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on Energy Economics |
| By: | Ghislaine Lang; Bruno Lanz |
| Abstract: | In the absence of a global carbon price, many individual countries set up policies to incentivize specific abatement interventions. In turn, minimizing compliance cost requires policy-makers to identify interventions that are worth pursuing. With this in mind, the objective of this paper is to document heterogeneity in the price of carbon implicitly associated with a range of interventions to improve buildings' energy efficiency. We use data for a portfolio of 548 multi-unit buildings observed over 16 years, representing 12,820 rental units, and quantify the impacts of more than 400 energy efficiency interventions among 240 treated buildings. We exploit variation in the timing of investments to provide evidence that treated and control buildings follow the same trend in the absence of energy efficiency investments, and use staggered difference-in-differences regressions to document building-level energy savings, CO2 abatement, and heating expenditure reductions. Our results indicate significant heterogeneity in energy savings across interventions, and suggest that the implicit price of carbon associated with frequently subsidized measures (such as wall insulation and windows replacement) is well in excess of available benefit estimates for avoided emissions. |
| Keywords: | Regulation; climate policy; implicit carbon price; energy efficiency investments; energy savings; staggered design. |
| JEL: | H21 H23 Q41 Q49 Q58 R31 |
| Date: | 2020–03 |
| URL: | http://d.repec.org/n?u=RePEc:irn:wpaper:20-03&r=all |
| By: | Rick Van der Ploeg; Simon Dietz; Armon Rezai; Frank Venmans |
| Abstract: | We show that several of the most important economic models of climate change produce climate dynamics inconsistent with the current crop of models in climate science. First, most economic models exhibit far too long a delay between an impulse of CO2 emissions and warm¬ing. Second, few economic models incorporate positive feedbacks in the carbon cycle, whereby carbon sinks remove less CO2 from the atmosphere, the more CO2 they have already removed cumulatively, and the higher is temperature. These inconsistencies affect economic prescriptions to abate CO2 emissions. Controlling for how the economy is represented, different climate mod¬els result in significantly different optimal CO2 emissions. A long delay between emissions and warming leads to optimal carbon prices that are too low and too much sensitivity of optimal carbon prices to the discount rate. Omitting positive carbon cycle feedbacks also leads to op¬timal carbon prices that are too low. We conclude it is important for policy purposes to bring economic models in line with the state of the art in climate science. |
| Keywords: | carbon cycle, carbon price, climate change, integrated assessment modelling, positive feedbacks, social cost of carbon |
| JEL: | Q54 |
| Date: | 2020–02–11 |
| URL: | http://d.repec.org/n?u=RePEc:oxf:wpaper:900&r=all |
| By: | F. Marta L. Di Lascio (Free University of Bolzano‐Bozen, Faculty of Economics, Italy); Andrea Menapace (Free University of Bolzano‐Bozen, Faculty of Science and Technology, Italy); Maurizio Righetti (Free University of Bolzano‐Bozen, Faculty of Science and Technology, Italy) |
| Abstract: | Efficient energy production and distribution systems are urgently needed to reduce world climate change. Since modern district heating systems are sustainable energy distribution services that exploit renewable sources and avoid energy waste, in-depth knowledge of thermal energy demand, which is mainly affected by weather conditions, is essential to enhance heat production schedules. We hence propose a mixture copula-based approach to investigate the complex relationship between meteorological variables, such as outdoor temperature and solar radiation, and thermal energy demand in the district heating system of the Italian city Bozen-Bolzano. We analyse data collected from 2014 to 2017, and estimate copulas after removing serial dependence in each time series using autoregressive integrated moving average models. Due to complex relationships, a mixture of an unstructured Student-t and a flipped Clayton copula is deemed the best model, as it allows differentiating the magnitude of dependence in each tail and exhibiting both heavy-tailed and asymmetric dependence. We derive the conditional copula-based probability function of thermal energy demand given meteorological variables, and provide useful insight on the production management phase of local energy utilities. |
| Keywords: | Conditional probability; Copula function; District heating; Mixture copula; Flipped copula; Thermal energy demand |
| JEL: | C10 C32 P28 |
| Date: | 2020–02 |
| URL: | http://d.repec.org/n?u=RePEc:bzn:wpaper:bemps68&r=all |
| By: | Ji, Wei |
| Abstract: | The adoption of plug-in electric vehicles (PEVs) is considered to be a potential solution to reduce transportation-related emissions. People’s vehicle choice and driving behavior will have important implications for the realized emissions reductions from PEVs. Therefore, PEV-related policy studies require good understanding of human behavior. Traditional approaches to analyze travel behavior are mostly to build analytic models based on assumptions because of the limited accuracy and information of data. With the development of sensor technology, there are more methods than ever to collect accurate and informative behavioral data, so the crucial consideration is how to creatively use these data to better understand people’s behavior. This dissertation proposed some data-driven approaches to simulate behavior and provided a discussion of the implications for three PEV-related topics. The first study explored the potential of greenhouse gas (GHG) reductions that can be achieved with adoption of PEVs in California by simulating vehicles’ emissions based on tracing data. It was found that assigning the right model of PEVs to drivers can help to reduce annual GHG emissions by 65%, compared to everyone driving a Toyota Corolla. The second study presented a tool to evaluate the spatial distribution of fast charging demand and to assess how much a charger in a certain location would be used based on travel diary. Scenario analysis illustrated that en-route fast charging demand will shift from primarily inside metro areas to long distance corridors outside metro areas as the battery size increases. The third study estimated the value of Clean Air Vehicle (CAV) decals by simulating the frequency of PEV owners’ access to high occupancy vehicle/toll (HOV/T) lanes based on survey data. The results indicated that the CAV Decals Program is one of the most attractive incentive policies, but there is spatial heterogeneity of CAV decal value across different regions. |
| Keywords: | Engineering, Social and Behavioral Sciences |
| Date: | 2018–09–01 |
| URL: | http://d.repec.org/n?u=RePEc:cdl:itsdav:qt6dw4d18t&r=all |
| By: | Halkos, George |
| Abstract: | During the last decades energy sector has undergone thoughtful structural changes, getting towards a more competitive environment, a process that it is highly controlled and monitored by regulatory authorities. The differences in the pace and extent of market reforms are mainly related to the starting point of each reform and the problems associated with the internal environment of the market. The applied theoretical and analytical contributions provide guidance to policy-makers and government officials in designing new policy scenarios for the investigation of the role of competition in the energy sectors. The empirical contributions provide evidence to support and inform current policy debates and should be of benefit to policy-makers and researchers worldwide. |
| Keywords: | Energy sector; competition; liberalization; energy market legislation. |
| JEL: | D40 Q30 Q40 Q43 Q48 Q50 Q58 |
| Date: | 2020–01 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:98343&r=all |
| By: | Li, Yuanzhe |
| Abstract: | Biofuels have been promoted by governmental policies for reducing fossil fuel dependency and greenhouse gas emissions, as well as facilitating regional economic growth. Comprehensive model analysis is needed to assess the economic and environmental impacts of developing bioenergy production systems. For cellulosic biofuel production and supply in particular, existing studies have not accounted for the inter-dependencies between multiple participating decision makers and simultaneously incorporated uncertainties and risks associated with the linked production systems. This dissertation presents a methodology that incorporates uncertainty element to the existing integrated modeling framework specifically designed for advanced biofuel production systems using dedicated energy crops as feedstock resources. The goal of the framework is to support the bioenergy industry for infrastructure and supply chain development. The framework is flexible to adapt to different topological network structures and decision scopes based on the modeling requirements, such as on capturing the interactions between the agricultural production system and the multi-refinery bioenergy supply chain system with regards to land allocation and crop adoption patterns, which is critical for estimating feedstock supply potentials for the bioenergy industry. The methodology is also particularly designed to incorporate system uncertainties by using stochastic programming models to improve the resilience of the optimized system design. The framework is used to construct model analyses in two case studies. The results of the California biomass supply model estimate that feedstock pretreatment via combined torrefaction and pelletization reduces delivered and transportation cost for long-distance biomass shipment by 5% and 15% respectively. The Pacific Northwest hardwood biofuels application integrates full-scaled supply chain infrastructure optimization with agricultural economic modeling and estimates that bio-jet fuels can be produced at costs between 4 to 5 dollars per gallon, and identifies areas suitable for simultaneously deploying a set of biorefineries using adopted poplar as the dedicated energy crop to produce biomass feedstocks. This application specifically incorporates system uncertainties in the crop market and provides an optimal system design solution with over 17% improvement in expected total profit compared to its corresponding deterministic model. |
| Keywords: | Engineering |
| Date: | 2019–12–01 |
| URL: | http://d.repec.org/n?u=RePEc:cdl:itsdav:qt1539g5sj&r=all |
| By: | Intini, Mario; Waterson, Michael |
| Abstract: | In Britain, the key source of renewable generation is wind, most abundant on the west coast of Scotland, where there is relatively little demand. For this reason, an interconnector, the Western Link, was built to take electricity closer to demand. When the Link is operating, payments by National Grid to constrain wind farms not to produce will be lower, we may predict, since fewer or less restrictive constraints need be imposed. But the Link has not been working consistently. We empirically estimate the link’s value. Focusing on the three most recent episodes of outage, starting on 4th May 2018 up to 25th September 2019, our essential approach is to treat these outages as a natural experiment using hourly data. Our results reveal that the Link had an important role in costs saved and price constrained and MWh curtailed reductions. We estimate a cost-saving of almost £30m. However, the saving appears to drop over time, so we investigate wind farms’ behavior. We find that wind farms behave strategically since the accuracy of wind forecasting depends on the relevant prices impacting their earnings. |
| Keywords: | Interconnector ; Electricity Market ; Wind forecasting ; Wind Generators ; Pricing Strategies. |
| JEL: | D22 D47 H54 L22 Q41 Q47 |
| Date: | 2020 |
| URL: | http://d.repec.org/n?u=RePEc:wrk:warwec:1242&r=all |
| By: | Rick Van der Ploeg; Christoph Hambel; Holger Kraft |
| Abstract: | Asset pricing and climate policy are analyzed in a global economy where consumption goods are produced by both a green and a carbon-intensive (dirty) sector. We allow for endogenous growth and three types of damages from global warming. It is shown that, initially, the desire to diversify assets in the portfolio complements the attempt to mitigate economic damages from climate change. In the long run, however, there is a trade-off between diversification and climate action. Therefore, in general, the carbon-intensive sector is not shut down completely. We derive the optimal carbon price, the equilibrium risk-free rate, and the risk premium of both assets. The risk-free rate is negatively affected by temperature, while the effect of temperature on the risk premiums depends on the type of damage specification. Climate disasters with an uncertain timing that rises with on temperature leads to a significant effect of climate change on asset prices. |
| Keywords: | climate finance, decarbonization, diversification, carbon price, asset prices, green assets, disaster risk |
| JEL: | D81 G01 G12 Q5 Q54 |
| Date: | 2020–02–11 |
| URL: | http://d.repec.org/n?u=RePEc:oxf:wpaper:901&r=all |
| By: | Phoebe W. Ishak; Pierre-Guillaume Méon |
| Abstract: | We study the spatial distribution of the effect of oil and gas revenues on Brazilian municipalities, using variations in the international prices of oil and gas to establish causality. Oil and gas revenues increase economic activity, measured by night-time light emissions, in oil-producing municipalities but impose negative spill-overs on neighbouring municipalities. Spill-overs dominate beyond 150 km from oil activities and compensate direct effects in micro-regions. In oil municipalities, oil and gas revenues increase royalties, population, local real prices, crime, and real wages, essentially in manufacturing and services. Spillovers are negative on wages and prices and positive on royalties and crime. |
| Keywords: | Natural resources curse; oil; spill-over effects; Night-time lights; Brazil |
| JEL: | O11 O13 Q32 |
| Date: | 2020–01–31 |
| URL: | http://d.repec.org/n?u=RePEc:sol:wpaper:2013/302035&r=all |
| By: | Kenta TANAKA; Yukihide KURAKAWA; Takunori ISHIHARA; Ken-ichi AKAO; Takanori IDA |
| Abstract: | Social comparison, such as information on other consumer’s energy usage, can achieve equal or higher performance, compared with economic incentives. However, previous studies do not adequately reveal the informational content for social comparison that can encourage electricity conservation. This study investigates the effects of different social comparisons via a laboratory experiment. We set up a hypothetical situation of electricity use in a laboratory. Although many previous studies employing laboratory experiments invite residents as the subject of the experiments, the subject’s economic situation does not reflect the initial setting of the laboratory experiments. In our experiment, we set up the initial set of experiments based on each subject’s actual electricity usage in daily life. Therefore, our experiments approximate real behavior better than previous studies. The results show that any information about other consumers’ electricity usage increases the electricity conservation behavior of almost all the subjects. Thus, our results show that voluntary conservation by the social comparison scheme can improve the total welfare of the society. However, the results also demonstrate the importance of considering the psychological effect of social comparison. |
| Keywords: | Electricity Conservation, Behavioral economics, Laboratory Experiment, Social Comparison |
| Date: | 2020–02 |
| URL: | http://d.repec.org/n?u=RePEc:kue:epaper:e-19-011&r=all |
| By: | Jochen Güntner; Johannes Henßler |
| Abstract: | This note expands Kilian’s (2008) original time series of exogenous oil supply shocks along two dimensions. First, we extend the sample period and include production shortfalls in OPEC member states during 2004:10–2018:12. Second, we also consider production shortfalls in non-OPEC countries. Our extended series of exogenous oil supply shocks displays statistically significant correlation with alternative estimates of oil supply shocks based on vector-autoregressive models. At the same time, it requires a limited number of assumptions about the counterfactual evolution of production in the countries under consideration rather than the hotly debated identifying restrictions inherent in multivariate structural models. |
| Keywords: | Counterfactual analysis, Crude oil production, Exogenous events, Oil supply shocks |
| JEL: | N50 Q31 Q35 |
| Date: | 2020–01 |
| URL: | http://d.repec.org/n?u=RePEc:jku:econwp:2020-02&r=all |
| By: | Mariia Soloviova; Tiziano Vargiolu |
| Abstract: | Our paper aims to model supply and demand curves of electricity day-ahead auction in a parsimonious way. Our main task is to build an appropriate algorithm to present the information about electricity prices and demands with far less parameters than the original one. We represent each curve using mesh-free interpolation techniques based on radial basis function approximation. We describe results of this method for the day-ahead IPEX spot price of Italy. |
| Date: | 2020–02 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2002.00507&r=all |
| By: | Roberto Daluiso; Emanuele Nastasi; Andrea Pallavicini; Giulio Sartorelli |
| Abstract: | In commodity and energy markets swing options allow the buyer to hedge against futures price fluctuations and to select its preferred delivery strategy within daily or periodic constraints, possibly fixed by observing quoted futures contracts. In this paper we focus on the natural gas market and we present a dynamical model for commodity futures prices able to calibrate liquid market quotes and to imply the volatility smile for futures contracts with different delivery periods. We implement the numerical problem by means of a least-square Monte Carlo simulation and we investigate alternative approaches based on reinforcement learning algorithms. |
| Date: | 2020–01 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2001.08906&r=all |
| By: | Omotosho, Babatunde S. |
| Abstract: | This paper develops a two-agent New Keynesian model, which is suitable for identifying the drivers of business cycle fluctuations in small open, resource-rich, resource-dependent emerging economies. We confront the model with Nigerian data on eleven macro-economic variables using the Bayesian likelihood approach and show that output fluctuations are driven mainly by oil and monetary policy shocks in the short run and domestic supply shocks in the medium term. On the other hand, monetary and domestic supply shocks jointly account for around 70 per cent of short run variations in headline and core measures of inflation while oil shocks play a less prominent role owing partly to the low pass-through effect arising from the extant fuel subsidy regime in the country. Interrogating these findings further, we find that negative oil price shocks generate a persistent negative impact on output and a short-lived positive effect on headline inflation. In terms of policy responses, the estimated Taylor rule indicates a hawkish monetary policy stance over the sample period while the estimated fiscal rule provides evidence for a pro-cyclical and rather muted fiscal policy. Since domestic supply and oil-related shocks are key sources of macroeconomic fluctuations, the study calls for a more creative use of the country’s stabilisation funds as well as strategic fiscal interventions aimed at addressing the issues of domestic supply constraints and promoting private sector investments. |
| Keywords: | Business cycles, resource-rich economy, DSGE model |
| JEL: | E31 E32 E52 E58 F41 Q43 |
| Date: | 2019–11 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:98351&r=all |
| By: | Linda Wang (Research and Statistics Group); Paolo Pesenti (Centre for Economic Policy Research (CEPR); National Bureau of Economic Research; Yale University; Research and Statistics Group; Federal Reserve Bank of New York); Thomas Klitgaard |
| Abstract: | Oil prices and the exchange rate of the U.S. dollar against the euro have often moved together over the past decade or so, but it is not at all clear why they should. The standard interpretation of oil price movements as a response to global oil supply and demand shifts makes it unlikely that the correlation stems from the dollar?s effect on oil prices. In addition, the notorious difficulty in predicting currency moves makes it hard to believe that oil prices dictate the dollar?s value. Improbability aside, however, in this blog post we document the tendency for the value of the dollar to rise relative to European currencies when oil prices fall, and we consider a possible explanation for the correlation. |
| Keywords: | dollar euro exchange rate currency markets oil prices correlation international finance |
| JEL: | F00 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednls:87302&r=all |
| By: | Illmann, Ulrike (TU Dresden, Germany); Kluge, Jan (Institute for Advanced Studies (IHS), Vienna, Austria,) |
| Abstract: | A comprehensive roll-out of public charging infrastructure will be costly. However, its impact on the diffusion of electric vehicles (EVs) is not clear at all. Our study aims at estimating the extent to which an increasing availability of public charging infrastructure promotes consumers’ decisions to switch to EVs. We make use of a German data set including monthly registrations of new cars at the ZIP-code level between 2012 and 2017 and match it with the official registry of charging stations. We measure charging infrastructure by its visibility, capacity and abundance in order to estimate its impact on EV adoption. A CS-ARDL approach is deployed in order to identify the structural long-run relationship between charging infrastructure and monthly EV registrations. There is evidence of a positive long-run relationship but on a rather low scale. We conclude that consumers do not necessarily react to the mere number of chargers but attach more importance to charging speed. |
| Keywords: | Electric vehicles, charging infrastructure, CS-ARDL |
| JEL: | L90 O18 O33 R42 |
| Date: | 2019–11 |
| URL: | http://d.repec.org/n?u=RePEc:ihs:ihswps:9&r=all |
| By: | Jesús Botero García; David Cardona Vásquez; John García Rendón |
| Date: | 2019–12–01 |
| URL: | http://d.repec.org/n?u=RePEc:col:000122:017784&r=all |
| By: | John García Rendón; Dalia Patino Echeverri; Manuel Correa Giraldo |
| Date: | 2019–12–01 |
| URL: | http://d.repec.org/n?u=RePEc:col:000122:017785&r=all |
| By: | Mohieldin,Mahmoud; Rostom,Ahmed Mohamed Tawfick; Zaki,Chahir |
| Abstract: | The paper makes two main contributions. First, it analyzes net foreign assets and liabilities in selected Arab countries over the past two decades, emphasizing the relative significance of direct versus portfolio investment. It distinguishes between foreign direct investment, portfolio equity investment, official reserves, and external debt. Second, the paper examines the effects of policy variables that affect the accumulation of net foreign assets and its components, analyzing how the existence of a sovereign wealth fund, the country's exchange rate regime, and the development of its financial system affect its net foreign assets. The main findings show that the presence of a sovereign wealth fund is positively and statistically significantly associated with foreign direct investment in Arab countries. Financial development (defined as credit to the private sector as a percentage of gross domestic product) is also statistically significant across various regressions. The more financially developed a country is, the more it should invest in riskier assets, such as portfolio assets. But Arab investors are more risk averse than investors elsewhere. Oil-exporting countries tend to invest more in debt assets than in portfolio assets. For oil-importing countries, financial development is the most important determinant of foreign direct investment. |
| Date: | 2020–01–06 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wbrwps:9103&r=all |
| By: | Joseph I. Uduji (University of Nigeria, Nsukka, Nigeria); Elda N. Okolo-Obasi (University of Nigeria, Nsukka, Nigeria) |
| Abstract: | Since the first oil well was drilled in Nigeria, traditional economies have suffered neglect, and rural youths do not see a future for themselves in traditional industries livelihood (TIL). We examine the impact of corporate social responsibility (CSR) of multinational oil companies (MOCs) on youths’ participation in TIL. A total of 1200 youths were sampled across the rural Niger Delta. Results from the use of a logit model indicate a significant relationship between CSR and TIL. The findings suggest increased general memorandum of understanding (GMoU) interventions in canoe-carving, pottery-making, cloth-weaving, mat-making, and basket-weaving to revive the traditional economic activities in Nigeria. |
| Keywords: | corporate social responsibility; multinational oil companies; rural youths; traditional industries livelihood; logit model; Nigeria |
| JEL: | J43 O40 O55 Q10 |
| Date: | 2019–01 |
| URL: | http://d.repec.org/n?u=RePEc:abh:wpaper:19/030&r=all |
| By: | Jesús Botero García; John García Rendón |
| Date: | 2019–12–01 |
| URL: | http://d.repec.org/n?u=RePEc:col:000122:017783&r=all |
| By: | Samira Demaria (GREDEG - Groupe de Recherche en Droit, Economie et Gestion - UNS - Université Nice Sophia Antipolis - UCA - Université Côte d'Azur - CNRS - Centre National de la Recherche Scientifique); Sandra Rigot (CEPN - Centre d'Economie de l'Université Paris Nord - UP13 - Université Paris 13 - USPC - Université Sorbonne Paris Cité - CNRS - Centre National de la Recherche Scientifique); Sylvain Borie |
| Abstract: | Climate change is introducing greater risk and uncertainty into the economy and financial system. Despite wide acceptance of the need to reduce emissions, information failures limit understanding of the financial risks. As a result, the Financial Stability Board is pushing for greater disclosure via an international initiative: the Task Force on Climate-related Financial Disclosures (TCFD). Based on content analysis of firms' reference documents over 2015-2017, this article examines CAC 40 firms' compliance with the recommendations of TCFD by building a new index (Comprehensive Compliance Index-CCI) to measure the disclosure of environmental information. Our results highlight a gradual improvement in environmental disclosure by CAC 40 companies over the three years. CCI levels were relatively satisfactory in 2015 and 2016 to the extent that the TCFD report had not yet been published, but it masks discrepancies. Sectors with high environmental impact have higher index scores than low impact sectors. In 2017, CAC 40 companies communicated the most in the areas of risk management, metrics and governance, far ahead of strategy, and there was an improvement in the environmental disclosure in each area. Finally, our content analysis allows us to develop a matrix of climate risks and opportunities per sector. JEL: M40, M14 |
| Keywords: | Environmental disclosures,CSR reporting,climate-related risk,TCFD recommendations 2 |
| Date: | 2019–05–21 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:halshs-02407136&r=all |
| By: | Beer, Sonja |
| Abstract: | Der Phase-1-Deal hat zu einer leichten Entspannung im Handelsstreit zwischen den USA und China geführt. Doch das Abkommen könnte teilweise auf Kosten anderer Staaten gehen. Vor allem bei den vereinbarten Energieimporten Chinas würden die USA auf der Lieferantenliste Chinas vom elften Platz im Jahr 2017 auf den ersten Platz im Jahr 2021 vorrücken. Wenn Chinas Energieimporte insgesamt nicht massiv zulegen, würden andere wichtige Energieexporteure darunter stark leiden. |
| Date: | 2020 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:iwkkur:52020&r=all |
| By: | Amir T. Payandeh Najafabadi; Marjan Qazvini; Reza Ofoghi |
| Abstract: | There are several researches that deal with the behavior of SEs and their relationships with different economical factors. These range from papers dealing with this subject through econometrical procedures to statistical methods known as copula. This article considers the impact of oil and gold price on Tehran Stock Exchange market (TSE). Oil and gold are two factors that are essential for the economy of Iran and their price are determined in the global market. The model used in this study is ARIMA-Copula. We used data from January 1998 to January 2011 as training data to find the appropriate model. The cross validation of model is measured by data from January 2011 to June 2011. We conclude that: (i) there is no significant direct relationship between gold price and the TSE index, but the TSE is indirectly influenced by gold price through other factors such as oil; and (ii) the TSE is not independent of the volatility in oil price and Clayton copula can describe such dependence structure between TSE and the oil price. Based on the property of Clayton copula, which has lower tail dependency, as the oil price drops, stock index falls. This means that decrease in oil price has an adverse effect on Iranian economy. |
| Date: | 2020–01 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2001.11275&r=all |