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In this study, we examine the dynamic link between returns and volatility of commodities and currency markets. Based on weekly data over the period from January 6, 1987 to July 22, 2014, we find the following empirical regularities. First, our results suggest that the information contents of gold, silver, platinum, and the CHF/USD and GBP/USD exchange rates can help improve forecast accuracy of returns and volatilities of palladium, crude oil and the EUR/CHF and GBP/USD exchange rates. Second, gold (CHF/USD) is the dominant commodity (currency) transmitter of return and volatility spillovers to the remaining assets in our model. Third, the analysis of dynamic spillovers shows time{ and event{specific patterns. For instance, the dynamic spillover effects originating in gold and silver (platinum) returns and volatility intensified (degraded) in the period marked by the global financial crisis. After the global financial crisis, the net transmitting role of gold and silver (platinum) returns shocks weakened (strengthened), while the net transmitting role of gold, silver and platinum volatility shocks remained relatively high. Overall, our findings reveal that, while the static analysis clearly classifies the aforementioned variables into net transmitters and net receivers, the dynamic analysis denotes episodes wherein the role of transmitters and receivers of return (volatility) spillovers can be interrupted or even reversed. Hence, even if certain commonalities prevail in each identified category of commodities, such commonalities are time - and event - dependent. (authors' abstract)

The airline industry is a major user of jet fuel and this constitutes a large component of the operating costs and is a risk coefficient for airlines. Several studies have been conducted on how oil price volatility affect stock prices and cash flows as well as how, in general, firms that uses derivatives experience lower stock returns volatility and stock s .The impact of oil price volatility on airline stock s and the impact of hedging on airline stock s have not been adequately examined, this paper fills this gap. By gathering daily frequency of oil spot prices to access the quarterly oil price volatility and stock s from 16 European airlines, we correlate quarterly oil price volatility to quarterly airline stock s as well as stock s and hedging percentages between 2010-2015, we reject the hypothesis that oil price volatility has an impact on airline stock s and that hedging reduces stock s. These findings therefore suggest that oil price volatility do not have a large impact on systematic risks or that hedging offset systematic risks. The findings are of interest to investors who want to make well informed investment decisions based on non-diversifiable equity risk since it has become popular for management recently to implement hedging policies to signal competency in risk management in order to attract investments.

The goal of this master thesis is to analyze impact of shocks in oil prices to automobile industry stock prices and returns. We decompose oil price shocks on oil supply shocks, aggregate demand shocks and oil-specific demand shocks and assess their individual impacts on these stock prices/returns. This is done using the vector autoregression (VAR) methodology which allows us to compute impulse responses, that is the reaction paths on the individual shocks. In addition to linear VARs we also employ threshold VAR models in order to capture nonlinearities in impulse responses and besides the aggregate automobile stock price index we compute these nonlinear impulse responses also for some selected individual car producers. We think that this analysis have two different uses. First, it can be beneficial to stock market investors. Second, it can be used by policymakers in countries such as Slovakia and the Czech Republic, which are relatively heavily dependent on automotive industry. 1

One of the central issues in international macroeconomics is relative price movements and their sources. One such price is the price of crude oil. An increase in oil price leads to a transfer of income from importing to exporting countries through a shift in terms of trade. The general mechanism by which oil prices affect the economic performance is well under-stood. However, the dynamics of these effects – especially the adjustment to the terms of trade – are uncertain. The purpose of this paper is to analyse the impact of an increase in oil price on the terms of trade during the time period 1970 to 2004. The relationship between oil price and world business cycle as well as the relationship between oil price, GWP and Saudi Arabia’s export is also examined in this paper. The regression results show that an increase in oil price has a negative impact on terms of trade for the net importing country. Whether an increase in oil price has a positive or no effect at all on terms of trade for the net exporting country cannot be told form the regres-sion results.

The International market of crude oil and natural gas is well established and very competitive. Knowledge about costs is important in helping to understand the current position of producers within the industry. In the eyes of the producers, the lower the costs the more profitable they will become given the price of crude. This thesis focuses on an economic analysis of crude oil exploration in Saskatchewan and Alberta. In a competitive market, the producers require estimates of finding costs in both regions. The public policies that are designed to encourage crude exploration also rely heavily on reliable estimates of these costs. The results show that Saskatchewans per-unit finding cost is significantly lower than Albertas in spite of the geological differences between the two provinces. The finding costs are estimated by using a methodology (Uhler 1979) that has been widely accepted within economic literature of non-renewable resources. The results support the hypothesis that finding costs in both regions are increasing and the argument that these costs will converge in the long-run, except for the last six years of the analysis.

The International market of crude oil and natural gas is well established and very competitive. Knowledge about costs is important in helping to understand the current position of producers within the industry. In the eyes of the producers, the lower the costs the more profitable they will become given the price of crude. This thesis focuses on an economic analysis of crude oil exploration in Saskatchewan and Alberta. In a competitive market, the producers require estimates of finding costs in both regions. The public policies that are designed to encourage crude exploration also rely heavily on reliable estimates of these costs. The results show that Saskatchewans per-unit finding cost is significantly lower than Albertas in spite of the geological differences between the two provinces. The finding costs are estimated by using a methodology (Uhler 1979) that has been widely accepted within economic literature of non-renewable resources. The results support the hypothesis that finding costs in both regions are increasing and the argument that these costs will converge in the long-run, except for the last six years of the analysis.

The upward movement in oil and food prices in the 2000s has triggered interest in the information transmission mechanism between the two markets. This research investigates the volatility spillover between oil, food, and agricultural raw material price indexes for the period January 1980 to April 2008. The results of the Cheung-Ng procedure show that variation in oil prices does not Granger cause the variance in food and agricultural raw material prices. However, there is bi-directional spillover between agricultural raw material and oil markets. Besides, it examines volatility spillover between maize, wheat, soybean, rice, and oil spot prices for the period January-1998 to February-2009. The results show that volatility spillover in oil returns leads fluctuations in maize, soybean, wheat, and rice returns in 3 months. In addition, there are bi-directional spillovers between oil and soybean returns, rice and wheat returns. This topic is essential for countries whose populations grow rapidly because forecasting of commodity prices plays an important role in instituting the economic policy. Also, understanding the dynamics of the economy leads to better economic policies. Thus, results are important for investors and policy makers interested in price shocks and transmission.

This paper presents the role of alternative energy technologies in displacing fossil fuels as the world's primary energy source. To that end, a CAPM-GARCH multi-factor market model is used to investigate the relationship between returns on oil and alternative energy stocks. Results show that an increase in oil prices and the broad market have a statistically significant and positive impact on alternative energy stock returns. Furthermore, the alternative energy sector is substantially more risky than the broad market but has the potential for higher returns. This highlights the infancy and inherently risky nature of the alternative energy sector today, but demonstrates the potential for substantial future investment gain as alternative energy technologies become more mature and widely available. Interestingly, estimation of the alternative energy index model indicated the presence of abnormal returns which was not the case for the solar index model, implying that the abnormal returns were generated from a different sectoral component of the alternative energy index.

<p>One of the central issues in international macroeconomics is relative price movements and their sources. One such price is the price of crude oil. An increase in oil price leads to a transfer of income from importing to exporting countries through a shift in terms of trade. The general mechanism by which oil prices affect the economic performance is well under-stood. However, the dynamics of these effects – especially the adjustment to the terms of trade – are uncertain.</p><p>The purpose of this paper is to analyse the impact of an increase in oil price on the terms of trade during the time period 1970 to 2004. The relationship between oil price and world business cycle as well as the relationship between oil price, GWP and Saudi Arabia’s export is also examined in this paper.</p><p>The regression results show that an increase in oil price has a negative impact on terms of trade for the net importing country. Whether an increase in oil price has a positive or no effect at all on terms of trade for the net exporting country cannot be told form the regres-sion results.</p>