Asymmetric long-run effects in the oil industry

Sofia Ramos and Helena Veiga

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: This paper analyzes long term dependence between the market value of oil firms and oil prices. Applying nonlinear cointegration, the results show that in the long-run oil price hikes and falls show different adjustments to the equilibrium. Using a momentum threshold autoregressive model (MTAR), we find that for oil producing firms, the adjustment is faster for oil price falls than for oil price hikes, but we do not find a difference on the speed of adjustment for oil integrated firms. Moreover, testing for asymmetric cointegration, we also find that oil price falls impact substantially the value of oil producers and integrated firms, but the same is not found for oil price hikes. Overall, the evidence suggests that firm value stays above equilibrium relationship when there are oil price hikes.

Keywords: Asymmetric; cointegration; ECM; models; MTAR; models; Oil; prices; Oil; industry (search for similar items in EconPapers)
JEL-codes: G15 Q43 (search for similar items in EconPapers)
Date: 2012-02-13
New Economics Papers: this item is included in nep-bec, nep-cwa and nep-ene
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws120502

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