GR Semicolon EN

Show simple item record

dc.contributor.author
Antoniadou, Sofia
en
dc.date.accessioned
2016-05-05T15:56:18Z
dc.date.available
2016-05-06T00:00:17Z
dc.date.issued
2016-05-05
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/14488
dc.rights
Default License
dc.subject
Econometrics
en
dc.subject
Oil Markets
en
dc.subject
Natural gas Markets
en
dc.subject
Energy Economics
en
dc.subject
Types of causality
en
dc.title
Causal Relationship in Oil Markets
en
heal.type
masterThesis
el
heal.secondaryTitle
Examination whether there is one-way or bidirectional causality between WTI crude oil spot prices and HH natural gas spot prices. Data are drawn by the Bloomberg database.
en
heal.creatorID.email
sofhant@gmail.com
heal.generalDescription
The type of causality between crude oil and natural gas spot prices using the Granger Causality method and also the Toda-Yamamoto approach.
en
heal.classification
Energy Econometrics
en
heal.classificationURI.LCC
Causality
heal.keywordURI.LCSH
Oil industries
heal.keywordURI.LCSH
Gas industry--Econometric models
heal.keywordURI.LCSH
Energy industries.
heal.keywordURI.LCSH
Energy industries--Econometric models
heal.keywordURI.LCSH
Sustainable engineering.
heal.language
en
el
heal.access
free
el
heal.license
http://creativecommons.org/licenses/by-nc/4.0
el
heal.references
Villar, J. and Joutz, F. (2015). Energy Information Administration, Office of Oil and Gas, October 2006 1 the Rela tionship between Crude Oil and Natural Gas Prices . 2. Hamilton, J. (2015). Historical Oil Shocks . 3. Ramberg, D. (2015). The Relationship between Crude Oil and Natural Gas Spot Prices and its Stability over Time . 4. Investopedia, (2006). Time Series Definition | Investopedia . 5. Granger, C. (2015). TIME SERIES ANALYSIS, COINTEGRATION, AND APPLICATIONS . 6. Iordanova, T. (2007). Introduction to Stationary and Non - Stationary Processes . [online] Investopedia 7. Sorensen, B. (2015). ECONOMICS 266 8. Granger, C. (2015). Testing for causality: A personal viewpoint . 9. Narayan, P. and Smyth, R. (2015). Applied Econometrics and a Decade of Energy Economics Research . 10. Chevallier, J. and Ielpo, F. (n.d.). The economics of commodity markets . Chapter 5.6 11. Brigida, M. (2015). The switching relat ionship between natural gas and crude oil prices . 12. Wolfe, M. and Rosenman, R. (2015). Bidirectional causality in oil and gas markets . 13. Granger, C. (2015). Investigating Causal Relations by Econometric Models and Cross - spectral Methods . 14. Longitudin al Data Analysis. (2015). 15. Seth, A. (2007). Granger causality. Scholarpedia , 2(7), p.1667. 16. Zachariadis, T. (2015). On the Exploration of Causal Relationships between Energy and the Economy . 17. Vector Auto regressions (VARs): Granger Causality and Impulse Response Functions. (2015). 18. Toda, H. and Yamamoto, T. (2015). Statistical inference in vector auto regressions with possibly integrated processes . 19. Davegiles.blogspot.gr, (2011). Econometrics Bea t: Dave Giles' Blog: Testing for Granger Causality . [online]
el
heal.recordProvider
School of Science and Technology, MSc in Energy Systems
el
heal.publicationDate
2016-02-23
heal.abstract
This dissertation was written as a part of the MSc in Energy Systems Program at the International Hellenic University. The present dissertation is dealing with the observation of the causal relationships in oil markets and more specifically is dealing with the observation of the causal relationships between the crude oil and natural gas prices. The econometric literature review highlights that the causality between these two variables is one-way, only crude oil causes natural gas. This opinion will be tested at the E-views Program with two different financial theories, the Granger causality and the Toda-Yamamoto. The results confirm the econometric literature review, leading to the fact that there is not bidirectional causality between these two variables, which means that only crude oil prices causes natural gas prices. Sofia Antoniadou
en
heal.tableOfContents
vi Table of Contents Abstract ................................ ................................ ................................ ................................ ..... iv Acknowledgments ................................ ................................ ................................ ...................... v Section 1: Introduction ................................ ................................ ................................ ............ 10 Sectio n 2: Literature Review ................................ ................................ ................................ ... 20 2.1 Defining the terms ................................ ................................ ................................ ......... 20 2.2: Energy Economics Research ................................ ................................ ......................... 23 2.2.1 Integration of energy variables ................................ ................................ .............. 24 2.2.2. Co - integration, Granger Causality and long - run estimation ................................ . 26 3. Co - integration in energy markets ................................ ................................ .................... 29 3.1: Co - integration analyses for energy markets. ................................ ............................... 34 3.2: The co - integration relationship between oil and gas prices ................................ ........ 34 4. Causality between crude oil price s and natural gas prices ................................ ............. 36 4.1 Bidirectional Causality among Oil and Gas Prices ................................ ......................... 38 Section 3: Financial Theory 41 3.1 Defining Granger Causality ................................ ................................ ............................ 41 3. 2 Granger Causality Testing: ................................ ................................ ............................. 43 3.2.1 ARIMA models/Cross - Correlations ................................ ................................ ......... 43 3.2.2 The “Direct Granger Method” ................................ ................................ ................ 44 3.3 Limitations and Extensions ................................ ................................ ............................ 45 3. 4. Methodological Issues ................................ ................................ ................................ .. 45 3.5 Vector Auto regressions: Granger Causality and Impulse Response Functions ............ 47 3. 6 Toda Yamamoto ................................ ................................ ................................ ........... 50 3.6.1 Defining the Toda Yamamoto Model ................................ ................................ ..... 50 3.6.2. The Toda Yamamoto Model ................................ ................................ .................. 51 Section 4: Data ................................ ................................ ................................ ........................ 54 Section 5: The Model to be estimated ................................ ................................ .................... 55 Section 6: Results ................................ ................................ ................................ .................... 65 Section 7: Conclusion ................................ ................................ ................................ .............. 67 Section 8: References ................................ ................................ ................................ .............. 69 Section 9: Appendix ................................ ................................ ................................ ................. 71
en
heal.advisorName
Panagiotidis, Theodoros
en
heal.committeeMemberName
Dergiades, Theologos
en
heal.committeeMemberName
Psychoyios, Dimitris
en
heal.academicPublisher
IHU
en
heal.academicPublisherID
ihu
el
heal.numberOfPages
94
el


This item appears in the following Collection(s)

Show simple item record

Related Items