M.Econ. / Please refer to full text to view abstract

Ph.D. (Economic Sciences) / The international oil industry has always been subject to significant changes throughout the years, mainly as a result of changes in the environment, government policies, the world economy and a developing technology. Since the turn of the century, however, no changes have been as fundamental as the events of 1973. The international oil industry found itself in a very short period of time, with the following changes: The loss of production resources to the industry's previous host countries. A significant increase in the price of the products the industry handle. Increased interference by the governments of the countries in which the industry markets its products. No growth. A permanent change in the mix of petroleum products required by the market. The oil industry reacted to these changes in the following ways: Large proportions of refining networks were closed and large amounts of money were spent on additional cracking facilities for the remainder of the industry's networks. Organisational changes were introduced, with the objective of removing surplus infra-structure from a shrinking industry. iii Attention was given to other forms of energy. Whatever the reaction had been, the mere fact that refining capacity had to be reduced, and large oil tankers scrapped, suggests a lack of proper planning during the period preceding the problems of 1973. During the late fifties and sixties, when there was a steady growth in the world economy and oil prices remained static, planning ahead became relatively simple, and the oil industry planners slipped into the illusion that none of the upheave1s of history would be repeated. The signals were clearly there, but were totally ignored until far too late. To a large extent, this happened because government officials and oil company executives tended to specialise, and therefore they lacked knowledge of the oil industry as a whole. In South Africa, more planning was conducted than elsewhere in the world, but was mainly directed towards the development of synfuels and strategic storage. This was the result of South Africa's peculiar political circumstances and not because of an awareness of the need for realistic commercial planning.

RESEARCH THESIS SUBMITTED TO THE FACULTY OF COMMERCE, LAW & MANAGEMENT IN PARTIAL FULLFILMENT OF THE REQUIREMENTS OF THE MASTER OF MANAGEMENT IN FINANCE & INVESTMENTS DEGREE UNIVERSITY OF THE WITWATERSRAND JOHANNESBURG February, 2016 / In this study we examine the relationship between international oil prices and the South African Rand/US Dollar exchange rate. We also determine the direction of causality between these two variables. We further ascertain the magnitude of the influence of oil prices to the exchange rate compared to other theoretically driven macroeconomic variables. A forecasting exercise is also undertaken to determine whether oil prices contain information about future Rand/Dollar exchange rate. Drawing from the works of Aliyu (2009) and Jin (2008) we use VAR based cointegration technique and vector error correction model (VECM) for the long run and short run analysis respectively. The results show that there is a unidirectional causality running from oil prices to exchange rate and not the other way round. We also find that a 1% permanent increase in oil prices results in 0.17% appreciation of the Rand against the US Dollar; a 1% permanent increase in money aggregates results in 21.3% depreciation of the Rand and a 1% increase in business cycles results in 0.29% depreciation of the Rand in the long run. A 1% increase in inflation and interest rates is found to result in a 0.09% and 0.005% depreciation on the Rand respectively. Our short run analysis indicates that 4.4% of the Rand/Dollar exchange rate disequilibrium can be corrected within a month. Oil prices are found to contain some information about the future Rand/US Dollar exchange rate when the VAR model is used for forecasting. This study has shown there is a causal relationship between oil prices and the strength of the Rand against the Dollar and, therefore, recommends diversification of the economy and more use of green energy. Strategies to reduce capital flight and trade-related capital is also recommended by this study. Key Words: Exchange rate, Oil price, forecasting, vector autoregressive (VAR) model, cointegration, vector error correction model (VECM), causality / MT2016

Liu Guoxin. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (leaves 24-25). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.2 / Chapter 2 --- The Model --- p.4 / Chapter 3 --- "Estimation of μ1 ,μ2 ,α and β" --- p.7 / Chapter 4 --- Extension --- p.9 / Chapter 5 --- Monte Carlo Simulation --- p.11 / Chapter 5.1 --- "Case 1. a < 1, β < 1" --- p.12 / Chapter 5.2 --- "Case 2. a > 1, β < 1" --- p.12 / Chapter 5.3 --- "Case 3. a < 1,β > 1" --- p.13 / Chapter 5.4 --- "Case 4. a > 1, β> 1" --- p.13 / Chapter 6 --- Empirical Application --- p.15 / Chapter 6.1 --- Model Construction --- p.15 / Chapter 6.2 --- Estimation Results --- p.15 / Chapter 6.2.1 --- 1973Oil Crisis --- p.16 / Chapter 6.2.2 --- 1981 Oil Crisis --- p.18 / Chapter 6.2.3 --- 1991 Oil Crisis --- p.20 / Chapter 7 --- Conclusion --- p.23 / Chapter 8 --- Bibliography --- p.24

本論文集收錄了三篇有關開放經濟宏觀經濟學的文章。 / 第一篇文章研究了中國從1978年到2010年實際經濟週期。本文首先詳細記錄了中國實際經濟週期三十多年來經驗特征, 我們發現中國的實際經濟週期表現出不同于其他新興市場國家和發達國家的獨特的實際經濟週期經驗特征。再則，我們通過建立實際經濟週期模型和貝葉斯估計方法來檢驗現有新興市場實際經濟週期理論能夠在多大程度上解釋中國實際經濟週期。在我們的估計結果中，我們發現一個包含持久性生產力衝擊的基準模型不能很好的解釋中國實際經濟週期。而在基準模型的基礎上添加了國際金融摩擦的擴展模型（我們稱之為金融摩擦模型）能夠較好的解釋中國實際經濟週期。國際金融摩擦替代了持久性生產力衝擊的作用并優化了模型擬合。 / 第二篇文章研究了發展中國家廣泛使用的財政性油價穩定政策的福利影響。一些評論認為作為發展中國家的主要貿易對象的發達國家，特別是美國，能夠從發展中國家的油價穩定政策中獲利。我們的文章研究了這個論題，我們建立了一個具有美元非對稱性定價特征的兩國家模型。我們發現發展中國家的最優油價補貼率以及它的全球福利影響關鍵性的取決於是否貨幣政策能夠有效的應對油價衝擊。當貨幣政策能夠完全有效並且能夠央行使用最優貨幣政策時， 發展中國家則不需要財政性的油價穩定政策。然而當貨幣政策不能夠完全有效時，即使能夠使用最優貨幣政策，發展中國家還是需要油價補貼來穩定油價。而對美國來說，由於存在非對稱性的美元定價，美國反而受到福利損失。 / 第三篇文章研究了進口中間產品價格衝擊的福利影響和傳遞機制。隨著垂直貿易的快速發展，世界中間產品價格的波動成為了小型開放經濟體國家的主要不確定性衝擊之一。我們建立並且估計了一個兩部門的價格粘性的模型來解釋中間產品價格衝擊如何通過垂直貿易途徑對小型開放經濟體產生影響。我們發現其影響關鍵性的取決于垂直貿易結構和匯率制度。再次，其影響也顯著取決于國際金融市場准入的程度。 / This thesis consists of three essays on Open-Economy Macroeconomics. / The first essay studies real business cycle in Chinese economy. During the past three decades, Chinas economy experienced sizable economic fluctuations along with rapid economic growth. However, the research on Chinese real business cycle is limited. In this paper, we document some stylized facts of Chinese real business cycle from 1978 to 2010. We find that Chinese real business cycle exhibits a mixed pattern that is not consistent with those of developed economies or emerging market economies. Moreover, we investigate to what extent the existing theories of emerging market real business cycle can explain Chinese data using Bayesian estimation of small open economy real business cycle models. Our results show that a benchmark model with permanent pro-ductivity shocks cannot account for stylized facts of Chinese real business cycle very well. Instead, a Financial-Friction model that augments the benchmark with inter-national financial friction significantly improves the model fitness. And international financial friction dominates the role of permanent productivity shocks. / The second essay studies oil price stabilization polices that are adopted extensively in developing countries. Some argue that developed economies, especially the US, may gain from these policies through trade. This paper studies this issue in a two-country model with dollar currency pricing. We find that the optimal level of oil price stabilization chosen by developing countries and its implications for global welfare depend critically on whether monetary policy can eectively respond to oil shocks. In an environment without monetary shocks, when optimal monetary policies are considered, there is no role for oil price stabilization in developing countries. However, to make the oil price stabilization policy redundant, optimal monetary policy is not necessary. Some non-optimal endogenous monetary policies satisfying certain conditions can also make the developing countries choose zero oil price stabilization. The results change when there are monetary shocks. Even with optimal monetary policies, the developing countries will choose a positive level of oil price stabilization. However, due to dollar currency pricing, the US actually loses from the stabilization policy. Our results are well supported by the quantitative analysis in a full-fledged dynamic stochastic general equilibrium model. / The third essay studies the welfare implication and transmission mechanism of imported intermediate goods price shock. With the rapid growth of vertical trade in small open economies, the world price fluctuation of intermediate goods has increasingly become one of major uncertainties faced by these economies. This paper develops and estimates a two-sector sticky-price model to show how intermediate goods price shock affects small open economies through vertical trade. We find that the effects depend critically on the structure of vertical trade and exchange rate policy regime. Furthermore, the quantitative eects of intermediate goods price shock also change significantly with the degree of financial integration. / 1. Real business cycle in Chinese economy -- 2. Oil price stabilization and global welfare -- 3. The effects of intermediate good price shocks on small open economy. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Wu, Zhouheng. / Thesis (Ph.D.) Chinese University of Hong Kong, 2014. / Includes bibliographical references. / Abstracts also in Chinese.

Typescript. / Thesis (Ph. D.)--University of Hawaii at Manoa, 1989. / Includes bibliographical references (leaves [127]-130). / Microfiche. / ix, 130 leaves, bound ill. 29 cm

Deregulation as an open market system is likely to be implemented in the Petroleum industry of South Africa. To secure the success of the retail petroleum industry by means of business and job opportunities one has to investigate the current evolution of the industry and what factors will have a measurable impact on the retail petroleum industry.

Three petroleum futures contracts are examined over a ten-year period from 1986 to 1996. Intertemporal changes in futures prices and the net open interest positions of three trader types are compared to determine what, if any, market timing ability the traders have. Seasonal variation is considered and a simple trading rule is adopted to determine the dollar-return potential for market participation and shed light on issues of market efficiency.

This study investigates the effects of futures trading on petroleum price variability. Though a number of critics from various quarters claim futures markets have made petroleum prices more volatile, economic reasoning does not support this viewpoint. A review of theoretical studies and empirical investigations of other commodities shows general support for the hypothesis that futures markets do not destabilize prices and may, in fact, add to price stability. In this study, regression analysis is used to explain the price variability of heating oil and gasoline in terms of factors that may affect this variability, including the existence of futures markets. Though the empirical tests performed are biased towards finding destabilizing effects of futures markets, no statistically significant increase in price volatility is found, and in the case of gasoline, indications of stabilizing effects are found. Thus, neither the results of other studies of futures markets nor examination of petroleum futures trading support the critics' contention that futures trading has destabilized petroleum prices. / M.A.

This study analyses and investigates the impact of crude oil price vitality on unemployment in South Africa. This is done by firstly surveying theoretical and empirical literature on the crude oil price-unemployment relationship before relating it to South Africa. Secondly, crude oil and unemployment trends with their causes are overviewed. The study employs a Johansen co-integration technique based on VAR to model unemployment against crude oil prices, real effective exchange rate, real interest rates and real gross domestic product. Using quarterly data for the period 1990-2010, econometric results show that crude oil prices are positively related to unemployment in the long run while the opposite is true in the short run. Parameter estimates and variables are statistically significant; hence there are also policy recommendations which are related to both empirical and theoretical literature. Lastly, impulse response functions show that unemployment returns to equilibrium in the long run when crude oil price changes whereas real interest rates followed by crude oil prices explain most of unemployment changes compared to other variables in the long run.