Asymmetric long-run effects in the oil industry
AbstractThis paper analyzes long term dependence between the market value of oil firms and oil prices. Applying nonlinear cointegration, the results show that in the long-run oil price hikes and falls show different adjustments to the equilibrium. Using a momentum threshold autoregressive model (MTAR), we find that for oil producing firms, the adjustment is faster for oil price falls than for oil price hikes, but we do not find a difference on the speed of adjustment for oil integrated firms. Moreover, testing for asymmetric cointegration, we also find that oil price falls impact substantially the value of oil producers and integrated firms, but the same is not found for oil price hikes. Overall, the evidence suggests that firm value stays above equilibrium relationship when there are oil price hikes.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Universidad Carlos III, Departamento de Estadística y Econometría in its series Statistics and Econometrics Working Papers with number ws120502.
Date of creation: Feb 2012
Date of revision:
Contact details of provider:
Postal: C/ Madrid, 126 - 28903 GETAFE (MADRID)
Web page: http://www.uc3m.es/uc3m/dpto/DEE/departamento.html
More information through EDIRC
Asymmetric cointegration; ECM models; MTAR models; Oil prices; Oil industry;
Find related papers by JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-06-05 (All new papers)
- NEP-BEC-2012-06-05 (Business Economics)
- NEP-CWA-2012-06-05 (Central & Western Asia)
- NEP-ENE-2012-06-05 (Energy Economics)
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.