We investigate the relationship between energy commodities bases, inventory and financial stress from 1994 to 2018. We find that, from the 1998 Asian crisis the effect of financial stress on energy commodities bases gradually increased and from the 2008 crisis became positive, while the effect of inventory showed a gradual decline over time. The reactions of bases to changes in financial stress is nonlinear, as they are higher in the high financial stress periods. This is more profound in crude oil market than heating oil and natural gas. Moreover, the reactions of bases to the changes in inventory is nonlinear, as the reactions are lower when the inventory level is high confirming the theory of storage. We suggest that, in energy market, changes of inventory do not fully explain the variation of energy commodities bases, as the connection between commodity and financial markets increased during the recent years.

Behmiri, N., Ahmadi, M., Junttila, J., Manera, M. (2021). Financial stress and basis in energy markets. THE ENERGY JOURNAL, 42(5), 67-87 [10.5547/01956574.42.5.NBEH].

Financial stress and basis in energy markets

Ahmadi M.;Manera M.
2021

Abstract

We investigate the relationship between energy commodities bases, inventory and financial stress from 1994 to 2018. We find that, from the 1998 Asian crisis the effect of financial stress on energy commodities bases gradually increased and from the 2008 crisis became positive, while the effect of inventory showed a gradual decline over time. The reactions of bases to changes in financial stress is nonlinear, as they are higher in the high financial stress periods. This is more profound in crude oil market than heating oil and natural gas. Moreover, the reactions of bases to the changes in inventory is nonlinear, as the reactions are lower when the inventory level is high confirming the theory of storage. We suggest that, in energy market, changes of inventory do not fully explain the variation of energy commodities bases, as the connection between commodity and financial markets increased during the recent years.
Articolo in rivista - Articolo scientifico
finance; basis; commodities; energy
English
2021
42
5
67
87
reserved
Behmiri, N., Ahmadi, M., Junttila, J., Manera, M. (2021). Financial stress and basis in energy markets. THE ENERGY JOURNAL, 42(5), 67-87 [10.5547/01956574.42.5.NBEH].
File in questo prodotto:
File Dimensione Formato  
Behmiri-2021-Energy Journal-VoR.pdf

Solo gestori archivio

Descrizione: Financial stress and the basis in energy markets
Tipologia di allegato: Publisher’s Version (Version of Record, VoR)
Licenza: Tutti i diritti riservati
Dimensione 1.35 MB
Formato Adobe PDF
1.35 MB Adobe PDF   Visualizza/Apri   Richiedi una copia

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/295450
Citazioni
  • Scopus 6
  • ???jsp.display-item.citation.isi??? 6
Social impact