Universität zu Köln

Berk, Istemi (2014). Four Essays on Energy Prices and Resource Markets. PhD thesis, Universität zu Köln.

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Abstract

The thesis at hand includes four essays that analyze issues related to the energy prices. In the first essay, the effects of oil prices on Turkish stock market activity is investigated by using vector autoregressive model (VAR). Specific attention is given to global liquidity conditions in order to consistently explain the causal relationship. We find that oil prices do not have significant effect on Turkish stock returns but rather the global liquidity is the most plausible explanation for the changes in both the oil prices and the stock market returns. The second essay the long-term effects of rising energy prices on economic growth for developed countries. We first derive the theoretical relation by employing a two-sector endogenous growth model and tested the findings empirically using panel ARDL approach on data for sixteen OECD countries. We find significant and negative long-term effects of energy prices on economic growth. In the third essay a resource duopoly model is studied in order to examine strategic firm behavior in exhaustible resource markets. As an extension to the literature, intertemporal capacity constraints are taken as endogenous to the model. With this setup we are able to show that the price decreases weakly over two periods. This result captures the short-term stylized characteristics of many exhaustible resource markets, in which occasional price drops are observed. In the fourth paper, we analyze the effects of the Commodity Futures Trading Comission’s (CFTC) regulations on US oil- and gas-related stock returns during 2008 credit crunch. The CFTC, as the main financial regulatory authority in US commodities markets, aimed to avoid high volatility in oil prices. In principle, decreasing volatility leads to decrease in riskiness in oil markets, which would have profound effects on oil-related stock returns. We employ event study methodology and find that during the peak of 2008 credit crunch, i.e. Lehman Brothers failure, the CFTC’s regulatory announcements had significant and mostly positive effects on stock returns.

Item Type:	Thesis (PhD thesis)
Creators:	Creators Email ORCID ORCID Put Code Berk, Istemi istemiberk@gmail.com UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-58745
Date:	December 2014
Language:	English
Faculty:	Faculty of Management, Economy and Social Sciences
Divisions:	Externe Einrichtungen > An-Institute > Associated Institutes of the Faculty of Management, Economics and Social Sciences > Institute for Energy Economics
Subjects:	Economics
Uncontrolled Keywords:	Keywords Language energy prices; resource markets; economic growth; stock returns; exhaustible resources; market structure English
Date of oral exam:	9 December 2014
Referee:	Name Academic Title Höffler, Felix Prof. Dr. Badunenko, Oleg Prof. Dr.
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/5874