Search results for "energiamarkkinat"
showing 2 items of 2 documents
Forecasting the volatility of biofuel feedstock prices: the US evidence
2019
Given that, nowadays, 40% of the US corn crop is used for biofuel production, there is a growing concern that the rise in biofuel production might lead to an increase in food prices. However, it is also obvious that significant growth in biofuel use has minimized the demand for fossil fuel and has hence reduced the volume of carbon emissions. It is therefore crucial to model corn market volatility precisely because such an estimate could play a vital role in stabilizing food and biofuel market prices. For this purpose, we consider using the information content of the corn implied volatility (CIV) index to predict the corn futures market return volatility. Using symmetric and asymmetric GARC…
Financial Stress and Basis in Energy Markets
2021
We investigate the relationship between energy commodities bases, inventory and financial stress from 1994 to 2018. We find that, from the 1998 Asian crisis the effect of financial stress on energy commodities bases gradually increased and from the 2008 crisis became positive, while the effect of inventory showed a gradual decline over time. The reactions of bases to changes in financial stress is nonlinear, as they are higher in the high financial stress periods. This is more profound in crude oil market than heating oil and natural gas. Moreover, the reactions of bases to the changes in inventory is nonlinear, as the reactions are lower when the inventory level is high confirming the theo…