Oil Price Volatility And The Role Of Speculation
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Author | : Samya Beidas-Strom |
Publisher | : International Monetary Fund |
Total Pages | : 34 |
Release | : 2014-12-12 |
Genre | : Business & Economics |
ISBN | : 1498333486 |
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 à 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.
Author | : Samya Beidas-Strom |
Publisher | : International Monetary Fund |
Total Pages | : 34 |
Release | : 2014-12-12 |
Genre | : Business & Economics |
ISBN | : 1498303846 |
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 à 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.
Author | : Matthias Kalkuhl |
Publisher | : Springer |
Total Pages | : 620 |
Release | : 2016-04-12 |
Genre | : Business & Economics |
ISBN | : 3319282018 |
This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.
Author | : Robert S. Pindyck |
Publisher | : World Bank Publications |
Total Pages | : 58 |
Release | : 1989 |
Genre | : Capital investments |
ISBN | : |
Irreversible investment is especially sensitive to such risk factors as volatile exchange rates and uncertainty about tariff structures and future cash flows. If the goal of macroeconomic policy is to stimulate investment, stability and credibility may be more important than tax incentives or interest rates.
Author | : Bassam Fattouh |
Publisher | : |
Total Pages | : 25 |
Release | : 2012 |
Genre | : Petroleum products |
ISBN | : 9781907555442 |
Author | : Jean-Paul Chavas |
Publisher | : University of Chicago Press |
Total Pages | : 394 |
Release | : 2014-10-14 |
Genre | : Business & Economics |
ISBN | : 022612892X |
"The conference was organized by the three editors of this book and took place on August 15-16, 2012 in Seattle."--Preface.
Author | : Mr.Aasim M. Husain |
Publisher | : International Monetary Fund |
Total Pages | : 41 |
Release | : 2015-07-14 |
Genre | : Business & Economics |
ISBN | : 151357227X |
The sharp drop in oil prices is one of the most important global economic developments over the past year. The SDN finds that (i) supply factors have played a somewhat larger role than demand factors in driving the oil price drop, (ii) a substantial part of the price decline is expected to persist into the medium term, although there is large uncertainty, (iii) lower oil prices will support global growth, (iv) the sharp oil price drop could still trigger financial strains, and (v) policy responses should depend on the terms-of-trade impact, fiscal and external vulnerabilities, and domestic cyclical position.
Author | : B.R. Munier |
Publisher | : IOS Press |
Total Pages | : 256 |
Release | : 2012-04-24 |
Genre | : Business & Economics |
ISBN | : 1614990379 |
The recent global financial crisis exposed the serious limitations of existing economic and financial models. Not only did macro models fail to predict the crisis, they seemed incapable of explaining what was happening to the economy. Policymakers felt abandoned by the conventional tools of the now obsolete Washington consensus and the World Trade Organization’s oversimplified faith in free markets.The traditional models for agricultural commodities have so far failed to take into account the uncertain character of the global agricultural economy and its ferocious consequences in food price volatility, the worst in 300 years, yielding hunger riots throughout the world. This book explores the elements which could help to close this fundamental modeling gap. To what extent should traditional models be questioned regarding agricultural commodities? Are prices on these markets foreseeable? Can their evolution be either predicted or convincingly simulated, and if so, by which methods and models? Presenting contributions from acknowledged experts from several countries and backgrounds – professors at major international universities or researchers within specialized international organizations – the book concentrates on four issues: the role of expectations and capacity of prediction; policy issues related to development strategies and food security; the role of hoarding and speculation and finally, global modeling methods. The book offers a renewed wisdom on some of the core issues in the world economy today and puts forward important innovations in analyzing these core issues, among which the modular modeling design, the Momagri model being a seminal example of it. Reading this book should inspire fruitful revisions in policy-making to improve the welfare of populations worldwide.
Author | : |
Publisher | : |
Total Pages | : 56 |
Release | : 2006 |
Genre | : Natural gas |
ISBN | : |
Author | : Craig Pirrong |
Publisher | : Cambridge University Press |
Total Pages | : 239 |
Release | : 2011-10-31 |
Genre | : Business & Economics |
ISBN | : 1139501976 |
Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.