Xin Jin

Journal Article The Economic Journal · August 22, 2024 AbstractWe build and estimate a dynamic, structural model of the world oil market to quantify the impact of the shale revolution. We model the shale revolution as a decrease in shale production costs and fin ... Full text Cite

Measuring world oil market integration with a Thick Pen

Journal Article Energy Economics · February 1, 2024 This paper measures integration of the world crude oil market using two measures based on the so-called Thick Pen Transform (TPT): the Thick Pen Measure of Association (TPMA) as well as Multi-Thickness Thick Pen Measure of Association (MTTPMA). These are n ... Full text Cite

The role of market expectations in commodity price dynamics: Evidence from oil data

Journal Article Journal of International Money and Finance · February 1, 2019 This paper examines the contribution of market expectations to commodity price dynamics. It proposes a dynamic competitive storage framework with an explicit expectations shock along with concurrent shocks to study the commodity price movements. This allow ... Full text Cite

Do futures prices help forecast the spot price?

Journal Article Journal of Futures Markets · December 1, 2017 This study proposes a futures-based unobserved components model for commodity spot prices. Prices quoted at the same time incorporate the same information, but are affected differently, resulting in the different shapes of futures curves. This model utiliz ... Full text Cite