Brent Crude

About: Brent Crude is a research topic. Over the lifetime, 548 publications have been published within this topic receiving 9879 citations.

Bayesian Approach to Evaluate the Impact of External Shocks on Russian Macroeconomics Indicators

Abstract: One of the promising approaches of macroeconomic modeling and quantitative assessment of the impact of external and internal factors on macroeconomy of a country, which is actively used abroad, is a Bayesian approach to the description of macroeconomic processes. In this paper we examine Bayesian vector autoregression model (BVAR) to assess the impact of external shocks, such as the price of Brent crude oil, the volatility index VIX and the Shanghai Stock Exchange Composite index, on Russian macroeconomic indicators. The results allow us to estimate the contribution of external factors as a significant in the dynamics of Russia economic variables. This approach can be successfully applied for the analysis of Russian data, which was confirmed by the results presented in the article.

Carbon Emissions and Brazilian Ethanol Prices: Are They Correlated? An Econophysics Study

Abstract: Brazil is one of the largest global producers and exporters of ethanol and in 2017 launched RenovaBio, a programme aiming to mitigate greenhouse gas emissions. In parallel to this domestic scenario, there is rapid growth in the world market of carbon production, as well as complex price relations between fossil and renewable energies becoming increasingly important in recent years. The present work aims to contribute to filling a gap in knowledge about the relationship between Brazilian ethanol and other relevant energy-related commodities. We use a recent methodology (Detrended Cross-Correlation Approach—DCCA—with sliding windows) to analyze dynamically the cross-correlation levels between Brazilian ethanol prices and carbon emissions, as well as other possible-related prices, namely: sugar, Brent oil, and natural gas prices, with a sample of daily prices between January 2010 and July 2020. Our results indicate that (i) in the whole period, Brazilian ethanol has significant correlations with sugar, moderate correlation with oil in the short term, and only a weak, short-term correlation with carbon emission prices; (ii) with a sliding windows approach, the strength of the correlation between ethanol and carbon emissions varies between weak and non-significant in the short term.

Will clean energy investments provide a more sustainable financial ecosystem? Less carbon and more democracy

Abstract: This paper studies the impact of oil prices on financial market volatilities and clean energy investments by including the energy democracy approach to its analysis. Our main intention is to question whether a carbon free sustainable financial market environment. Since crude oil is still the primary energy source and the markets heavily depend on oil prices, any surge in the prices creates uncertainty and increases the fear in the markets. In this study, we contribute to the existing literature in two ways. First, rather than seeking a direct relationship with oil-clean energy returns, we include market fear represented by CBOE volatility index (VIX) to our models. Secondly, we utilize VAR-VECH-TARCH models with three different model systems and two different VAR system specifications for two different time periods. According to our asymmetric volatility model results, long-term volatility spillovers exist between clean energy, brent oil and volatility index. Moreover, considering the cross relationship between clean energy, brent oil and VIX, bad news contributes more to the systemic risk of energy company stock returns than good news. These findings state that the relationship between energy democracy and clean energy investments should be considered in more details while policy implications should support renewable energy investment policies and reduce the pressure of oil suppliers on both financial markets and clean energy investments.

Pemodelan dan peramalan indeks harga saham gabungan (ihsg), jakarta islamic index (jii), dan harga minyak dunia brent crude oil menggunakan metode vector autoregressive exogenous (varx)

Abstract: Index of stocks listed on the Indonesia Stock Exchange (IDX) there are conventional that one of them is the Composite Stock Price Index (CSPI) and the index of stocks that are sharia is the Jakarta Islamic Index (JII). In its movement, the value of CSPI and JII often increases and decreases that are influenced by several factors, one of which is the world oil price of Brent Crude Oil . To see the value of CSPI and JII conditions during the period of the next few months it takes the model equations. Because the third such data included in the time series data, we used time series analysis with the appropriate method is the Vector Autoregressive Exogenous (VARX). VARX( p , q ) is a model of multivariate time series that consists of several endogenous variable of the time series order p with q adding exogenous variables. The purpose of this study is to obtain an appropriate VARX models and forecasting for data CSPI and JII. The model to predict CSPI and JII with exogenous variables that influence the world oil prices of Brent Crude Oil is VARX(1,1). Test parameters for exogenous variables in the model VARX(1,1) not significant at significance level α = 5%, but this result could be ignored and continues to testing residual assumptions. Residual model VARX(1,1) satisfies the assumption of white noise and multivariate normal distribution, in order to obtain results as very good forecast that with each MAPE value for CSPI and JII forecast of 2,71% and 3,63%. Keywords : CPSI, JII, Brent Crude Oil , VARX, MAPE.