Oil Price Volatility and the Role of Speculation:
How much does speculation contribute to oil price volatility? We revisit this contentious question by estimating a sign-restricted structural vector autoregression (SVAR). First, using a simple storage model, we show that revisions to expectations regarding oil market fundamentals and the effect of...
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| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Washington, D.C
International Monetary Fund
2014
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| Series: | IMF Working Papers: Working Paper No. 14 / 218
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| Online Access: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Summary: | How much does speculation contribute to oil price volatility? We revisit this contentious question by estimating a sign-restricted structural vector autoregression (SVAR). First, using a simple storage model, we show that revisions to expectations regarding oil market fundamentals and the effect of mispricing in oil derivative markets can be observationally equivalent in a SVAR model of the world oil market � la Kilian and Murphy (2013), since both imply a positive co-movement of oil prices and inventories. Second, we impose additional restrictions on the set of admissible models embodying the assumption that the impact from noise trading shocks in oil derivative markets is temporary. Our additional restrictions effectively put a bound on the contribution of speculation to short-term oil price volatility (lying between 3 and 22 percent). This estimated short-run impact is smaller than that of flow demand shocks but possibly larger than that of flow supply shocks |
| Physical Description: | 1 Online-Ressource (34 p) |
| ISBN: | 1498333486 9781498333481 |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T20:13:36Z |
| indexdate | 2024-07-10T09:35:46Z |
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| record_format | marc |
| series2 | IMF Working Papers: Working Paper No. 14 / 218 |
| spelling | Beidas-Strom, Samya Verfasser aut Oil Price Volatility and the Role of Speculation Beidas-Strom, Samya Washington, D.C International Monetary Fund 2014 1 Online-Ressource (34 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers: Working Paper No. 14 / 218 How much does speculation contribute to oil price volatility? We revisit this contentious question by estimating a sign-restricted structural vector autoregression (SVAR). First, using a simple storage model, we show that revisions to expectations regarding oil market fundamentals and the effect of mispricing in oil derivative markets can be observationally equivalent in a SVAR model of the world oil market � la Kilian and Murphy (2013), since both imply a positive co-movement of oil prices and inventories. Second, we impose additional restrictions on the set of admissible models embodying the assumption that the impact from noise trading shocks in oil derivative markets is temporary. Our additional restrictions effectively put a bound on the contribution of speculation to short-term oil price volatility (lying between 3 and 22 percent). This estimated short-run impact is smaller than that of flow demand shocks but possibly larger than that of flow supply shocks Online-Ausg Pescatori, Andrea Sonstige oth http://elibrary.imf.org/view/IMF001/22184-9781498333481/22184-9781498333481/22184-9781498333481.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Beidas-Strom, Samya Oil Price Volatility and the Role of Speculation |
| title | Oil Price Volatility and the Role of Speculation |
| title_auth | Oil Price Volatility and the Role of Speculation |
| title_exact_search | Oil Price Volatility and the Role of Speculation |
| title_exact_search_txtP | Oil Price Volatility and the Role of Speculation |
| title_full | Oil Price Volatility and the Role of Speculation Beidas-Strom, Samya |
| title_fullStr | Oil Price Volatility and the Role of Speculation Beidas-Strom, Samya |
| title_full_unstemmed | Oil Price Volatility and the Role of Speculation Beidas-Strom, Samya |
| title_short | Oil Price Volatility and the Role of Speculation |
| title_sort | oil price volatility and the role of speculation |
| url | http://elibrary.imf.org/view/IMF001/22184-9781498333481/22184-9781498333481/22184-9781498333481.xml |
| work_keys_str_mv | AT beidasstromsamya oilpricevolatilityandtheroleofspeculation AT pescatoriandrea oilpricevolatilityandtheroleofspeculation |