The Convenience Yield Implied In The European Natural Gas Markets The Impact Of Storage And Weather PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download The Convenience Yield Implied In The European Natural Gas Markets The Impact Of Storage And Weather PDF full book. Access full book title The Convenience Yield Implied In The European Natural Gas Markets The Impact Of Storage And Weather.
| Author | : Thomas Reinhard Kremser |
| Publisher | : |
| Total Pages | : |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Download The Convenience Yield Implied in the European Natural Gas Markets - The Impact of Storage and Weather Book in PDF, ePub and Kindle
This paper determines the convenience yield implied in the European natural gas markets and investigates driving factors and according dynamics. For this, we approximate the convenience yield via an option-based approach, in which the convenience yield is determined as the difference between two average floating-strike Asian options, written on the spot and the other on futures contract, respectively. In a second step, we fit an exponential GARCH model to explain the convenience yield via storage and weather, as well as other key driving factors. The empirical analysis reveals distinct results for the impact of storage, which indicates that the release of natural gas storage levels generates considerably volatility. Furthermore, we illustrate that the mixed evidence and the absence of a clear pattern to explain the convenience yield's characteristics underline the transitory state of the European natural gas market.
| Author | : Raul Susmel |
| Publisher | : |
| Total Pages | : |
| Release | : 1998 |
| Genre | : |
| ISBN | : |
Download Volatility, Storage and Convenience Book in PDF, ePub and Kindle
This papers tests a theoretical implication of the theory of storage. We examine the U.S. natural gas market over a period of extensive change in market structure brought about by regulatory action. We motivate and test the hypothesis that the change in market structure increased spot price volatility. The theory of storage implies that a shift to a higher volatility state leads to an increase in convenience yield and therefore, an increase in the use of storage. Using a switching ARCH model, which allows the ARCH parameters to be state dependent, we find evidence that volatility of natural gas prices increased with the change in market structure. We also find that the switch to a higher volatility state is associated with investment in additional storage capacity.
| Author | : Anna Cretì |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 123 |
| Release | : 2009-04-05 |
| Genre | : Business & Economics |
| ISBN | : 3540794077 |
Download The Economics of Natural Gas Storage Book in PDF, ePub and Kindle
I remember that the idea of this book emerged ?rst in Toulouse, during the Third Conference on Energy Markets – 3 years ago now. Anna Cret` ? gave a talk on a model dealing with seasonal gas storage in the USA, and Christian Von Hirschausen was her discussant. Both of them were devoting their efforts to understand the natural gas market in Europe and the relevant liberalization process. I found their interest in storage rather original, so I encouraged Anna to collect the most original cont- butions on this topic. Back in Milan with this idea in mind, she organized a working group at IEFE- Bocconi University, where she works. Then, during the following year, she - changed ideas and organized several meetings with the book’s contributors. She regularly invited the most important Italian gas sector representatives to these me- ings, to make sure that the economic models were well suited to tackle the issues at stake in the European gas industry.
| Author | : Claudia Fabini |
| Publisher | : |
| Total Pages | : |
| Release | : 2012 |
| Genre | : |
| ISBN | : |
Download Price Forecasts in the European Natural Gas Markets Book in PDF, ePub and Kindle
This master's thesis investigates the volatility dynamics of the European natural gas market in a recessive economic environment, namely for the period from October 2008 until January 2012. Three gas market areas and their respective trading hub are considered: the National Balancing Point (NBP) in Britain, Zeebrugge in Belgium, and the Transfer Facility (TTF) in the Netherlands. This thesis provides background information about the global and European natural gas market including its crucial interactions between gas, oil, electricity and CO2 markets in Europe. The analysis of the daily spot prices and returns from the three European trading hubs provide useful information on the statistical properties and on the events that affected natural gas prices during the recession and slow recovery of the European economy. The conditional variance and covariances of the returns are estimated using five different models. For the univariate case the symmetric GARCH(1,1), two asymmetric extensions of the GARCH, i.e. EGARCH(1,1) and TGARCH(1,1) are employed. For the multivariate covariance analysis the Constant Conditional Correlation (CCC) and the diagonal BEKK variance specification are estimated. All the models imply a very strong persistency in the volatility process of natural gas returns for the three markets. The volatility is found to react more to unexpected negative returns than to positive ones. A positive correlation among the volatilities of the three markets is revealed, exhibiting the highest value for the market pair of Zeebrugge and TTF. There is evidence that the present volatility of NBP returns is dependent on the volatility of the previous day and one month before. Finally, during the period of negative growth rates of the European economy (2008 - Q1 2010), natural gas returns are more volatile than in the period of the slow economic recovery (Q2 2010 - January 2012), suggesting two different volatility regimes for the.
| Author | : Catherine Robinson (European gas markets expert) |
| Publisher | : |
| Total Pages | : 9 |
| Release | : 2009 |
| Genre | : Gas industry |
| ISBN | : |
Download Private Report Book in PDF, ePub and Kindle
| Author | : Vishwaksena Mallu |
| Publisher | : |
| Total Pages | : |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
Download The Impact of Storage and Weather Shocks on the Relationship Between Electricity and Natural Gas Forwards Book in PDF, ePub and Kindle
| Author | : Maria Cristina Arcuri |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2023 |
| Genre | : |
| ISBN | : |
Download Extreme Weather Forecasts Impact on U.S. Natural Gas Futures Prices Book in PDF, ePub and Kindle
We test the efficiency of the U.S. Natural Gas futures market against both observed and forecasted weather information from across the U.S., and show that the NG futures market incorporates complex meteorological information. We show that U.S. Natural Gas futures are affected by forecasted temperatures, but not by observed temperatures, except for one specific case.We then elaborate the expectation that the risk linked to the uncertainty intrinsic to weather forecasts will be rewarded by market forces. We identify a novel and material “extreme weather forecast” risk premium which outperforms the S&P500 on both an absolute and a risk adjusted basis. Our results, which have never previously been described in literature, are consistent throughout the thirty-year period from the U.S. Natural Gas market deregulation of 1990 up to 2019.
| Author | : Stephane Hallegatte |
| Publisher | : World Bank Publications |
| Total Pages | : 227 |
| Release | : 2015-11-23 |
| Genre | : Business & Economics |
| ISBN | : 1464806748 |
Download Shock Waves Book in PDF, ePub and Kindle
Ending poverty and stabilizing climate change will be two unprecedented global achievements and two major steps toward sustainable development. But the two objectives cannot be considered in isolation: they need to be jointly tackled through an integrated strategy. This report brings together those two objectives and explores how they can more easily be achieved if considered together. It examines the potential impact of climate change and climate policies on poverty reduction. It also provides guidance on how to create a “win-win†? situation so that climate change policies contribute to poverty reduction and poverty-reduction policies contribute to climate change mitigation and resilience building. The key finding of the report is that climate change represents a significant obstacle to the sustained eradication of poverty, but future impacts on poverty are determined by policy choices: rapid, inclusive, and climate-informed development can prevent most short-term impacts whereas immediate pro-poor, emissions-reduction policies can drastically limit long-term ones.
| Author | : Steve Martinez |
| Publisher | : DIANE Publishing |
| Total Pages | : 87 |
| Release | : 2010-11 |
| Genre | : Social Science |
| ISBN | : 1437933629 |
Download Local Food Systems; Concepts, Impacts, and Issues Book in PDF, ePub and Kindle
This comprehensive overview of local food systems explores alternative definitions of local food, estimates market size and reach, describes the characteristics of local consumers and producers, and examines early indications of the economic and health impacts of local food systems. Defining ¿local¿ based on marketing arrangements, such as farmers selling directly to consumers at regional farmers¿ markets or to schools, is well recognized. Statistics suggest that local food markets account for a small, but growing, share of U.S. agricultural production. For smaller farms, direct marketing to consumers accounts for a higher percentage of their sales than for larger farms. Charts and tables.
| Author | : Robert Clews |
| Publisher | : Academic Press |
| Total Pages | : 416 |
| Release | : 2016-04-07 |
| Genre | : Business & Economics |
| ISBN | : 0128005297 |
Download Project Finance for the International Petroleum Industry Book in PDF, ePub and Kindle
This overview of project finance for the oil and gas industry covers financial markets, sources and providers of finance, financial structures, and capital raising processes. About US$300 billion of project finance debt is raised annually across several capital intensive sectors—including oil and gas, energy, infrastructure, and mining—and the oil and gas industry represents around 30% of the global project finance market. With over 25 year’s project finance experience in international banking and industry, author Robert Clews explores project finance techniques and their effectiveness in the petroleum industry. He highlights the petroleum industry players, risks, economics, and commercial/legal arrangements. With petroleum industry projects representing amongst the largest industrial activities in the world, this book ties together concepts and tools through real examples and aims to ensure that project finance will continue to play a central role in bringing together investors and lenders to finance these ventures. Combines the theory and practice of raising long-term funding for capital intensive projects with insights about the appeal of project finance to the international oil and gas industry Includes case studies and examples covering projects in the Arctic, East Africa, Latin America, North America, and Australia Emphasizes the full downstream value chain of the industry instead of limiting itself to upstream and pipeline project financing Highlights petroleum industry players, risks, economics, and commercial and legal arrangements
