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21. How are Day-Ahead Prices Informative for Predicting the Next Day’s Consumption of Natural Gas ?

Author

THOMAS, Arthur, Massol, Olivier, Sévi, Benoît, IFP Energies nouvelles (IFPEN), Laboratoire d'économie et de management de Nantes Atlantique (LEMNA), Institut d'Économie et de Management de Nantes - Institut d'Administration des Entreprises - Nantes (IEMN-IAE Nantes), Université de Nantes (UN)-Université de Nantes (UN)-FR 3473 Institut universitaire Mer et Littoral (IUML), Le Mans Université (UM)-Université d'Angers (UA)-Université de Nantes (UN)-École Centrale de Nantes (ECN)-Université de Bretagne Sud (UBS)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Centre National de la Recherche Scientifique (CNRS)-Le Mans Université (UM)-Université d'Angers (UA)-Université de Nantes (UN)-École Centrale de Nantes (ECN)-Université de Bretagne Sud (UBS)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Centre National de la Recherche Scientifique (CNRS), IFP School, and University of London [London]

Subjects
day-ahead prices, JEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C53 - Forecasting and Prediction Methods • Simulation Methods, JEL: Q - Agricultural and Natural Resource Economics • Environmental and Ecological Economics/Q.Q4 - Energy/Q.Q4.Q41 - Demand and Supply • Prices, load forecasting, JEL: C - Mathematical and Quantitative Methods/C.C2 - Single Equation Models • Single Variables/C.C2.C22 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes, JEL: L - Industrial Organization/L.L9 - Industry Studies: Transportation and Utilities/L.L9.L95 - Gas Utilities • Pipelines • Water Utilities, JEL: Q - Agricultural and Natural Resource Economics • Environmental and Ecological Economics/Q.Q4 - Energy/Q.Q4.Q47 - Energy Forecasting, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, Natural gas markets, [SHS]Humanities and Social Sciences
Abstract

The purpose of this paper is to investigate, for the first time, whether the next day’s consumption of natural gas can be accurately forecast using a simple model that solely incorporates the information contained in dayahead market data. Hence, unlike standard models that use a number of meteorological variables, we only consider two predictors: the price of natural gas and the spark ratio measuring the relative price of electricity to gas. We develop a suitable modeling approach that captures the essential features of daily gas consumption and, in particular, the nonlinearities resulting from power dispatching and apply it to the case of France. Our results document the existence of a long-run relation between demand and spot prices and provide estimates of the marginal impacts that these price variables have on observed demand levels. We also provide evidence of the pivotal role of the spark ratio in the short run which is found to have an asymmetric and highly nonlinearimpact on demand variations. Lastly, we show that our simple model is sufficient to generate predictions that are considerably more accurate than the forecasts published by infrastructure operators.

Published
2020

22. How are Day-Ahead Prices Informative for Predicting the Next Day’s Consumption of Natural Gas ?: Cahier de l'Economie, Série Recherche, n° 138

Author

THOMAS, Arthur, Massol, Olivier, Sévi, Benoît, IFP Energies nouvelles (IFPEN), Laboratoire d'économie et de management de Nantes Atlantique (LEMNA), Institut d'Économie et de Management de Nantes - Institut d'Administration des Entreprises - Nantes (IEMN-IAE Nantes), Université de Nantes (UN)-Université de Nantes (UN)-FR 3473 Institut universitaire Mer et Littoral (IUML), Le Mans Université (UM)-Université d'Angers (UA)-Université de Nantes (UN)-École Centrale de Nantes (ECN)-Université de Bretagne Sud (UBS)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Centre National de la Recherche Scientifique (CNRS)-Le Mans Université (UM)-Université d'Angers (UA)-Université de Nantes (UN)-École Centrale de Nantes (ECN)-Université de Bretagne Sud (UBS)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Centre National de la Recherche Scientifique (CNRS), IFP School, University of London [London], and École Centrale de Nantes (ECN)-Université de Nantes (UN)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Centre National de la Recherche Scientifique (CNRS)-Université d'Angers (UA)-Le Mans Université (UM)-Université de Bretagne Sud (UBS)-École Centrale de Nantes (ECN)-Université de Nantes (UN)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Centre National de la Recherche Scientifique (CNRS)-Université d'Angers (UA)-Le Mans Université (UM)-Université de Bretagne Sud (UBS)

Subjects
day-ahead prices, JEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C53 - Forecasting and Prediction Methods • Simulation Methods, JEL: Q - Agricultural and Natural Resource Economics • Environmental and Ecological Economics/Q.Q4 - Energy/Q.Q4.Q41 - Demand and Supply • Prices, load forecasting, JEL: C - Mathematical and Quantitative Methods/C.C2 - Single Equation Models • Single Variables/C.C2.C22 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes, JEL: L - Industrial Organization/L.L9 - Industry Studies: Transportation and Utilities/L.L9.L95 - Gas Utilities • Pipelines • Water Utilities, JEL: Q - Agricultural and Natural Resource Economics • Environmental and Ecological Economics/Q.Q4 - Energy/Q.Q4.Q47 - Energy Forecasting, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, Natural gas markets, [SHS]Humanities and Social Sciences
Abstract

The purpose of this paper is to investigate, for the first time, whether the next day’s consumption of natural gas can be accurately forecast using a simple model that solely incorporates the information contained in dayahead market data. Hence, unlike standard models that use a number of meteorological variables, we only consider two predictors: the price of natural gas and the spark ratio measuring the relative price of electricity to gas. We develop a suitable modeling approach that captures the essential features of daily gas consumption and, in particular, the nonlinearities resulting from power dispatching and apply it to the case of France. Our results document the existence of a long-run relation between demand and spot prices and provide estimates of the marginal impacts that these price variables have on observed demand levels. We also provide evidence of the pivotal role of the spark ratio in the short run which is found to have an asymmetric and highly nonlinearimpact on demand variations. Lastly, we show that our simple model is sufficient to generate predictions that are considerably more accurate than the forecasts published by infrastructure operators.

Published
2020

25. Informed trading in oil futures markets : closing conference

Author

Rousse, Olivier, Sévi, Benoît, Laboratoire d'Economie Appliquée de Grenoble (GAEL), Institut polytechnique de Grenoble - Grenoble Institute of Technology (Grenoble INP)-Institut National de la Recherche Agronomique (INRA)-Centre National de la Recherche Scientifique (CNRS)-Université Grenoble Alpes (UGA), Laboratoire d'économie et de management de Nantes Atlantique (LEMNA), Institut d'Économie et de Management de Nantes - Institut d'Administration des Entreprises - Nantes (IEMN-IAE Nantes), Université de Nantes (UN)-Université de Nantes (UN)-FR 3473 Institut universitaire Mer et Littoral (IUML), Le Mans Université (UM)-Université d'Angers (UA)-Université de Nantes (UN)-École Centrale de Nantes (ECN)-Université de Bretagne Sud (UBS)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Centre National de la Recherche Scientifique (CNRS)-Le Mans Université (UM)-Université d'Angers (UA)-Université de Nantes (UN)-École Centrale de Nantes (ECN)-Université de Bretagne Sud (UBS)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Centre National de la Recherche Scientifique (CNRS), Institut polytechnique de Grenoble - Grenoble Institute of Technology (Grenoble INP )-Centre National de la Recherche Scientifique (CNRS)-Institut National de la Recherche Agronomique (INRA)-Université Grenoble Alpes [2016-2019] (UGA [2016-2019]), Université de Bretagne Sud (UBS)-Le Mans Université (UM)-Université d'Angers (UA)-Centre National de la Recherche Scientifique (CNRS)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Université de Nantes (UN)-École Centrale de Nantes (ECN)-Université de Bretagne Sud (UBS)-Le Mans Université (UM)-Université d'Angers (UA)-Centre National de la Recherche Scientifique (CNRS)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Université de Nantes (UN)-École Centrale de Nantes (ECN), and Institut polytechnique de Grenoble - Grenoble Institute of Technology (Grenoble INP )-Institut National de la Recherche Agronomique (INRA)-Centre National de la Recherche Scientifique (CNRS)-Université Grenoble Alpes [2016-2019] (UGA [2016-2019])

Subjects
[SHS.ECO]Humanities and Social Sciences/Economics and Finance, ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2018

26. Information privée sur les marchés du pétrole : le cas des annonces de stocks de brut aux Etats-Unis

Author

Rousse, Olivier, Sévi, Benoît, Laboratoire d'Economie Appliquée de Grenoble (GAEL), Institut polytechnique de Grenoble - Grenoble Institute of Technology (Grenoble INP )-Institut National de la Recherche Agronomique (INRA)-Centre National de la Recherche Scientifique (CNRS)-Université Grenoble Alpes [2016-2019] (UGA [2016-2019]), Laboratoire d'économie et de management de Nantes Atlantique (LEMNA), Institut d'Économie et de Management de Nantes - Institut d'Administration des Entreprises - Nantes (IEMN-IAE Nantes), Université de Nantes (UN)-Université de Nantes (UN)-FR 3473 Institut universitaire Mer et Littoral (IUML), Le Mans Université (UM)-Université d'Angers (UA)-Université de Nantes (UN)-École Centrale de Nantes (ECN)-Université de Bretagne Sud (UBS)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Centre National de la Recherche Scientifique (CNRS)-Le Mans Université (UM)-Université d'Angers (UA)-Université de Nantes (UN)-École Centrale de Nantes (ECN)-Université de Bretagne Sud (UBS)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Centre National de la Recherche Scientifique (CNRS), Institut polytechnique de Grenoble - Grenoble Institute of Technology (Grenoble INP )-Centre National de la Recherche Scientifique (CNRS)-Institut National de la Recherche Agronomique (INRA)-Université Grenoble Alpes [2016-2019] (UGA [2016-2019]), Institut polytechnique de Grenoble - Grenoble Institute of Technology (Grenoble INP)-Institut National de la Recherche Agronomique (INRA)-Centre National de la Recherche Scientifique (CNRS)-Université Grenoble Alpes (UGA), and Université de Bretagne Sud (UBS)-Le Mans Université (UM)-Université d'Angers (UA)-Centre National de la Recherche Scientifique (CNRS)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Université de Nantes (UN)-École Centrale de Nantes (ECN)-Université de Bretagne Sud (UBS)-Le Mans Université (UM)-Université d'Angers (UA)-Centre National de la Recherche Scientifique (CNRS)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Université de Nantes (UN)-École Centrale de Nantes (ECN)

Subjects
[SHS.ECO]Humanities and Social Sciences/Economics and Finance
Abstract

National audience; Dans cette étude, nous évaluons l'existence potentielle d'informations privées sur le niveau des stocks de pétrole brut (non stratégiques) aux Etats-Unis en mettant en évidence des anomalies dans les flux d'ordres passés et dans l'évolution des cours durant les deux heures précédant l'annonce officielle du département de l'énergie (Department of Energy, DOE).

Published
2018

27. Informed trading in oil futures markets

Author

Rousse, Olivier, Sévi, Benoît, Laboratoire d'Economie Appliquée de Grenoble (GAEL), Institut polytechnique de Grenoble - Grenoble Institute of Technology (Grenoble INP)-Institut National de la Recherche Agronomique (INRA)-Centre National de la Recherche Scientifique (CNRS)-Université Grenoble Alpes (UGA), Laboratoire d'économie et de management de Nantes Atlantique (LEMNA), Institut d'Économie et de Management de Nantes - Institut d'Administration des Entreprises - Nantes (IEMN-IAE Nantes), Université de Nantes (UN)-Université de Nantes (UN)-FR 3473 Institut universitaire Mer et Littoral (IUML), Le Mans Université (UM)-Université d'Angers (UA)-Université de Nantes (UN)-École Centrale de Nantes (ECN)-Université de Bretagne Sud (UBS)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Centre National de la Recherche Scientifique (CNRS)-Le Mans Université (UM)-Université d'Angers (UA)-Université de Nantes (UN)-École Centrale de Nantes (ECN)-Université de Bretagne Sud (UBS)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Centre National de la Recherche Scientifique (CNRS), French Finance Association, Institut polytechnique de Grenoble - Grenoble Institute of Technology (Grenoble INP )-Centre National de la Recherche Scientifique (CNRS)-Institut National de la Recherche Agronomique (INRA)-Université Grenoble Alpes [2016-2019] (UGA [2016-2019]), Institut polytechnique de Grenoble - Grenoble Institute of Technology (Grenoble INP )-Institut National de la Recherche Agronomique (INRA)-Centre National de la Recherche Scientifique (CNRS)-Université Grenoble Alpes [2016-2019] (UGA [2016-2019]), Université de Bretagne Sud (UBS)-Le Mans Université (UM)-Université d'Angers (UA)-Centre National de la Recherche Scientifique (CNRS)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Université de Nantes (UN)-École Centrale de Nantes (ECN)-Université de Bretagne Sud (UBS)-Le Mans Université (UM)-Université d'Angers (UA)-Centre National de la Recherche Scientifique (CNRS)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Université de Nantes (UN)-École Centrale de Nantes (ECN), FR 3473 Institut universitaire Mer et Littoral (IUML), Le Mans Université (UM)-Université d'Angers (UA)-Université de Nantes (UN)-École Centrale de Nantes (ECN)-Université de Bretagne Sud (UBS)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Centre National de la Recherche Scientifique (CNRS)-Le Mans Université (UM)-Université d'Angers (UA)-Université de Nantes (UN)-École Centrale de Nantes (ECN)-Université de Bretagne Sud (UBS)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Centre National de la Recherche Scientifique (CNRS)-Institut d'Économie et de Management de Nantes - Institut d'Administration des Entreprises - Nantes (IEMN-IAE Nantes), and Université de Nantes (UN)-Université de Nantes (UN)

Subjects
[SHS.ECO]Humanities and Social Sciences/Economics and Finance, ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2017

28. Informed trading in the WTI oil futures markets

Author

Rousse, Olivier, Sévi, Benoît, Laboratoire d'Economie Appliquée de Grenoble (GAEL), Institut polytechnique de Grenoble - Grenoble Institute of Technology (Grenoble INP )-Centre National de la Recherche Scientifique (CNRS)-Institut National de la Recherche Agronomique (INRA)-Université Grenoble Alpes [2016-2019] (UGA [2016-2019]), Laboratoire d'économie et de management de Nantes Atlantique (LEMNA), Institut d'Économie et de Management de Nantes - Institut d'Administration des Entreprises - Nantes (IEMN-IAE Nantes), Université de Nantes (UN)-Université de Nantes (UN)-FR 3473 Institut universitaire Mer et Littoral (IUML), Université de Bretagne Sud (UBS)-Le Mans Université (UM)-Université d'Angers (UA)-Centre National de la Recherche Scientifique (CNRS)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Université de Nantes (UN)-École Centrale de Nantes (ECN)-Université de Bretagne Sud (UBS)-Le Mans Université (UM)-Université d'Angers (UA)-Centre National de la Recherche Scientifique (CNRS)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Université de Nantes (UN)-École Centrale de Nantes (ECN), Institut polytechnique de Grenoble - Grenoble Institute of Technology (Grenoble INP)-Institut National de la Recherche Agronomique (INRA)-Centre National de la Recherche Scientifique (CNRS)-Université Grenoble Alpes (UGA), Le Mans Université (UM)-Université d'Angers (UA)-Université de Nantes (UN)-École Centrale de Nantes (ECN)-Université de Bretagne Sud (UBS)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Centre National de la Recherche Scientifique (CNRS)-Le Mans Université (UM)-Université d'Angers (UA)-Université de Nantes (UN)-École Centrale de Nantes (ECN)-Université de Bretagne Sud (UBS)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Centre National de la Recherche Scientifique (CNRS), Cass Business School, Laboratoire d'Economie Appliquée = Grenoble Applied Economics Laboratory (GAEL), Université Pierre Mendès France - Grenoble 2 (UPMF)-Institut National de la Recherche Agronomique (INRA), Center for Commodity Market Research, Revel, Danièle, Hellenic Association for Energy Economics, FR 3473 Institut universitaire Mer et Littoral (IUML), Université de Bretagne Sud (UBS)-Le Mans Université (UM)-Université d'Angers (UA)-Centre National de la Recherche Scientifique (CNRS)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Université de Nantes (UN)-École Centrale de Nantes (ECN)-Université de Bretagne Sud (UBS)-Le Mans Université (UM)-Université d'Angers (UA)-Centre National de la Recherche Scientifique (CNRS)-Institut Français de Recherche pour l'Exploitation de la Mer (IFREMER)-Université de Nantes (UN)-École Centrale de Nantes (ECN)-Institut d'Économie et de Management de Nantes - Institut d'Administration des Entreprises - Nantes (IEMN-IAE Nantes), Université de Nantes (UN)-Université de Nantes (UN), and Institut polytechnique de Grenoble - Grenoble Institute of Technology (Grenoble INP )-Institut National de la Recherche Agronomique (INRA)-Centre National de la Recherche Scientifique (CNRS)-Université Grenoble Alpes [2016-2019] (UGA [2016-2019])

Subjects
[SHS.ECO] Humanities and Social Sciences/Economics and Finance, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2017

29. Informed Trading in Oil-Futures Market

Author

Rousse, Olivier and Sévi, Benoît

Subjects
Intraday Data, Insider Trading, G13, G14, ddc:330, WTI Crude Oil Futures, Q4, Inventory Release, health care economics and organizations
Abstract

The weekly release of the U.S. inventory level by the DOE-EIA is known as the market mover in the U.S. oil futures market and to be a significant piece of information for all world oil markets in which the WTI is a price benchmark. We uncover suspicious trading patterns in the WTI futures markets in days when the inventory level is released that are higher than economists’ forecasts: there are significantly more orders initiated by buyers in the two hours preceding the official release of the inventory level. We also show a clear drop in the average price of -0.25% ahead of the news release. This is consistent with informed trading. We also provide evidence of an asymmetric response of the oil price to the news, and highlight an over-reaction that is partly compensated in the hours following the announcement.

Published
2016

35. A Fear Index to Predict Oil Futures Returns

Author

Julien, Chevallier and Sévi, Benoît

Subjects
Variance Risk Premium, Oil Futures, Financial Economics, Forecasting
Abstract

This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also considered, capturing macroeconomic, financial and oil-specific influences. The results indicate that the explanatory power of the (negative) variance risk premium on oil excess returns is particularly strong (up to 25% for the adjusted Rsquared across our regressions). It complements other financial (e.g. default spread) and oil-specific (e.g. US oil stocks) factors highlighted in previous literature.

Published
2013
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36. The explanatory power of signed jumps for the risk-return tradeoff

Author

Sévi, Benoît, Baena, César, Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM), École Centrale de Marseille (ECM)-École des hautes études en sciences sociales (EHESS)-Centre National de la Recherche Scientifique (CNRS)-Aix Marseille Université (AMU), École des hautes études en sciences sociales (EHESS)-Aix Marseille Université (AMU)-École Centrale de Marseille (ECM)-Centre National de la Recherche Scientifique (CNRS), and Lhuillier, Elisabeth

Subjects
jel:G0, risk-return tradeoff, ICAPM, realized volatility, signed jumps, jel:C1, signed jumps, ICAPM, [SHS] Humanities and Social Sciences, [SHS.ECO] Humanities and Social Sciences/Economics and Finance, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, Realized volatility, risk-return tradeoff, [SHS]Humanities and Social Sciences
Abstract

ACL-3; International audience; Patton and Sheppard (2011) develop the concept of signed jumps as the difference between positive and negative realized positive semivariances. This quantity is well-suited for gauging the risk-return trade-off at high-frequency as it is well-defined each day and, contrary to the squared jump contribution following Barndorff-Nielsen and Shephard (2004, 2006) which is dedicated to rare jumps, it is signed. We show that signed jumps only occasionally help in explaining future returns, at least when the horizon of interest is one-day ahead as in Bali and Peng (2006).

Published
2013

37. Decreasing R&D expenditures in the European energy industry and deregulation

Author

Sévi, Benoît, Grosse, Olivier, Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM), École Centrale de Marseille (ECM)-École des hautes études en sciences sociales (EHESS)-Centre National de la Recherche Scientifique (CNRS)-Aix Marseille Université (AMU), Institut Polytechnique LaSalle Beauvais, and École des hautes études en sciences sociales (EHESS)-Aix Marseille Université (AMU)-École Centrale de Marseille (ECM)-Centre National de la Recherche Scientifique (CNRS)

Subjects
[SHS.ECO]Humanities and Social Sciences/Economics and Finance, Economie quantitative, [SHS]Humanities and Social Sciences
Abstract

ACL-3; International audience; Since the middle of the 80s, particularly in Europe, the public energy R&D expenditures have noticeably slowed down. Meanwhile, the European deregulation of energy network activities and the consecutive restructuring of energy sectors has led companies to significantly reduce their R&D investments. What will be the consequences of the public and private declines in energy R&D on the output of new technical knowledge? We suggest that the private energy R&D restructuring might in the long term favour the exploitation strategies of companies to the detriment of their exploration strategies. We also examine whether specific incentives – intended to correct the present trend of energy R&D – have been and or should be implemented by the leading European countries.

Published
2013

38. A Fear Index to Predict Oil Futures Returns

Author

Chevallier, Julien and Sévi, Benoît

Subjects
G17, ddc:330, Variance Risk Premium, Oil Futures, C32, Q47, Forecasting
Abstract

This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also considered, capturing macroeconomic, financial and oil-specific influences. The results indicate that the explanatory power of the (negative) variance risk premium on oil excess returns is particularly strong (up to 25% for the adjusted Rsquared across our regressions). It complements other financial (e.g. default spread) and oil-specific (e.g. US oil stocks) factors highlighted in previous literature.

Published
2013

39. Futures Trading and the Excess Co-movement of Commodity Prices.

Author

Le Pen, Yannick and Sévi, Benoît

Subjects
FUTURES, PRICES, COMMODITY exchanges, COMMODITY futures, FINANCIALIZATION
Abstract

We empirically reinvestigate the issue of the excess co-movement of commodity prices initially raised in Pindyck and Rotemberg (1990). Excess co-movement appears when commodity prices remain correlated even after adjusting for the impact of fundamentals. We use recent developments in large approximate factor models to consider a richer information set and adequately model these fundamentals. We consider a set of eight unrelated commodities along with 184 real and nominal macroeconomic variables, from developed and emerging economies, from which nine factors are extracted over the 1993-2013 period. Our estimates provide evidence of time-varying excess co-movement which is particularly high after 2007. We further show that speculative intensity is a driver of the estimated excess comovement, as speculative trading is both correlated across the commodity futures markets and correlated with the futures prices. Our results can be taken as direct evidence of the significant impact of financialization on commodity-price crossmoments. [ABSTRACT FROM AUTHOR]

Published
2018
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40. Jump-robust estimation of realized volatility in the EU Emissions Trading Scheme

Author

Chevallier, Julien, Sévi, Benoît, Université Paris Dauphine-PSL, Université Paris sciences et lettres (PSL), EconomiX, Université Paris Nanterre (UPN)-Centre National de la Recherche Scientifique (CNRS), Laboratoire d'Economie de Dauphine (LEDa), Centre National de la Recherche Scientifique (CNRS)-Institut de Recherche pour le Développement (IRD)-Université Paris Dauphine-PSL, Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL), Groupe de Recherche Angevin en Economie et Management (GRANEM), Université d'Angers (UA)-AGROCAMPUS OUEST-Institut National de l'Horticulture et du Paysage, Institut de Recherche pour le Développement (IRD)-Université Paris Dauphine-PSL, Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS), Université d'Angers (UA)-AGROCAMPUS OUEST, and Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement (Institut Agro)-Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement (Institut Agro)-Institut National de l'Horticulture et du Paysage

Subjects
[SHS]Humanities and Social Sciences
Abstract

International audience; With the increased availability of high-frequency financial market data in recentyears, the extraction of “realized” volatility (from intraday squared returns) has led to numerous theoretical developments and empirical applications for a wide range of equity and commodity markets. This paper documents the measure of realized volatility in the European Union Emission Trading Scheme (EU ETS) with respect to the presence of microstructure noise and jumps in the estimation procedure. In order to include jumps in the modeling of CO2 intraday volatility returns, we use the bipower variation measure as well as the more recent median realized volatility estimator. To deal with microstructure noise effects we apply Awartani et al’s ZT test to the price series of CO2 intraday futures for both bipower variation and median realized volatility and identify 20-minute returns as the optimal sampling frequency. Subsequently, the empirical analysis of both bipower variation and median realized volatility measures for CO2 prices reveals the presence of around 5% of “significant” jumps, especially during the “panicto- cash” period of October 2008 in the EU ETS, and a lower range of estimates .around OE0I 0:15 for bipower variation and OE0I 0:10 for median realized volatility/ compared with the “naive” estimator .around OE0I 0:23/.

Published
2010

41. News and correlations: an impulse response analysis

Author

Le Pen, Yannick and Sévi, Benoît

Subjects
jel:E17, jel:G15, jel:C32, jel:C22, International Stock Correlation, Generalized Impulse response function, Dynamic conditional correlation
Abstract

We proceed to an impulse response analysis on the conditional correlations between three stock indices returns: the Nikkei, the FTSE 100 and the S&P 500. As a first step, we estimate an extension of the general asymmetric dynamic conditional correlation (GADCC) model proposed by Cappiello, Engle and Sheppard (2006) to model the possible interactions between conditional correlations. In a second step, we apply the definition of the impulse response function in nonlinear models of Koop, Pesaran and Potter (1996) to the conditional correlations matrix. The estimates of the GADCC model are used to estimate the impact of an innovation on the conditional correlations for different forecast horizons through boostrapped simulations. For each forecast horizon, we estimate the density of the impulse response function with non parametric kernel estimator. These densities show that the impacts of shocks on conditional correlation are most often asymmetric and depend on history. They disappear as the forecast horizon increases. In a first step, we estimate the unconditional correlation impulse response functions with random shocks and histories. In a second step, we estimate these impulse response function with the observed history for several recent dates. We end by computing the impulse response function for an observed shock and history.

Published
2009

42. Behavioral Heterogeneity in the US Sulfur Dioxide Emissions Allowance Trading Program

Author

Rousse, Olivier and Sévi, Benoît

Subjects
ddc:330
Abstract

At present, it is widely recognized that under the hypothesis of perfect market, a system of emission permits is a flexible instrument to attain an environmental objective at least aggregate cost. Unfortunately, perfect market assumptions rarely hold in practice. Indeed, emission permits markets can suffer of several impediments such as uncertainties, high transaction costs, market power, imperfect monitoring and enforcement. In this paper, we focus our attention on uncertainty. In a marketable permits market, firms may face various kind of uncertainty like permit price uncertainty, demand uncertainty that means production and emissions uncertainty, abatement costs uncertainty, and regulatory uncertainty. Assuming that the overall uncertainty is included in the permits price uncertainty (which is a reasonable assumption even if in previous contributions, other uncertainties were assumed to capture the whole risk ), we provide an analytical explanation of banking, using the concept of prudence developed by Kimball (1990). We show that prudence behaviour is a sufficient condition for the firm to save permits in portfolio (equivalent to a precautionary premium) and that the number of permits saved in portfolio decreases when interest rate increases. Results are not so far from previous literature and seem to indicate that uncertainty has disturbing effects on trading. Prudent behaviours of regulated firms lessen trade volumes in emissions permits markets and seem to indicate that possible welfare gains exist from governmental intervention (trading pro-actively in the emission permits market as mentioned by Baldursson and von der Fehr (2004) for instance). The more interesting point of the paper is the estimation of prudence provided using data from the US Acid Rain Program (Phase II, 2000-2004). To our knowledge, this is the first attempt to measure prudence in a production framework, compared to works estimating prudence in a consumption framework (Guiso, Jappelli, Terlizzese (1996), Lusardi (1997,1998), Parker (1999) among others\footnote{Eisenhauer & Ventura (2003, 2004) and Halek & Eisenhauer (2001) may also be cited.}) or using experimental data (Eisenhauer(2000) or Miyata (2003)). Particularly, trade level are put in perspective with the structure (utilities or not, number of units owned, total revenues,...) of the firm to assess if there is a form of corporate prudence. Corporate prudence is no more than a form of corporate hedging if we consider permits as forward contracts following Maeda & Tezuka(2004). Discriminant characteristics are also discussed.

Published
2005

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