| 来源类型 | FEEM working papers "Note di lavoro" series
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| 规范类型 | 论文
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| Interpreting the Oil Risk Premium: do Oil Price Shocks Matter? |
| Daniele Valenti; Matteo Manera; Alessandro Sbuelz
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| 发表日期 | 2018
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| 出处 | Economic Theory
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| 出版年 | 2018
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| 语种 | 英语
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| 摘要 | This paper provides an analysis of the link between the global market for crude oil and oil futures risk premium at the aggregate level. It off ers empirical evidence on whether the compensation for risk required by the speculators depends on the type of the structural shock of interest. Understanding the response of the risk premium to unexpected changes in the price of oil can be useful to address some research questions, among which: what is the relationship between crude oil risk premium and unexpected rise in the price of oil? On average, what should speculators expect to receive as a compensation for the risk they are taking on? This work is based on a Structural Vector Autoregressive (SVAR) model of the crude oil market. Two main results emerge. First, the impulse response analysis provides evidence of a negative relationship between the risk premium and the changes in the price of oil triggered by shocks to economic fundamentals. Second, this analysis shows that the historical decline of the risk premium can be modelled as a part of endogenous eff ect of the oil market driven shocks.
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Suggested citation: Valenti, D., M. Manera , A. Sbuelz, (2018), 'Interpreting the Oil Risk Premium: do Oil Price Shocks Matter?', Nota di Lavoro 3.2018, Milano, Italy: Fondazione Eni Enrico Mattei |
| 特色分类 | Q40 ,Q41;Q43;E32
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| 关键词 | Crude Oil Risk Premium
Bayesian SVAR Model
Oil Price Speculation
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| URL | https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/interpreting-the-oil-risk-premium-do-oil-price-shocks-matter/
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| 来源智库 | Fondazione Eni Enrico Mattei (Italy)
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/118577
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推荐引用方式
GB/T 7714 |
Daniele Valenti,Matteo Manera,Alessandro Sbuelz. Interpreting the Oil Risk Premium: do Oil Price Shocks Matter?. 2018.
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