SSRN Author: Yannick Le PenYannick Le Pen SSRN Content
http://www.ssrn.com/author=1140144
http://www.ssrn.com/rss/en-usWed, 15 Feb 2017 01:18:13 GMTeditor@ssrn.com (Editor)Wed, 15 Feb 2017 01:18:13 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0REVISION: Futures Trading and the Excess Comovement of Commodity PricesWe 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 only occasionally significant. We further show that speculative intensity is a driver of the estimated excess co-movement, 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 ...
http://www.ssrn.com/abstract=2191659
http://www.ssrn.com/1566463.htmlTue, 14 Feb 2017 15:40:28 GMTREVISION: Options Introduction and Volatility in the EU ETSTo improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006 after regulatory authorization. The central question we address is: can we identify a potential destabilizing effect of the introduction of options on the underlying market (EU ETS futures)? Indeed, the literature on commodities futures suggest that the introduction of derivatives may either decrease (due to more market depth) or increase (due to more speculation) volatility. As the identification of these effects ultimately remains an empirical question, we use daily data from April 2005 to April 2008 to document volatility behavior in the EU ETS. By instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the introduction of the option market had no effect on the volatility in the EU ETS. These finding are robust to other likely influences linked ...
http://www.ssrn.com/abstract=1436500
http://www.ssrn.com/1558947.htmlWed, 18 Jan 2017 05:26:55 GMTREVISION: What Trends in Energy Efficiencies? Evidence from a Robust TestA proper modeling of the long-run behavior of energy and oil intensities is crucial for many reasons. This paper aims at checking whether this long-run behavior should be modelled as a deterministic or a stochastic trend, or both. We firstly apply a test for a deterministic trend robust to uncertainty about the stochastic trend. Our results indicate that, for the period 1960-2004, energy intensities of only 8 OECD countries out of 25 include a negative deterministic trend, 3 include a positive one and 14 seem to be better modelled using a stochastic trend. When considering a sample of 73 non-OECD countries over the period 1971-2004, we show that only 22 exhibit a deterministic trend (negative for 15 countries and positive for 7 countries). A similar analysis for oil intensity leads to reject the hypothesis of an insignificant deterministic trend for 7 OECD countries out of 23 for the period 1965-2004 and 11 non-OECD countries out of 40 for the period 1971-2004. In the next step, we ...
http://www.ssrn.com/abstract=1403466
http://www.ssrn.com/1558945.htmlWed, 18 Jan 2017 05:24:59 GMTREVISION: On the Non-Convergence of Energy Intensities: Evidence from a Pair-Wise Econometric ApproachThis paper evaluates convergence of energy intensities for a group of 97 countries in the period 1971-2003. Convergence is tested using a recent method proposed by Pesaran (2007) [M.H. Pesaran. A pair-wise approach to testing for output and growth convergence. Journal of Econometrics 138, 312-355.] based on the stochastic convergence criterion. Main advantages of this method are that results do not depend on a benchmark against which convergence is assessed, and that it is more robust. Applications of several unit-root tests as well as a stationarity test uniformly reject the global convergence hypothesis. Locally, for Middle-East, OECD and Europe sub-groups, non-convergence is less strongly rejected. The introduction of possible structural breaks in the analysis only marginally provides more support to the convergence hypothesis.
http://www.ssrn.com/abstract=1331613
http://www.ssrn.com/1558944.htmlWed, 18 Jan 2017 05:24:37 GMTREVISION: Volatility Transmission and Volatility Impulse Response Functions in European Electricity Forward MarketsUsing daily data from March 2001 to June 2005, we estimate a VAR-BEKK model and find evidence of return and volatility spillovers between the German, the Dutch and the British forward electricity markets. We apply Hafner and Herwartz [2006, Journal of International Money and Finance 25, 719-740] Volatility Impulse Response Function (VIRF) to quantify the impact of shock on expected conditional volatility. We observe that a shock has a high positive impact only if its size is large compared to the current level of volatility. The impact of shocks are usually not persistent, which may be an indication of market efficiency. Finally, we estimate the density of the VIRF at different forecast horizon. These fitted distributions are asymmetric and show that extreme events are possible even if their probability is low. These results have interesting implications for market participants whose risk management policy is based on option prices which themselves depend on the volatility level.
http://www.ssrn.com/abstract=1286836
http://www.ssrn.com/1558942.htmlWed, 18 Jan 2017 05:23:43 GMTREVISION: Options Introduction and Volatility in the EU ETSTo improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006 after regulatory authorization. The central question we address is: can we identify a potential destabilizing effect of the introduction of options on the underlying market (EU ETS futures)? Indeed, the literature on commodities futures suggest that the introduction of derivatives may either decrease (due to more market depth) or increase (due to more speculation) volatility. As the identification of these effects ultimately remains an empirical question, we use daily data from April 2005 to April 2008 to document volatility behavior in the EU ETS. By instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the introduction of the option market had no effect on the volatility in the EU ETS. These finding are robust to other likely influences linked ...
http://www.ssrn.com/abstract=1436500
http://www.ssrn.com/1557178.htmlWed, 11 Jan 2017 14:22:26 GMTREVISION: Volatility Transmission and Volatility Impulse Response Functions in European Electricity Forward MarketsUsing daily data from March 2001 to June 2005, we estimate a VAR-BEKK model and find evidence of return and volatility spillovers between the German, the Dutch and the British forward electricity markets. We apply Hafner and Herwartz [2006, Journal of International Money and Finance 25, 719-740] Volatility Impulse Response Function (VIRF) to quantify the impact of shock on expected conditional volatility. We observe that a shock has a high positive impact only if its size is large compared to the current level of volatility. The impact of shocks are usually not persistent, which may be an indication of market efficiency. Finally, we estimate the density of the VIRF at different forecast horizon. These fitted distributions are asymmetric and show that extreme events are possible even if their probability is low. These results have interesting implications for market participants whose risk management policy is based on option prices which themselves depend on the volatility level.
http://www.ssrn.com/abstract=1286836
http://www.ssrn.com/1557175.htmlWed, 11 Jan 2017 14:18:16 GMTREVISION: Futures Trading and the Excess Comovement of Commodity PricesWe empirically reinvestigate the issue of the excess co-movement of commodity prices which was initially raised in Pindyck and Rotemberg (1990), and show that excess co-movement, when it exists, can be related to hedging pressure and speculative intensity in commodity futures markets. Excess co-movement appears when commodity prices remain correlated even after adjusting for the impact of common factors. While Pindyck and Rotemberg and the work that followed examined this issue using a relevant but arbitrary set of control variables, we use recent developments in large approximate factor models to consider a richer information set and adequatelymodel the “fundamentals”. We consider a set of eight unrelated commodities along with 184 real and nominal macroeconomic variables from which nine factors are extracted over the 1993-2013 period. Our estimates provide evidence of time-varying excess co-movement which is only occasionally significant, even after controlling for ...
http://www.ssrn.com/abstract=2191659
http://www.ssrn.com/1542999.htmlFri, 11 Nov 2016 10:04:17 GMTREVISION: Futures Trading and the Excess Comovement of Commodity PricesWe empirically reinvestigate the issue of the excess co-movement of commodity prices which was initially raised in Pindyck and Rotemberg (1990), and show that excess co-movement, when it exists, can be related to hedging pressure and speculative intensity in commodity futures markets. Excess co-movement appears when commodity prices remain correlated even after adjusting for the impact of common factors. While Pindyck and Rotemberg and the work that followed examined this issue using a relevant but arbitrary set of control variables, we use recent developments in large approximate factor models to consider a richer information set and adequatelymodel the “fundamentals”. We consider a set of eight unrelated commodities along with 184 real and nominal macroeconomic variables from which nine factors are extracted over the 1993-2013 period. Our estimates provide evidence of time-varying excess co-movement which is only occasionally significant, even after controlling for ...
http://www.ssrn.com/abstract=2191659
http://www.ssrn.com/1542210.htmlTue, 08 Nov 2016 15:45:55 GMTUpdate: Volatility Transmission and Volatility Impulse Response Functions in European Electricity Forward MarketsUsing daily data from March 2001 to June 2005, we estimate a VAR-BEKK model and find evidence of return and volatility spillovers between the German, the Dutch and the British forward electricity markets. We apply Hafner and Herwartz [2006, Journal of International Money and Finance 25, 719-740] Volatility Impulse Response Function (VIRF) to quantify the impact of shock on expected conditional volatility. We observe that a shock has a high positive impact only if its size is large compared to the current level of volatility. The impact of shocks are usually not persistent, which may be an indication of market efficiency. Finally, we estimate the density of the VIRF at different forecast horizon. These fitted distributions are asymmetric and show that extreme events are possible even if their probability is low. These results have interesting implications for market participants whose risk management policy is based on option prices which themselves depend on the volatility level.<br/><i>The Paper was removed</i>
http://www.ssrn.com/abstract=1286836
http://www.ssrn.com/1507951.htmlMon, 27 Jun 2016 06:27:52 GMTUpdate: On the Non-Convergence of Energy Intensities: Evidence from a Pair-Wise Econometric ApproachThis paper evaluates convergence of energy intensities for a group of 97 countries in the period 1971-2003. Convergence is tested using a recent method proposed by Pesaran (2007) [M.H. Pesaran. A pair-wise approach to testing for output and growth convergence. Journal of Econometrics 138, 312-355.] based on the stochastic convergence criterion. Main advantages of this method are that results do not depend on a benchmark against which convergence is assessed, and that it is more robust. Applications of several unit-root tests as well as a stationarity test uniformly reject the global convergence hypothesis. Locally, for Middle-East, OECD and Europe sub-groups, non-convergence is less strongly rejected. The introduction of possible structural breaks in the analysis only marginally provides more support to the convergence hypothesis.<br/><i>The Paper was removed</i>
http://www.ssrn.com/abstract=1331613
http://www.ssrn.com/1507950.htmlMon, 27 Jun 2016 06:27:46 GMTUpdate: What Trends in Energy Efficiencies? Evidence from a Robust TestA proper modeling of the long-run behavior of energy and oil intensities is crucial for many reasons. This paper aims at checking whether this long-run behavior should be modelled as a deterministic or a stochastic trend, or both. We firstly apply a test for a deterministic trend robust to uncertainty about the stochastic trend. Our results indicate that, for the period 1960-2004, energy intensities of only 8 OECD countries out of 25 include a negative deterministic trend, 3 include a positive one and 14 seem to be better modelled using a stochastic trend. When considering a sample of 73 non-OECD countries over the period 1971-2004, we show that only 22 exhibit a deterministic trend (negative for 15 countries and positive for 7 countries). A similar analysis for oil intensity leads to reject the hypothesis of an insignificant deterministic trend for 7 OECD countries out of 23 for the period 1965-2004 and 11 non-OECD countries out of 40 for the period 1971-2004. In the next step, we ...<br/><i>The Paper was removed</i>
http://www.ssrn.com/abstract=1403466
http://www.ssrn.com/1507948.htmlMon, 27 Jun 2016 06:27:30 GMTUpdate: Options Introduction and Volatility in the EU ETSTo improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006 after regulatory authorization. The central question we address is: can we identify a potential destabilizing effect of the introduction of options on the underlying market (EU ETS futures)? Indeed, the literature on commodities futures suggest that the introduction of derivatives may either decrease (due to more market depth) or increase (due to more speculation) volatility. As the identification of these effects ultimately remains an empirical question, we use daily data from April 2005 to April 2008 to document volatility behavior in the EU ETS. By instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the introduction of the option market had no effect on the volatility in the EU ETS. These finding are robust to other likely influences linked ...<br/><i>The Paper was removed</i>
http://www.ssrn.com/abstract=1436500
http://www.ssrn.com/1507947.htmlMon, 27 Jun 2016 06:27:19 GMTUpdate: Futures Trading and the Excess Comovement of Commodity PricesWe empirically reinvestigate the issue of the excess co-movement of commodity prices which was initially raised in Pindyck and Rotemberg (1990), and show that excess co-movement, when it exists, can be related to hedging pressure and speculative intensity in commodity futures markets. Excess co-movement appears when commodity prices remain correlated even after adjusting for the impact of common factors. While Pindyck and Rotemberg and the work that followed examined this issue using a relevant but arbitrary set of control variables, we use recent developments in large approximate factor models to consider a richer information set and adequatelymodel the “fundamentals”. We consider a set of eight unrelated commodities along with 184 real and nominal macroeconomic variables from which nine factors are extracted over the 1993-2013 period. Our estimates provide evidence of time-varying excess co-movement which is only occasionally significant, even after controlling for ...<br/><i>The Paper was removed</i>
http://www.ssrn.com/abstract=2191659
http://www.ssrn.com/1507944.htmlMon, 27 Jun 2016 06:26:58 GMT