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Asymmetric long-run effects in the oil industry

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dc.affiliation.dptoUC3M. Departamento de EstadĂ­sticaes
dc.contributor.authorRamos, SofĂ­a B.
dc.contributor.authorVeiga, Helena
dc.contributor.authorWang, Chih-Wei
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de EstadĂ­stica
dc.date.accessioned2012-02-13T16:24:41Z
dc.date.available2012-02-13T16:24:41Z
dc.date.issued2012-02-13
dc.description.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.
dc.format.mimetypeapplication/pdf
dc.identifier.repecws120502
dc.identifier.urihttps://hdl.handle.net/10016/13344
dc.identifier.uxxiDT/0000000958
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries12-02
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadĂ­stica
dc.subject.jelG15
dc.subject.jelQ43
dc.subject.otherAsymmetric cointegration
dc.subject.otherECM models
dc.subject.otherMTAR models
dc.subject.otherOil prices
dc.subject.otherOil industry
dc.titleAsymmetric long-run effects in the oil industry
dc.typeworking paper*
dc.type.hasVersionSMUR*
dspace.entity.typePublication
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