Journal ArticleDOI
Fundamentals, Derivatives Market Information and Oil Price Volatility
Michel A. Robe,Jonathan Wallen +1 more
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In this article, the authors investigate price volatility in the West Texas Intermediate (WTI) and Brent crude oil markets between 2000 and 2014 and provide empirical evidence of a relationship between the term structure of option-implied volatilities and global macroeconomic conditions, physical market fundamentals (OPEC surplus output capacity, oil storage) and economy-wide financial uncertainty.Abstract:
We investigate price volatility in the West Texas Intermediate (WTI) and Brent crude oil markets between 2000 and 2014. We provide empirical evidence of a relationship between the term structure of option-implied volatilities and global macroeconomic conditions, physical market fundamentals (OPEC surplus output capacity, oil storage) and economy-wide financial uncertainty (captured by the equity VIX). Based on public data regarding trader positions in U.S. futures markets, the intensity of oil speculation is statistically insignificant. Unexpected disruptions in the crude oil space are associated with large regression residuals. Our findings suggest that derivatives (“paper”) market contain information on the magnitude and duration of major oil market disruptions.read more
Citations
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Journal ArticleDOI
A closer look into the global determinants of oil price volatility
TL;DR: In this article, the authors investigate global determinants of oil price volatility by employing a time-varying parameter vector autoregressive (TVP-VAR) model.
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Mild explosivity in recent crude oil prices
Isabel Figuerola-Ferretti,Isabel Figuerola-Ferretti,J. Roderick McCrorie,Ioannis Paraskevopoulos +3 more
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Impact of the global financial crisis on the crude oil market
TL;DR: In this paper, the authors examined the effect of the 2008 global financial crisis on the crude oil market and found that the crisis altered the scale-invariant property of the oil market, and also negatively influenced market properties in terms of efficiency and long-term equilibrium.
Journal ArticleDOI
Global financial uncertainties and China’s crude oil futures market: Evidence from interday and intraday price dynamics
TL;DR: Wang et al. as mentioned in this paper investigated the impacts of five global financial market uncertainties on the interday and intraday price dynamics of newly launched China's crude oil futures, using both conventional causality tests and a novel nonparametric causality-in-quantiles test.
Journal ArticleDOI
Brent crude oil prices volatility during major crises
TL;DR: In this paper, the authors examined volatility patterns in Brent crude oil spot and futures prices during four major crises that significantly affected the oil markets: the First Gulf war 1990/91, the Asian Financial crisis 1997/98, the US terrorist attack 2001; and the Global Financial crisis 2008/9.
References
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Journal ArticleDOI
Postwar U.S. Business Cycles: An Empirical Investigation
TL;DR: In this article, a procedure for representing a times series as the sum of a smoothly varying trend component and a cyclical component is proposed, and the nature of the comovements of the cyclical components of a variety of macroeconomic time series is documented.
Book ChapterDOI
An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis
M. Hashem Pesaran,Yongcheol Shin +1 more
TL;DR: This article examined the use of autoregressive distributed lag (ARDL) models for the analysis of long-run relations when the underlying variables are I(1) and I(0) regressors.
Posted Content
Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market
Lutz Kilian,Lutz Kilian +1 more
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Journal ArticleDOI
Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market
TL;DR: In this article, a structural decomposition of the real price of crude oil is proposed, based on a newly developed measure of global real economic activity, and the authors estimate the dynamic effects of these shocks on the real prices of oil.
Journal ArticleDOI
The impact of oil price shocks on the u.s. stock market
Lutz Kilian,Cheolbeom Park +1 more
TL;DR: In this paper, the reaction of U.S. real stock returns to an oil price shock differs greatly depending on whether the change in the price of oil is driven by demand or supply shocks in the oil market.