题　目：Crude Oil Markets, Arrival of Information, and Stress

嘉　宾：Marc Gronwald 副教授 西交利物浦

主持人：杨彪 助理教授 上海交通大学安泰经济与管理学院

时　间：2024年12月13日（周五）13:30-15:00

地　点：上海交通大学 徐汇校区安泰楼A503室

内容简介:

This paper proposes a new measure for oil market stress, based on a fractional integration approach. It finds, first, that crude oil market stress varies over time. Second, abrupt increases in stress occur during extreme episodes such as the price downturns witnessed in 2008, 2014, and early 2020. Third, this paper argues that this stress is caused by arrival of information. Fourth, the paper demonstrates that oil market stress (or the drivers behind it) have negative macroeconomic consequences.

演讲人简介：

Marc is a Senior Associate Professor in Economics. He obtained a diploma (master equivalent) degree in Economics from the University of Bielefeld, and his PhD in Economics from the University of Hamburg.Prior to his appointment at IBSS, Marc held appointments as Senior Lecturer in Economics at the University of Aberdeen, and as Economist at the ifo Institute for Economic Research, Munich. Marc is member (fellow) of the CESifo Research Network and Research Associate of the ifo Center for Energy, Climate and Exhaustible Resources.Marc’s research focuses on identifying, describing, and explaining patterns in univariate and multivariate time series data. He is particularly interested in large price movements, and he attempts to understand whether or not these movements can be explained by market fundamentals. In addition, he is interested in co-movement between time series. He works on a number of commodity and financial markets, in particular crude oil markets, emissions trading schemes such as the EU ETS. Recently, Marc also began working in the area of climate econometrics.In addition to these specific research areas, Marc has a general interest in economics of climate change, energy transition, and evaluation of environmental economic policies. Marc actively publishes in journals such as Energy Economics, the International Review of Financial Analysis, the Journal of International Money and Finance and Environmental and Resource Economics.

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