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As the world economic power shifts from the advanced G7 countries--Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States--to the seven largest emerging market countries (EM7)--Brazil, China, India, Indonesia, Mexico, Russia, and Turkey--the vulnerability of these emerging market countries to exogenous shocks is becoming of growing importance. This paper presents a comprehensive examination of the effects of oil price shocks on real economic activity in the EM7 economies in the context of two classes of empirical models. In general, we find that oil price uncertainty has statistically significant effects on the real output of the EM7 economies and that the relationship between oil prices and economic activity is in general symmetric. We also find that oil price uncertainty has in general a negative effect on world crude oil production. [ABSTRACT FROM AUTHOR]

We use the highest frequency data that have ever been studied before to investigate the relationship between the price of oil and stock market returns. In the context of a bivariate (identified using heteroscedasticity in daily data) structural VAR in stock market returns and the change in the price of oil, we find evidence that positive oil price shocks have negative and statistically significant effects on stock market returns. Our results are robust to the use of different types of market returns, including aggregate and disaggregate U.S. market returns, aggregate and disaggregate U.S. excess returns, returns of the energy sector, returns of the major oil and gas companies, and global, eurozone, and some country specific stock market returns. They are also robust to the use of weekly data. [ABSTRACT FROM AUTHOR]

We investigate interfuel substitution in the United States using the minflex Laurent demand system and a century of data (from 1919 to 2012). We relax the assumption of constant parameters in the demand system, and also relax the homoskedasticity assumption, instead assuming that the covariance matrix of the errors is time-varying. Our results are consistent with theoretical regularity and indicate that the Morishima elasticities of substitution are always positive for all pairs of the energy goods (suggesting substitutability), but exhibit large swings across two regimes, generally being higher in the high demand volatility regime before the 1950s. [ABSTRACT FROM AUTHOR]

This ISCEF special issue of The Energy Journal presents new results in the area of energy economics to provide new insights on commodity markets, which will be helpful for investors, policymakers and analysts. In particular, this issue focuses on studies that use recent modeling techniques and empirical design. It introduces seven studies, presented at the fifth International Symposium in Computational Economics and Finance organized in Paris on April 12-14th, 2018 (www.iscef. com). These studies focus on the investigation of the dynamics of commodity markets, discuss the consequences of uncertainty on energy prices and their effects on the real economy and financial markets, and use high frequency data and recent econometric methods to empirically investigate the interactions between commodity markets and financial markets. [ABSTRACT FROM AUTHOR]

Energy security, climate change, and growing energy demand issues are moving up on the global political agenda, and contribute to the rapid growth of the renewable energy sector. In this paper we investigate the effects of oil price shocks, and also of uncertainty about oil prices, on the stock returns of clean energy and technology companies. In doing so, we use monthly data that span the period from May 1983 to December 2016, and a bivariate structural VAR model that is modi- fied to accommodate GARCH-in-mean errors. Moreover, we examine the asymmetry of stock responses to oil price shocks of different sizes, with and without oil price uncertainty. Our evidence indicates that oil price uncertainty has no statistically significant effect on stock returns, and that the relationship between oil prices and stock returns is symmetric. Our results are robust to alternative model specifications and stock prices of clean energy companies. [ABSTRACT FROM AUTHOR]

This paper focuses on the aggregate demand for electricity, natural gas, and light fuel oil in Canada as a whole and six of its provinces-Quebec, Ontario, Manitoba, Saskatchewan, Alberta, and British Columbia-in the residential, commercial, and industrial sectors. We employ the locally flexible normalized quadratic (NQ) expenditure function (in the case of the residential sector) and the NQ cost function (in the case of the commercial and industrial sectors), treat the curvature property as a maintained hypothesis, and provide evidence consistent with neoclassical microeconomic theory. We find that the Morishima interfuel elasticities of substitution are in general positive and statistically significant. Our results indicate limited substitutability between electricity and natural gas, but strong substitutability between light fuel oil and each of electricity and natural gas in most cases. [ABSTRACT FROM AUTHOR]

We estimate a bivariate GARCH-in-Mean VAR with a BEKK variance specification, to investigate whether oil price volatility affects real economic activity. We use the same data set of thirty seven, aggregate and disaggregate, industrial production indices used by Herrera et al. (2011) as a proxy for real output and a post-1973 data sample. We check the robustness of our results by using two proxies for the price of oil, the West Texas Intermediate (WTI) oil price and the Refiners' Acquisition Cost (RAC) of crude oil, and by testing for both nominal and real effects. We find significant evidence of nonlinearities for both aggregate and disaggregate indices. Our research highlights the importance of nominal prices and extreme events such as the Great Recession in the transmission of nonlinearities. Our results show that nonlinear impacts of the price of oil on the aggregate economy vary according to time period even within the post-1974 data. Since 2000, oil price volatility is up markedly, but the number of industries it impacts is down when compared with the full sample. This is in keeping with what one would expect, based on trend improvements in GDP per unit of energy use. However, for those series, where oil price volatility is significant, the impact of oil volatility is substantially higher than in the full sample; this runs contrary to what one might expect from the observed GDP per unit of energy use improvements. [ABSTRACT FROM AUTHOR]

This paper estimates interfuel substitution elasticities in selected developing and industrialized economies at the sector level. In doing so, it employs state-of-the-art techniques in microeconometrics, particularly the locally flexible normalized quadratic functional form, and provides evidence consistent with neoclassical microeconomic theory. The results indicate that the interfuel substitution elasticities are consistently below unity, revealing the limited ability to substitute between major energy commodities (i.e., coal, oil, gas, and electricity). We find that on average, industrial and residential sectors tend to exhibit higher potential for substitution between energy inputs as compared to the electricity generation and transportation sectors in all countries, with the United States being the only exception. In addition, we find that developed countries demonstrate higher potential for interfuel substitution in their industrial and transportation sectors as compared to the developing economies. The implication is that interfuel substitution depends on the structure of the economy, not the level of economic development. Moreover, higher changes in relative prices are needed than what we have already experienced to induce switching toward a lower carbon economy. [ABSTRACT FROM AUTHOR]

This paper aims to investigate the informational efficiency, of the Alberta electricity market and also the issue of whether interchange transactions (power flows between markets) are becoming increasingly significant factors in electric power markets. In doing so, we use hourly data for all hours, peak hours, and off-peak hours over the period from January 1st, 1999 to July 31st, 2005. In testing the efficiency of the Alberta power market, we use a statistical physics approach -- namely the 'detrending moving average (DMA)' technique, introduced by Alessio et al. (2002) and further developed by Carbone et al. (2004a, 2004b), and recently applied to energy futures markets by Serletis and Rosenberg (2007), In analyzing the relationship between power imports and exports and pool prices, we assess whether regulatory, changes have modified the causal relationship between import/export volumes and the pool price. According to our results, the electricity market in Alberta is highly inefficient and cross-border trade of electricity between Alberta and neighbouring jurisdictions helps predict the price dynamics in Alberta's electricity market. [ABSTRACT FROM AUTHOR]

Provides information on a study which tested for deterministic chaos in seven Mont Belview, Texas hydrocarbon markets using monthly data from 1985 to 1996. Background of the liquids market; Basic facts and integration tests; Empirical results.

Presents evidence which concerns shared stochastic trends in North American natural gas markets. Methodology utilized in the research; Use of the Engle and Granger approach for estimating bivariate cointegrating relationships; Results of the research.

Tests the theory of storage in power resources markets. Discussion of the theory of storage; Description of the data; Presentation of the empirical results; Use of the Fama and French indirect test based on the relative variation in spot and future prices.

Examines the empirical evidence for random walk type behavior in energy futures prices in the United States. What market efficiency requires; Observation of the New York Mercantile Exchange (NYMEX); Tests for unit roots.