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What has driven oil prices since 2000? A structural change perspective

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  • Fan, Ying
  • Xu, Jin-Hua
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    Abstract

    This paper characterizes weekly international oil price fundamentals since 2000 by analyzing the transformation of the market mechanism based on structural change perspective. Using endogenously-determined break tests that allow for changes in both level and trend, we divide the price fluctuations in the international oil market after 2000 into three stages: “Relatively calm market” period (January 07, 2000, to March 12, 2004); the “Bubble accumulation” period (March 19, 2004, to June 06, 2008,); and the “Global economic crisis” period (June 13, 2008, to September 11, 2009). The results show the existence of structural breaks refutes the utility of investigation of the full sample period as a whole. And in different structural periods the main drivers of oil price changes and their way of influence and degree are significantly distinct. Then we demonstrate the evolving process of market mechanism since 2000. Through establishing comparative models, we also quantitatively measure the roles of speculation and episodic events in oil price fluctuations.

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    Bibliographic Info

    Article provided by Elsevier in its journal Energy Economics.

    Volume (Year): 33 (2011)
    Issue (Month): 6 ()
    Pages: 1082-1094

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    Handle: RePEc:eee:eneeco:v:33:y:2011:i:6:p:1082-1094

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    Web page: http://www.elsevier.com/locate/eneco

    Related research

    Keywords: Oil market trading; Oil price fundamentals; Drivers; Structural breaks;

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    Cited by:
    1. Filippo Lechthaler & Lisa Leinert, 2012. "Moody Oil - What is Driving the Crude Oil Price?," CER-ETH Economics working paper series 12/168, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
    2. Moya-Martínez, Pablo & Ferrer-Lapeña, Román & Escribano-Sotos, Francisco, 2014. "Oil price risk in the Spanish stock market: An industry perspective," Economic Modelling, Elsevier, vol. 37(C), pages 280-290.
    3. Zhu, Hui-Ming & Li, Rong & Li, Sufang, 2014. "Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 208-223.
    4. David C Broadstock & Hong Cao & Dayong Zhang, 2012. "Oil Shocks and their Impact on Energy Related Stocks in China," Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS) 137, Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey.
    5. Chevallier, Julien, 2013. "Price relationships in crude oil futures: new evidence from CFTC disaggregated data," Economics Papers from University Paris Dauphine 123456789/11712, Paris Dauphine University.
    6. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2014. "How do OPEC news and structural breaks impact returns and volatility in crude oil markets? Further evidence from a long memory process," Energy Economics, Elsevier, vol. 42(C), pages 343-354.
    7. Wang, Yudong & Wu, Chongfeng, 2013. "Are crude oil spot and futures prices cointegrated? Not always!," Economic Modelling, Elsevier, vol. 33(C), pages 641-650.
    8. Chen, Shyh-Wei & Lin, Shih-Mo, 2014. "Non-linear dynamics in international resource markets: Evidence from regime switching approach," Research in International Business and Finance, Elsevier, vol. 30(C), pages 233-247.
    9. Umar M. Mustapha, 2012. "The Role of Speculation in the Determination of Energy Prices," International Journal of Energy Economics and Policy, Econjournals, vol. 2(4), pages 279-291.

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