Svetlana Maslyuk

Unit root properties of crude oil spot and futures prices

Abstract In this article, we examine whether WTI and Brent crude oil spot and futures prices (at 1, 3 and 6 months to maturity) contain a unit root with one and two structural breaks, employing weekly data over the period 1991–2004. To realise this objective we employ Lagrange multiplier (LM) unit root tests with one and two endogenous structural breaks proposed by Lee and Strazicich [2003. Minimum Lagrange multiplier unit root test with two structural breaks. Review of Economics and Statistics, 85, 1082–1089; 2004. Minimum LM unit root test with one structural break. Working Paper no. 04–17, Department of Economics, Appalachian State University]. We find that each of the oil price series can be characterised as a random walk process and that the endogenous structural breaks are significant and meaningful in terms of events that have impacted on world oil markets.

Cointegration between oil spot and future prices of the same and different grades in the presence of structural change

Abstract The purpose of this study is to examine whether crude oil spot and futures prices of the same and different grades are cointegrated using a residual-based cointegration test that allows for one structural break in the cointegrating vector and high-frequency data. We choose the US WTI and the UK Brent as the representative crudes for this analysis since these two crudes have well-established spot and futures markets. We find that spot and future prices of the same grade as well as spot and futures prices of different grades are cointegrated. We examine potential causes of structural change as revealed by the cointegration test in terms of events that have impacted on world oil markets as well as discuss the implications of the results for hedge managers, investors and regulators.

Impact of Shocks on Australian Coal Mining

Purpose and Methodology Coal has enormous importance for the Australian economy: Australia is one of the largest exporters of black coal in the world and the significant share of electricity generation in Australia is produced using brown coal. This study investigates whether shocks to Australian black and brown coal mining sector have permanent or temporary effects using Chow (1960) and Quandt–Andrews (Andrews, Econometrica 61(4):821–856, 1993; Andrews and Ploberger, Econometrica 62(6):1383–1414, 1994) tests for structural breaks and Zivot and Andrews (J Bus Econ Stat 10(3):251–270, 1992) and Clemente– Montanes–Reyes (Econ Lett 59(2):175–182, 1998) unit root tests with one and two structural breaks.

Energy consumption inequality and human development

The literatures show that growing energy consumption is leading to a rapid increase in global greenhouse gases emissions(henceforth GHG). As the largest market failure ever experienced, diffusion of GHG in the global atmosphere happens quickly, it does not matter where the GHG is emitted(Sinn, 2007). Evidently, by centurys end, energy-related carbon dioxide emissions would, at current rates, more than double, putting the world onto a potentially catastrophic trajectory which could lead to warming of 5 °C or more compared with preindustrial times(IEA, 2009). The co-evolution of energy, environment, economic and social development has resulted in synergistic development-a process of reinforcing development among energy, environment, economy and society and such synergism is now embedded in each other. Indeed, Energy system have underpinned and constructed deeply unequal social relations, as well as imbalanced nature-society relations, since the dawn of the fossil fuel era. More problematic, the causes and effects of energy consumption inequity have raised many questions for decision makers, one of them is that energy consumption has a distinct and critical social dimension. Relationship between the quality of life and energy consumption is perhaps even more complex than is the energy-economy nexus. Meanwhile, the UN Human Development Index(HDI) establishes the relationship among energy use, economic growth and social development. When energy use is associated with HDI, it is possible to find opportunities to put into practice the synergistic development of energy and society, by looking for new conditions to shift the focus of the economy to satisfying basic human needs. As a matter, it is innovative to introduce a sufficientarian ‘development threshold’ for the attribution to global energy consumption, by the use of the nationally based HDI indicator. Compared with developed countries (also called high HDI countries), developing countries(usually they have lower HDI) have different duties concerning energy consumption. Their responsibility to improve human quality of life will mean greater use of modern energy, especially when it is not now available. At the same time, lower HDI countries should use energy efficiency and conservation when it is cost effective to do so. High HDI countries should take a leadership role on reducing energy consumption, they should employ energy efficiency and conservation to the extent it is cost effective, help foster replicable models of the good quality life that are based on much lower energy consumption levels. At a fundamental level and in the perspective of human development, the social dimension of energy consumption represent an equity problem involving three global stakeholder groups1: High human development levels economies(HHDE), those countries should be responsible for the majority of atmospheric GHG stocks, who will continue to represent a significiant share of future GHG flows based on their great current per capita energy consumption level, and have the greatest ability (technological ability, financial resources a)to promote sustainable development, sometimes referred to as ‘developed countries’ Medium human development levels economies(MHDE), most of those countries who will be responsible for the majority of growth in GHG flows and an increasing share of future atmospheric GHG stocks, who have rapid human development

Stock market, tax revenue and economic growth: A case-study of Malaysia

This paper empirically tests Levines [1] endogenous growth model, which suggests that stock market and tax policy jointly affect economic growth. Following Levine [1], tax or impeding financial market activities have the potential to lower per capita growth rate. Using monthly data from 1980 to 2008, the relationship between tax revenue, stock market as proxies by direct tax revenue and KLCI respectively and economic growth in Malaysia is modeled using the Granger causality and VECM framework. Results support Levines theory and reveal that over the sample period both tax revenue and stock market affect pattern of economic growth in Malaysia. These findings indicate that strong growth can be achieved through booming of stock market activities and the high revenue collection. Fiscal policy authorities in Malaysia will find these results useful.