G2TT
来源类型Discussion paper
规范类型论文
来源IDDP9808
DP9808 Speculation in the Oil Market
Ivan Petrella; Luciana Juvenal
发表日期2014-02-02
出版年2014
语种英语
摘要The run-up in oil prices since 2004 coincided with growing investment in commodity markets and increased price comovement among different commodities. We assess whether speculation in the oil market played a role in driving this salient empirical pattern. We identify oil shocks from a large dataset using a dynamic factor model (DFM). This method is motivated by the fact that a small scale VAR is not infomationally sufficient to identify the shocks. The main results are as follows: (i) While global demand shocks account for the largest share of oil price fluctuations, speculative shocks are the second most important driver. (ii) The increase in oil prices over the last decade is mainly driven by the strength of global demand. However, speculation played a significant role in the oil price increase between 2004 and 2008, and its subsequent collapse. (iii) The comovement between oil prices and the prices of other commodities is mainly explained by global demand shocks. Our results support the view that the recent oil price increase is mainly driven by the strength of global demand but that the financialization process of commodity markets also played a role.
主题International Macroeconomics
关键词Oil prices Speculation Dfm
URLhttps://cepr.org/publications/dp9808
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/538644
推荐引用方式
GB/T 7714
Ivan Petrella,Luciana Juvenal. DP9808 Speculation in the Oil Market. 2014.
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