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What explains the short-term dynamics of the prices of CO2 emissions?

Hammoudeh, Shawkat; Nguyen, Duc Khuong; Sousa, Ricardo M.
Fonte: Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) Publicador: Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
Tipo: Trabalho em Andamento
Publicado em //2014 ENG
Relevância na Pesquisa
36.64%
Using the vector auto-regression (VAR) and the vector error-correction Models (VECM), this paper analyzes the short-term dynamics of the prices of CO2 emissions in response to changes in the prices of oil, coal, natural gas, electricity and carbon emission allowances. The results show that: (i) a positive shock to the crude oil prices has a negative effect on the CO2 allowance prices; (ii) an unexpected increase in the natural gas prices raises the price of CO2 emissions; (iii) a positive shock to the prices of the fuel of choice, coal, has virtually no significant impact on the CO2 prices; (iv) there is a clear positive effect of the coal prices on the CO2 allowance prices when the electricity prices are excluded from the VAR system; and (v) a positive shock to the electricity prices reduces the price of the CO2 allowances. We also find that the energy price shocks have a persistent impact on the CO2 allowance prices, with the largest effect occurring six months after a shock strikes. The effect is particularly strong in the case of the natural gas price shocks. Additionally, we estimate that it takes between 7.3 and 9.6 months to halve the gap between the actual and the equilibrium prices of the CO2 allowances, i.e., to erase any price over- or undervaluations after a shock strikes. Finally...

Asymmetric and nonlinear pass-through of energy prices to CO2 emission allowance prices

Hammoudeh, Shawkat; Lahiani, Amine; Nguyen, Duc Khuong; Sousa, Ricardo M.
Fonte: Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) Publicador: Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
Tipo: Trabalho em Andamento
Publicado em //2014 ENG
Relevância na Pesquisa
36.55%
We use the recently developed nonlinear autoregressive distributed lags (NARDL) model to examine the pass-through of changes in crude oil prices, natural gas prices, coal prices and electricity prices to the CO2 emission allowance prices. This approach allows one to simultaneously test the short- and long-run nonlinearities through the positive and negative partial sum decompositions of the predetermined explanatory variables. It also offers the possibility to quantify the respective responses of the CO2 emission prices to positive and negative shocks to the prices of their determinants from the asymmetric dynamic multipliers. We find that: (i) the crude oil prices have a long-run negative and asymmetric effect on the CO2 allowance prices; (ii) the falls in the coal prices have a stronger impact on the carbon prices in the short-run than the increases; (iii) the natural gas prices and electricity prices have a symmetric effect on the carbon prices, but this effect is negative for the former and positive for the latter. Policy implications are provided.; COMPETE, QREN, FEDER, Fundação para a Ciência e a Tecnologia (FCT)

Energy prices and CO2 emission allowance prices : a quantile regression approach

Hammoudeh, Shawkat; Nguyen, Duc Khuong; Sousa, Ricardo M.
Fonte: Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) Publicador: Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
Tipo: Trabalho em Andamento
Publicado em //2014 ENG
Relevância na Pesquisa
36.55%
We use a quantile regression framework to investigate the impact of changes in crude oil prices, natural gas prices, coal prices, and electricity prices on the distribution of the CO2 emission allowance prices in the United States. We find that: (i) an increase in the crude oil price generates a substantial drop in the carbon prices when the latter is very high; (ii) changes in the natural gas prices have a negative effect on the carbon prices when they are very low but have a positive effect when they are quite high; (iii) the impact of the changes in the electricity prices on the carbon prices can be positive in the right tail of the distribution; and (iv) the coal prices exert a negative effect on the carbon prices.; COMPETE, QREN, FEDER, Fundação para a Ciência e a Tecnologia (FCT)

Estudo sobre a relação existente entre os preços do crude e os preços da gasolina e do gasóleo praticados em Portugal

Rosa, Miriam Lobato da
Fonte: Instituto Universitário de Lisboa Publicador: Instituto Universitário de Lisboa
Tipo: Dissertação de Mestrado
Publicado em //2011 POR
Relevância na Pesquisa
36.76%
Mestrado em Economia Monetária e Financeira; Nesta dissertação estudamos a relação existente entre os preços do crude e os preços da gasolina e do gasóleo em Portugal com o objectivo de averiguar sobre uma possivel relação de assimetria entre as variáveis de interesse. Neste estudo apresentamos quatro modelos econométricos com o objectivo de identificar qual deles melhor descreve a relação dos preços existente entre o Crude e a Gasolina e o Crude e o Gasóleo. Para a análise dos dados dos anos 2009 e 2010, utilizámos modelos sem assimetria, modelos com assimetria, modelos com assimetria e termo de correcção de erro, e modelos com assimetria e também assimetria no termo de correcção de erro, sendo este o termo que fará retornar a relação entre as variáveis ao equilíbrio de longo prazo depois de um distúrbio. Um primeiro teste avalia a existência de uma relação de cointegração entre as variáveis de interesse ou se a relação é meramente espúria. Um segundo teste investiga qual o modelo que melhor se adapta a cada situação, procurando depois dar resposta à pergunta: qual a relação entre os preços do crude, da gasolina e do gasóleo? Os resultados dos testes sugerem que i) existe cointegração entre as variaveis ii) a relação entre os preços é assimétrica...

Petroleum Product Markets in Sub-Saharan Africa : Comparative Efficiency Analysis of 12 Countries

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Relevância na Pesquisa
36.74%
Petroleum products are used across the entire economy in every country. Gasoline and diesel are the primary fuels used in road transport. Oil is used in power generation, accounting for eleven percent of total electricity generated in Africa in 2007. Adequate and reliable supply of transport services and electricity in turn are essential for economic development. Households use a variety of petroleum products: kerosene is used for lighting, cooking, and heating; liquefied petroleum gas for cooking and heating; and gasoline and diesel for private vehicles as well as captive power generation. Prices users pay for these petroleum products have macroeconomic and microeconomic consequences. At the macroeconomic level, oil price levels can affect the balance of payments, gross domestic product (GDP), and, where fuel prices are subsidized, government budgets, contingent liabilities, or both. At the microeconomic level, higher oil prices lower effective household income in three ways. First, households pay more for petroleum products they consume directly. Seventy percent of Sub-Saharan Africans are not yet connected to electricity; most without access rely on kerosene for lighting. Second...

Oil Intensities and Oil Prices : Evidence for Latin America

Alaimo, Veronica; Lopez, Humberto
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Relevância na Pesquisa
36.65%
Crude oil prices have dramatically increased over the past years and are now at a historical maximum in nominal terms and very close to it in real terms. It is difficult to argue, at least for net oil importers, that higher oil prices have a positive impact on welfare. In fact, the negative relationship between oil prices and economic activity has been well documented in the literature. Yet, to the extent that higher oil prices lead to lower oil consumption, it would be possible to argue that not all the effects of a price increase are negative. Climate change concerns have been on the rise in recent years and fossil fuel consumption is generally viewed as one of the main causes behind it. Thus this paper explores whether higher oil prices contribute to lowering oil intensities (that is, oil consumption per unit of gross domestic product). The findings show that following an increase in oil prices, OECD countries tend to reduce oil intensity. However, the same result does not hold for Latin America (and more generally for middle-income countries) where oil intensities appear to be unaffected by oil prices. The paper also explores why this is so.

The Co-Movement Between Cotton and Polyester Prices

Baffes, John; Gohou, Gaston
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Relevância na Pesquisa
36.52%
The authors examine the price linkages among polyester (the dominant chemical fiber), cotton (the dominant natural fiber), and crude oil (the dominant energy commodity), based on monthly data between 1980 and 2002. The modeling framework incorporates several aspects of the unit root econometrics literature. They find that: a) There is strong co-movement between cotton and polyester prices, well above the co-movement observed between these two prices and prices of other primary commodities. b) Crude oil prices have a stronger effect on polyester prices compared with cotton prices. c) Price shocks originating in the polyester market are transmitted at much higher speed to the cotton market than vice-versa.

Crude Oil Prices : Predicting Price Differentials Based on Quality

Bacon, Robert; Tordo, Silvana
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Relevância na Pesquisa
36.63%
Many developing countries are becoming oil exporters, producing crude oils that often differ markedly in quality from those principally traded. Governments must predict the prices of such crudes, to forecast revenue and evaluate the fairness of the price they receive from companies selling on their behalf. Oil companies, and industry consultants, have models for analyzing price differentials with well-known "marker" crudes, but these models have not been widely known, or adapted to account for increasingly important quality characteristics, such as acidity. This note explains a methodology for price analysis, and a new extension for incorporating acidity, which can have a big effect on the price differential.

Assessing the Impact of Higher Oil Prices in Latin America

World Bank
Fonte: Washington, DC Publicador: Washington, DC
EN_US
Relevância na Pesquisa
36.79%
For some Latin American countries - especially, the oil importers in the Caribbean - rising energy prices could pose a significant threat to their current account sustainability, particularly if they are accompanied by other negative shocks. In some countries the fiscal costs associated with subsidies to protect domestic consumers have been considerable so far. Hence, a better understanding of the effects of high oil prices and potential responses in the region is needed. This report evaluates the effects of oil shocks on economic performance for a sample of selected Latin American countries. The effects at the country level depend not only on the structural characteristics of the economy, such as the degree of dependence on oil, but also on the policy reactions to rising prices. Among the countries included in our study we have: large economies (Argentina, Brazil, Colombia and Mexico), net oil exporters (Venezuela and Ecuador), and net oil importers (Dominican Republic, El Salvador, Guyana and Honduras).

Long-Term Drivers of Food Prices

Baffes, John; Dennis, Allen
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
36.76%
It is becoming increasingly apparent that the post-2004, across-the-board, commodity price increases, which initially appeared to be a spike similar to the ones experienced during the early 1950s (Korean War) and the 1970s (oil crises), have a more permanent character. From 1997-2004 to 2005-12 nominal prices of energy, fertilizers, and precious metals tripled, metal prices went up by more than 150 percent, and most food prices doubled. Such price increases, especially in food commodities, not only fueled a debate on their key causes, but also alarmed government officials, leading to calls for coordinated policy actions. This paper examines the relative contribution of various sector and macroeconomic drivers to price changes of five food commodities (maize, wheat, rice, soybeans, and palm oil) by applying a reduced-form econometric model on 1960-2012 annual data. The drivers include stock-to-use ratios, crude oil and manufacturing prices, the United States dollar exchange rate, interest rate, and income. Based on long-run elasticity estimates (approximately -0.25 for the stock-to-use ratios...

Changes in End-User Petroleum Product Prices : A Comparison of 48 Countries

Kojima, Masami
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
36.69%
This paper presents retail prices of the petroleum products in August 2008 in up to 56 countries, and examines the degree of pass through to consumers of increases in world gasoline and diesel prices since January 2004 in 48 countries. This is the second paper in a series summarizing work undertaken to assess the implications of higher oil prices on fuel use, the downstream petroleum sector, and household fuel consumption in the developing world. It follows a recent publication on a decomposition analysis of vulnerability to oil price increases, where vulnerability is defined as the percentage of gross domestic product (GDP) spent on net imports of crude oil and petroleum products (Bacon and Kojima 2008). This paper focuses on the extent to which international petroleum product price increases have been passed on to consumers.

Crude Oil Price Differentials and Differences in Oil Qualities : A Statistical Analysis

Bacon, Robert; Tordo, Silvana
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
46.76%
This report updates and extends previous work by a statistical analysis of the relationship between crude price differentials and three quality differentials, as well as transport costs and seasonal effects. In addition to the API (American Petroleum Institute) gravity number and the sulfur content of the crudes, which are the qualities generally included in existing analysis, the report presents the impact of acidity (measured by the Total Acid Number - TAN) on the price differential. This is because acidity has become increasingly important as the volume of high acid crudes, particularly from West Africa, has steadily increased in recent years.

MENA Quarterly Economic Brief, January 2015 : Plunging Oil Prices

Devarajan, Shanta; Mottaghi, Lili
Fonte: Washington, DC: World Bank Publicador: Washington, DC: World Bank
EN_US
Relevância na Pesquisa
36.72%
This issue of the MENA Quarterly Economic Brief focuses on the implications of low oil prices for eight developing countries, or the MENA-8 (oil importers: Egypt, Tunisia, Lebanon and Jordan and oil exporters: Iran, Iraq, Yemen and Libya) and the economies of the GCC (Gulf Cooperation Council), who play a major role in providing funds in the form of aid, investment, tourism revenues and remittances to the rest of the countries of the region. We make the following assumptions about the future price of oil: (i) The price will average $65 Brent p/b in 2015; (ii) a higher price $78 Brent p/b will be used for comparison analysis. As with other economic variables, there is uncertainty associated with the future price of oil, which adds to the error involved in projections. The data for 2015 2017 in the figures and tables are projections. These projections are based on statistical information available through early January 2015.

Low Oil Prices

Boratynski, Jakub; Kasek, Leszek
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Trabalho em Andamento
EN_US
Relevância na Pesquisa
36.65%
Oil prices on global markets have plunged from United States (U.S.) $115 per barrel in mid-June of 2014 to U.S. $48 at end-January 2015, while other fuel prices have continued the slow downward trend of recent years. The rapid decline in oil prices by about 60 percent was accompanied by U.S. dollar appreciation against the major global currencies (except the Swiss franc), partly offsetting the oil price decline measured in currencies other than the dollar. The impact assessment of the oil price shock was conducted using a multi-county, multi-sector computable general equilibrium (CGE) model, PLACE, maintained by the Center for Climate Policy Analysis (CCPA). The effects of a permanent 60 percent oil price shock are assessed against a baseline scenario through 2020 based on the International Energy Agency (IEA) 2012 world energy outlook assuming a high oil price scenario of U.S. $118 in 2015 and U.S. $128 in 2020 (both in 2010 constant prices) and correlated price changes of coal (by 50 percent), and natural gas (by 30 percent). Model simulations show that...

Commodity Markets Outlook, January 2015

World Bank Group
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Publications & Research :: Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
36.79%
Broad-based commodity price declines occurred in the second half of 2014. Crude oil prices declined the most, down 55 percent to $47 per bbl (barrel) in early January, from a high of $115 per bbl in late-June 2014, bringing an end to a four-year period of high and stable prices. The oil price drop is the third-largest seven-month decline of the past three decades - only the 67 percent drop from November 1985 to March 1986 and the 75 percent drop from July to December 2008 were larger. Agricultural, metal, and precious metal prices weakened as well, down by 6, 8, and 9 percent, respectively, in 2014 fourth quarter (Q4) from the previous quarter. Ample supplies, disappointing global growth prospects, and an appreciating Unites States (U.S.) dollar have all weighed on prices. In oil markets, a sequence of (upward) supply and (downward) demand revisions, along with organization of petroleum exporting countries (OPEC's) abandoning of supply management, have played a pivotal role in the price collapse.

Petroleum Fiscal Issues and Policies for Fluctuating Oil Prices in Vietnam

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Publications & Research :: ESMAP Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
36.51%
The 1998 lowest level of international oil prices, triggered Viet Nam's request for technical assistance, to not only evaluate the petroleum fiscal system in comparison to other countries' competitiveness in international oil contracts' best practice, but also to evaluate options for flexible gas production contracts, including fiscal incentives for oil, and gas development of economically marginal fields. Since this report was prepared, in early 1999, oil prices have risen, and, the Petroleum Law was amended by mid 2000, hence, a later report will discuss revisions, and evaluate the total fiscal package. Nonetheless, the analyses reveal Viet Nam's contractual terms, concluding the country deals effectively with variations in economic conditions resulting from water depths; but ineffectively in dealing with field sizes, essentially creating the situation for small fields to remain uneconomic; moreover, it does not deal specifically with variations in economic conditions: actually it strongly discourages the development of fields with low-well productivity...

Petroleum Prices in Bangladesh : A Need for Regular and Appropriate Adjustments

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Economic & Sector Work :: Energy Study; Economic & Sector Work
ENGLISH; EN_US
Relevância na Pesquisa
36.68%
Under-pricing of diesel and kerosene continues to cause major financial problems for Bangladesh Petroleum Corporation (BPC), which is losing over Tk 2 billion monthly. Global forecasts suggest that oil prices will continue to be over $US 50 per barrel for the next couple of years. Bangladesh's Household Income and Expenditure Survey data for 2005 indicate that both diesel and kerosene form a very small part of the budget of the poor. One option, therefore, is to raise the price of diesel and kerosene from current Tk 33 to 41 per liter and make BPC breakeven on its trading costs. BPC's trading cost is roughly 70 percent of its total current costs; the latter includes an ever increasing interest bill, currently at Tk 4.7 billion. If the one step increase is considered difficult, a second option would be to phase the increase over a six-month period with each increase of Tk 4 per liter, possibly in sync with the 'boro' rice planting season. A major communication campaign should be launched to inform the public the rationale of the price increase. Future adjustments should be based on a formula that automatically adjusts prices-both upwards and downwards...

Mitigating Vulnerability to High and Volatile Oil Prices : Power Sector Experience in Latin America and the Caribbean

Yépez-Garcia, Rigoberto Ariel; Dana, Julie
Fonte: Washington, DC: World Bank Publicador: Washington, DC: World Bank
Tipo: Publications & Research :: Publication; Publications & Research :: Publication
ENGLISH
Relevância na Pesquisa
36.37%
Countries heavily dependent on imported oil to power a significant portion of their electricity generation are especially vulnerable to high and volatile oil prices. In net oil-importing countries worldwide, high and volatile oil prices ripple through the power sector to numerous segments of the economy. As prices move up and down, so does the cost of electricity production, which has far-reaching effects on the economy, fiscal and trade balances, businesses, and household living standards. High and volatile oil prices affect economies at both a macro and micro level. The major direct effects at the macro level are a deteriorating trade balance, through a higher import bill, reflecting a worsening in terms of trade; and a weakening fiscal balance due to greater government transfers and subsidies to insulate movements in international energy markets. At the micro level, investment uncertainty results from the higher risk of engaging in new projects and associated development and sunk costs, which, in turn, affects policy decisions and economic growth. This study responds to the needs of policy makers and energy planners in oil-importing countries to better manage exposure to oil price risk. The study's objective is threefold. First...

Planning for Higher Oil Prices : Power Sector Impact in Latin America and the Caribbean

Yépez-García, Rigoberto Ariel; San Vicente Portes, Luis; García, Luis Enrique
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Economic & Sector Work :: Energy Study
ENGLISH; EN_US
Relevância na Pesquisa
36.79%
A scenario with higher oil prices has important implications for diverting from oil-based technologies to renewables, as well as gas, coal, and nuclear alternatives. By 2030, energy demand in Latin America and the Caribbean (LAC) is expected to double from 2008 levels. A key issue is deciding on the most appropriate mix of fuels for power generation, given the various prices of energy sources and technologies, as well as availability of renewable energy. The study's broad aim is to evaluate the impact of higher oil prices on the cost of generating electricity in countries of the LAC region so that better-informed energy policy planners can buffer future adverse effects. The study defines high oil prices as those above United States (U.S.) $100 per barrel. This price is considered a reasonable starting point for discussion given the recent range in oil prices, which averaged $95 a barrel in 2011. A price of $150 per barrel is defined as considerably high yet plausible given historical and current price levels...

Black Hole or Black Gold? The Impact of Oil and Gas Prices on Indonesia's Public Finances

Agustina, Cut Dian R.D.; Arze del Granado, Javier; Bulman, Tim; Fengler, Wolfgang; Ikhsan, Mohamad
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH
Relevância na Pesquisa
36.82%
Indonesia's oil revenues and fuel subsidies dominate the nation's economic policy agenda. This paper estimates the impact of higher international oil prices on the Indonesian government's fiscal position in 2008 and beyond. It analyzes the interactions between government revenues and expenditures, as well as international oil prices, energy subsidies, and inter-governmental transfers. Looking at the impact of oil prices over US$100 per barrel, the paper presents five main findings. First, despite record high oil prices, the government's oil and gas revenues have been decreasing relative to non-oil and gas revenues since 2001. Second, fuel subsides will reach record levels in 2008 while electricity subsidies have been increasing even faster. Third, the paper finds that most of the fuel subsidy that directly benefits households goes to the richest 20 percent. Fourth, even at levels above US$100 per barrel, the government receives more revenues from oil and gas than it spends on energy subsidies. However...