12th session of seminars on research in energy economics at paris-sciences-lettres
Abstract
PROGRAMME AND SLIDES
The Seminar on Research in Energy Economics at Paris-Sciences-Lettres is jointly organized by the CERNA, the CGEMP, the Chaire European Electricity Markets, Mines ParisTech and University Paris-Dauphine. It is animated by François LEVEQUE (CERNA et MINES PARIS TECH) and Dominique FINON (Chaire European Electricity Markets, CNRS-CIRED).
Delphine LAUTIER, Professeur, Université Paris-Dauphine
Systemic Risk in Energy Derivative Markets, A Graph-Theory Analysis.
Presentation
Anna CRETI, Professeur, CECO, École Polytechnique et Chaire EEM, Université Paris-Dauphine
On the links between volatilities of stock market and commodity market.
Presentation
Summary of the presentations
Systemic Risk in Energy Derivative Markets, A Graph-Theory Analysis, Delphine LAUTIER
Considering it as a necessary condition for systemic risk to appear, we shall focus on integration in energy derivative markets, through a three-dimensional approach: observation time, space and the maturity of futures contracts. Such a method indeed makes it possible to investigate prices shocks in the physical as well as in the paper markets. In order to understand the underlying principles and the dynamic behavior of our prices system, we select specific tools of the graph-theory. More precisely, we use minimum spanning trees as a way to identify the most probable path for the transmission of prices shocks. We study the organization of these trees and their dynamic behavior. Examining three categories of underlying assets (energy and agricultural products, as well as financial assets), we find that crude oil stands at the heart of the system, and that energy markets are becoming more and more integrated.
A partir d’un article publié avec F. Raynaud dans The Energy Journal 2012, vol. 33(3), 217-242, 2012).
On the links between volatilities of stock market and commodity market, Anna CRETI
We investigate the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the correlations between commodity and stock markets evolve through time and are highly volatile, particularly since the 2007-2008 financial crisis. The latter has played a key role, emphasizing the links between commodity and stock markets, and underlining the financialization of commodity markets. At the idiosyncratic level, a speculation phenomenon is highlighted for oil, coffee and cocoa, while the safe-haven role of gold is evidenced.
A partir d’un article publié avec Valérie MIGNON et Marc JOETS dans Energy Economics, 2013, vol. 37, pp. 16-28.
