Apostolos Serletis

Oil Price Uncertainty

The theories of investment under uncertainty and real options predict that uncertainty about, for example, oil prices will tend to depress current investment. We reinvestigate the relationship between the price of oil and investment, focusing on the role of uncertainty about oil prices. We find that volatility in oil prices has had a negative and statistically significant effect on several measures of investment, durables consumption, and aggregate output. We also find that accounting for the effects of oil price volatility tends to exacerbate the negative dynamic response of economic activity to a negative oil price shock, while dampening the response to a positive oil price shock. Copyright (c) 2010 The Ohio State University.

On the Fisher Effect

We use post-war quarterly data from Belgium, Canada, France, Germany, Greece, Ireland, Japan, theNetherlands, the United Kingdom, and the United States to examine the Fisherian link between inflation and the short-term nominal interest rates.

Martingales, nonlinearity, and chaos

In this paper we provide a review of the literature with respect to the efficient markets hypothesis and chaos. In doing so, we contrast the martingale behavior of asset prices to nonlinear chaotic dynamics, discuss some recent techniques used in distinguishing between probabilistic and deterministic behavior in asset prices, and report some evidence. Moreover, we look at the controversies that have arisen about the available tests and results, and raise the issue of whether dynamical systems theory is practical in finance.

The Message in North American Energy Prices

How similar is the price behavior of North American natural gas, fuel oil, and power prices? Using current state-of-the-art econometric methodology, we explore the degree of shared trends across North American energy markets. Across these markets, there appear to be effective arbitraging mechanisms for the price of natural gas and fuel oil, but not for the price of electricity.

Common Stochastic Trends and Convergence of European Union Stock Markets

Using data obtained from the OECDs monthly economic indicators, the authors convert measures of stock performance to real Deutschemark units and present evidence on the number of common stochastic trends in ten EU stock markets. Moreover, they measure the degree of convergence of these stock markets using the time-varying parameter (Kalman filter) methodology suggested by A. G. Haldane and S. G. Hall (1991). Copyright 1997 by Blackwell Publishers Ltd and The Victoria University of Manchester

Export growth and Canadian economic development

Abstract This paper investigates empirically the relationship between export growth and GNP growth using Urquharts (1988) annual Canadian data from 1870–1985. In particular, the study investigates whether knowledge of past export growth improves the prediction of future GNP growth beyond predictions that are based on past GNP growth alone. This is the empirical definition of Granger causality.

A cointegration analysis of petroleum futures prices

Abstract This paper presents evidence concerning the number of common stochastic trends in a system of three petroleum futures prices (crude oil, heating oil and unleaded gasoline) using daily data from 3 December 1984 to 30 April 1993. Johansens maximum likelihood approach for estimating long-run relations in multivariate vector autoregressive models is used. The results indicate the presence of only one common trend.

International Evidence on the Neutrality of Money

We use Backus and Kehoe (1992) long, low frequency data on real GNP/GDP and money for Australia, Canada, Denmark, Germany, Italy, Japan, Norway, Sweden, the United Kingdom and the Uniter States to examine the long-run neutrality and superneutrality of money propositions. In doing so, we apply the King and Watson (1992) methodology, paying particular attention to the integration and cointegration properties of the variable, since meaningful neutrality tests critically depend on such properties.

THE ASYMMETRIC EFFECTS OF OIL PRICE SHOCKS

In this paper we investigate the effects of oil price uncertainty and its asymmetry on real economic activity in the United States, in the context of a bivariate vector autoregression with GARCH-in-mean errors. The model allows for the possibilities of spillovers and asymmetries in the variance–covariance structure for real output growth and the change in the real price of oil. Our measure of oil price uncertainty is the conditional variance of the oil price–change forecast error. We isolate the effects of volatility in the change in the price of oil and its asymmetry on output growth and employ simulation methods to calculate generalized impulse response functions and volatility impulse response functions to trace the effects of independent shocks on the conditional means and the conditional variances, respectively, of the variables. We find that oil price uncertainty has a negative effect on output, and that shocks to the price of oil and its uncertainty have asymmetric effects on output.

Breaking Trend Functions in Real Exchange Rates: Evidence from Seventeen OECD Countries

Abstract This paper tests for unit roots in dollar-based and DM-based real exchange rates using quarterly data (from 1957: i to 1995: iv ) for seventeen OECD countries. The results show that the unit root hypothesis cannot be rejected even if allowance is made for the possibility of a one-time change in the mean of the series at an unknown point in time. This is evidence against the hypothesis of absolute long-run purchasing power parity over this period.