Reinhard Ellwanger

Senior Economist

ORCID Author Orcid Link

Research Field(s): Applied Econometrics Empirical Finance Resource and Energy Economics

Staff analytical notes

A Dynamic Factor Model for Commodity Prices

Staff Analytical Note 2017-12 Doga Bilgin, Reinhard Ellwanger
In this note, we present the Commodities Factor Model (CFM), a dynamic factor model for a large cross-section of energy and non-energy commodity prices. The model decomposes price changes in commodities into a common “global” component, a “block” component confined to subgroups of economically related commodities and an idiosyncratic price shock component.
Content Type(s): Staff research, Staff analytical notes Topic(s): Econometric and statistical methods, Recent economic and financial developments JEL Code(s): C, C5, C51, Q, Q0, Q02

Low for Longer? Why the Global Oil Market in 2014 Is Not Like 1986

Staff Analytical Note 2016-11 Bahattin Buyuksahin, Reinhard Ellwanger, Kun Mo, Konrad Zmitrowicz
In the second half of 2014, oil prices experienced a sharp decline, falling more than 50 per cent between June 2014 and January 2015. A cursory glance at this oil price crash suggests similarities to developments in 1986, when the price of oil declined by more than 50 per cent, initiating an episode of relatively low oil prices that lasted for more than a decade.
Content Type(s): Staff research, Staff analytical notes Topic(s): International topics, Recent economic and financial developments JEL Code(s): E, E3, Q, Q4, Q41, Q43

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Staff working papers

Cost Pass-Through with Capacity Constraints and International Linkages

Staff Working Paper 2023-16 Reinhard Ellwanger, Hinnerk Gnutzmann, Piotr Śpiewanowski
How are regional cost shocks passed through into global prices? We investigate the role of short-run capacity constraints and show that they can induce stark non-linearities in the pass-through. We highlight this effect for the market for ammonia, a commodity produced largely from natural gas.
Content Type(s): Staff research, Staff working papers Topic(s): Climate change, Econometric and statistical methods, Inflation and prices, International topics JEL Code(s): L, L1, L13, L6, L65, Q, Q4, Q40, Q5, Q54

Are Temporary Oil Supply Shocks Real?

Staff Working Paper 2022-52 Johan Brannlund, Geoffrey R. Dunbar, Reinhard Ellwanger
Hurricanes disrupt oil production in the Gulf of Mexico because producers shut in oil platforms to safeguard lives and prevent damage. We examine the effects of these temporary oil supply shocks on real economic activity in the United States.
Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Inflation and prices JEL Code(s): E, E3, E31, E32, Q, Q3, Q31, Q4, Q41, Q43

Weather the Storms? Hurricanes, Technology and Oil Production

Staff Working Paper 2022-36 Johan Brannlund, Geoffrey R. Dunbar, Reinhard Ellwanger, Matthew Krutkiewicz
Do technological improvements mitigate the potential damages from extreme weather events? We show that hurricanes lower offshore oil production in the Gulf of Mexico and that stronger storms have larger impacts. Regulations enacted in 1980 that required improved offshore construction standards only modestly mitigated the production losses.
Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Climate change, Potential output JEL Code(s): C, C2, C22, C23, Q, Q4, Q40, Q48, Q5, Q54

The New Benchmark for Forecasts of the Real Price of Crude Oil

Staff Working Paper 2020-39 Amor Aniss Benmoussa, Reinhard Ellwanger, Stephen Snudden
How can we assess the quality of a forecast? We propose a new benchmark to evaluate forecasts of temporally aggregated series and show that the real price of oil is more difficult to predict than we thought.
Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C1, C5, C53, Q, Q4, Q47

The Simple Economics of Global Fuel Consumption

Staff Working Paper 2019-35 Doga Bilgin, Reinhard Ellwanger
This paper presents a structural framework of the global oil market that relies on information on global fuel consumption to identify flow demand for oil. We show that under mild identifying assumptions, data on global fuel consumption help to provide comparatively sharp insights on elasticities and other key structural parameters of the global oil market.
Content Type(s): Staff research, Staff working papers Topic(s): Economic models JEL Code(s): C, C5, C51, L, L7, L71, Q, Q4, Q41, Q43

On the Tail Risk Premium in the Oil Market

Staff Working Paper 2017-46 Reinhard Ellwanger
This paper shows that changes in market participants’ fear of rare events implied by crude oil options contribute to oil price volatility and oil return predictability. Using 25 years of historical data, we document economically large tail risk premia that vary substantially over time and significantly forecast crude oil futures and spot returns.
Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C5, C53, C58, D, D8, D84, E, E4, E44, G, G1, G12, G13, Q, Q4, Q43

Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?

Staff Working Paper 2017-35 Christiane Baumeister, Reinhard Ellwanger, Lutz Kilian
It is commonly believed that the response of the price of corn ethanol (and hence of the price of corn) to shifts in biofuel policies operates in part through market expectations and shifts in storage demand, yet to date it has proved difficult to measure these expectations and to empirically evaluate this view.
Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, Recent economic and financial developments JEL Code(s): Q, Q1, Q18, Q2, Q28, Q4, Q42, Q5, Q58

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Bank publications

Bank of Canada Review articles

November 16, 2017

Factors Behind the 2014 Oil Price Decline

Bank of Canada Review - Autumn 2017 Reinhard Ellwanger, Benjamin Sawatzky, Konrad Zmitrowicz
Oil prices have declined sharply over the past three years. While both supply and demand factors played a role in the large oil price decline of 2014, global supply growth seems to have been the predominant force. The most important drivers were likely the surprising growth of US shale oil production, the output decisions of the Organization of the Petro-leum Exporting Countries and the weaker-than-expected global growth that followed the 2009 global financial crisis.
Content Type(s): Publications, Bank of Canada Review articles Topic(s): Business fluctuations and cycles, International topics, Recent economic and financial developments JEL Code(s): Q, Q4, Q41, Q43

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Journal publications

  • “A simple model of global fuel consumption” (with Doga Bilgin). Energy Economics 2024; 130
  • "Weather the storms? Resilience investment and production losses after hurricanes" (with Johan Brannlund, Geoffrey Dunbar, and Matthew Krutkiewicz).  Journal of Environmental Economics and Management 2023; 122
  • “Forecasts of the real price of oil revisited: Do they beat the random walk?" (with Stephen Snudden). Journal of Banking & Finance 2023; 154
  • “Futures Prices are Useful Predictors of the Spot Price of Crude Oil” (with Stephen Snudden). The Energy Journal 2023; 44(4), 65-82
  • “The effect of oil price shocks on asset markets: Evidence from oil inventory news” (with Ron Alquist and Jianjian Jin). Journal of Futures Markets 2020; 40: 1212–1230