|
|
Natural Gas Comovement with Other Commodity Markets - A Wavelet Analysis
Otradovec, Michal ; Gutiérrez Chvalkovská, Jana (advisor) ; Kraicová, Lucie (referee)
This thesis studies the impact of shale gas on commodity and stock markets in the U.S. by employing wavelet approach and conducting a time-frequency analysis of dynamic correlations between natural gas and important representatives of commodity markets: crude oil, coal, corn, wheat, and several indices. It covers the period from 2006 to 2015 and is performed on daily data. Our thesis enlarges existing literature on comovement between natural gas with other energy commodities and stocks using wavelet coherence - a methodology which allows analyzing comovement among assets not only from a time series perspective but also over different frequencies. Financialization of natural gas and its involvement in investment portfolios under changing conditions on the U.S. gas market provide space for examination of gas proper correlation estimates in respect to other financial assets. Our results reveal natural gas comovement behaviour with examined commodities during the Financial Crisis. They show gradual decoupling between gas and crude oil prices in time. To the best of our knowledge we are the first to address natural gas using wavelet coherence in connection to agricultural commodities corn and wheat. These commodities together with natural gas are primary sources for bioethanol production being used in...
|
|
|
Natural Gas Comovement with Other Commodity Markets - A Wavelet Analysis
Otradovec, Michal ; Gutiérrez Chvalkovská, Jana (advisor) ; Kraicová, Lucie (referee)
This thesis studies the impact of shale gas on commodity and stock markets in the U.S. by employing wavelet approach and conducting a time-frequency analysis of dynamic correlations between natural gas and important representatives of commodity markets: crude oil, coal, corn, wheat, and several indices. It covers the period from 2006 to 2015 and is performed on daily data. Our thesis enlarges existing literature on comovement between natural gas with other energy commodities and stocks using wavelet coherence - a methodology which allows analyzing comovement among assets not only from a time series perspective but also over different frequencies. Financialization of natural gas and its involvement in investment portfolios under changing conditions on the U.S. gas market provide space for examination of gas proper correlation estimates in respect to other financial assets. Our results reveal natural gas comovement behaviour with examined commodities during the Financial Crisis. They show gradual decoupling between gas and crude oil prices in time. To the best of our knowledge we are the first to address natural gas using wavelet coherence in connection to agricultural commodities corn and wheat. These commodities together with natural gas are primary sources for bioethanol production being used in...
|
|
|
The evolution of the commodity trade of France between 2001 and 2011
Španihelová, Zdeňka ; Karpová, Eva (advisor) ; Procházková Ilinitchi, Cristina (referee)
Thesis deals with commodity trade of France between 2001 and 2011. Its aim is to analyze its evolution during the selected period including forecasts of possible progress. The work is divided into three parts. The first one describes the commodity trade of the country between 2001 and 2007, the second part continues until 2011. Trade in goods is analyzed by commodity and territorial structure, but also in relation to the current account and some of its items. The third part evaluates the effects of three economic crises on the French foreign commodity trade and possibilities of its evolution until 2021.
|
guest ::
