International Journal of Global Energy Issues (6 papers in press)
The inventory change surprises role in energy price behavior
by Tarek Chebbi
Abstract: In this paper, we investigate how the inventory announcements through information surprises affect energy commodity prices on return and volatility using a daily data from November 09, 2010 to September 24, 2013. The data set covers 150 inventory news released by the Energy Information Administration (EIA) for each commodity. Surprises are measured as the difference between actual change of inventory released in the EIA reports and the expected change of inventory released by Reuters. Across a range of specifications, we find strong evidence for the negative effect of inventory surprises on energy commodity futures returns on the day of the announcement. This indicates that when the EIA inventory experiences an unexpected decrease, we show an increase in the futures price returns. An announcement that causes a decrease in the surprise of 1% (on event days) causes an increase in the crude oil (natural gas) returns of almost 0.302 (0.866)%. In contrast, the effect after the announcement day becomes insignificant. Moreover, in separating inventory announcements into positive and negative surprises, we find that asymmetric responses in returns to EIA inventory shocks are pronounced for energy commodity. More specifically, we find that positive surprise has a significant positive effect on returns, while negative surprise is insignificant. Finally, we show that natural gas volatility is susceptible to both positive and negative inventory surprises, whereas surprises do not matter for crude oil volatility.
Keywords: inventory surprises; energy commodity; futures prices; conditional volatility.
CONDITIONAL DEPENDENCE BETWEEN OIL AND EXCHANGE RATE RETURNS IN A DEVELOPING OIL-EXPORTING ECONOMY: AN INVESTIGATION WITH COPULA-BASED TGARCH MODELS
by Arturo Lorenzo-Valdes, Antonio Ruiz-Porras
Abstract: We study the interdependence, the conditional tail dependence and the volatilities of the oil and the exchange-rate returns for the Mexican economy. We develop the analysis with copula-based TGARCH models. The main findings show that: 1) the Clayton-TGARCH distribution seems to characterise the co-movements between the series; 2) leverage effects on the exchange-rate returns are higher than the oil ones; 3) the series show lower tail dependence; and 4) extreme downfalls in oil returns might reduce exchange-rate ones with a probability of less than 10 per cent. The study relies on series of weekly returns for the period between January 2nd, 1998 and September 30th, 2016.
Keywords: Copulas; TGARCH Models; Conditional Dependence; Oil Returns; Exchange-Rate Returns; Mexico.
Special Issue on: Blockchain-Enabled Energy Markets
Blockchain, the new energy revolution
by Abdelkader Derbali
Abstract: Blockchain technology is nothing more than a new way of managing data, essentially a decentralized database. There are a lot of blockchains today, Bitcoin being the first. While Bitcoin's only blockchain application is cryptocurrency, recent developments allow the blockchain to be applied in many areas, including energy. In this paper, we asked about the key points of this revolutionary technology, what it means for the energy sector and how it can accelerate the transition to the energy market. We find that through the application of blockchain technology is the opportunity to streamline internal processes and processes shared with external market participants. Also, this fundamentally changes the landscape of energy and commodity trading.
Keywords: Blockchain; cryptocurrency; Bitcoin; energy commodities.
BLOCKCHAIN AND ENERGY TRANSITION: WHAT ARE THE CHALLENGES FOR CITIES?
by Lamia Jamel, Abdelkader Derbali
Abstract: The aim of this exploratory note is to draw the first outlines of the experimental use of blockchains for energy at the local level: to what extent can blockchains impact the energy transition of cities? How can cities and their inhabitants, thanks to this technology, become a producer of energy and consume all or part of this same energy? This exploratory note provides an overview of the types of energy this technology could apply to, as well as potential uses in the territories. Multiple experiments seem to be already launched by public and private actors, for example in the sector of municipal buildings, exchanges between private actors or in the energy sector for the (electric) mobility of people. The opportunities and vigilance of blockchain technologies for communities are discussed. In addition, perspectives to establish if and when a massification of this technology at the local level could be possible are presented.
Keywords: Blockchain; technologies; energy transition.
Interaction bewteen commodity market and cryptocurrencies
by Fathi Jouini, Ahlem Selma Messai
Abstract: The aim of this study is to show that the bitcoin market is not isolated but is rather influenced by commodity markets in terms of return and volatility. we used the return of bitcoin, crude oil, gold, silver and wheat for a period from January 03, 2011 to November 22, 2017.rnBased on the EGARCH model estimate, the main results indicated that bitcoin return is positively but weakly influenced by returns for crude oil, gold, silver, and wheat. The results also show an inverse relationship between the volatility of crude oil and bitcoin. So Bitcoin is a strong hedge against energy products. For gold, silver and wheat, the absence of risk transmission to the bitcoin market suggests diversification opportunities allowing investors to use bitcoin with any of the three assets to reduce the portfolio risk.rn
Keywords: Bitcoin; Volatility spillover; Commodity.
How will blockchain change corporate governance?
by Abdelkader Derbali, Yosra Mani
Abstract: In this article, we examine the importance of the blockchain on the corporate governance. Then, we find that the blockchain and smart contracts offer a solution to reduce these costs borne by the company. Thanks to blockchain and smart contracts, trust is not based on the organization, but rather on the security and auditability of the code that is verified by all the actors.
Keywords: blockchain; cryptocurrency; bitcoin; corporate governance.