, we provide new estimates of indexes of relative risk aversion and relative prudence, and relative preference of environmental quality.

Pricing and Hedging Illiquid Energy Derivatives: an Application to the JCC Index

Palavras-chave: Consumption; Precautionary Saving; Financial Risk; Environmental Risk; Prudence; Relative Risk Aversion; Uncertainty; Environmental Economics and Policy; D81; E21; Q50.

Ano: 2011

URL: http://purl.umn.edu/115845

Scarpa, Elisa; Manera, Matteo.

In this paper we discuss a simple econometric strategy for pricing and hedging illiquid financial products, such as the Japanese crude oil cocktail (JCC) index, the most popular OTC energy derivative in Japan. First, we review the existing literature for computing optimal hedge ratios (OHR) and we propose a critical classification of the existing approaches. Second, we compare the empirical performance of different econometric models (namely, regression models in price-levels, price first differences, price returns, as well as error correction and autoregressive distributed lag models) in terms of their computed OHR using monthly data on the JCC over the period January 2000-January 2006. Third, we illustrate and implement a procedure to cross-hedge and...

Oil Revenues, Ethnic Fragmentation and Political Transition of Authoritarian Regimes

Palavras-chave: Demand and Price Analysis; Resource /Energy Economics and Policy.

Ano: 2006

URL: http://purl.umn.edu/12115

On the Robustness of Robustness Checks of the Environmental Kuznets Curve

Natural resources are generally associated to negative effects on the political environment of a country. This paper explores the impact that oil revenues have on the establishment of a given political system. Based on previous literature, a political economy perspective is employed. A simple game theoretical approach in order to explain the relationships between oil revenues, political instability (conflicts) and emergence of different political systems is presented. The implementation of particular redistributive fiscal policies together with the possibility that paternalistic or “predatory" autocracies emerge are considered. Under certain circumstances, a process of full democratization is argued not to represent an optimal choice for the oil-rich...

Tipo: Working Paper

Palavras-chave: Natural Resources; Rentier States; Conflict and Endogenous Political Regimes; Resource /Energy Economics and Policy; C72; D74; O13; P16.

Ano: 2012

URL: http://purl.umn.edu/123277

Galeotti, Marzio; Manera, Matteo; Lanza, Alessandro.

Since its first inception in the debate on the relationship between environment and growth in 1992, the Environmental Kuznets Curve has been subject to 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 forms, and grouping of the countries examined. The most recent line of investigation...