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Crude oil prices between 1985 and 1994: how volatile in relation to other commodities?

  • Plourde, André
  • Watkins, G. C.

It is said that since the mid-1980s oil has become a commodity like others, and exhibits noticeable price volatility. How then do oil price fluctuations compare with those of other commodities? To address this question, we examine three aspects of price volatility for two marker crude oils and nine other widely traded commodities. Our results suggest that between 1985 and 1994 crude oil is in the upper end of the range of all measures of price volatility studied, but is not clearly beyond the bounds set by other commodities. Implications of this result for the oil industry are discussed.

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File URL: http://www.sciencedirect.com/science/article/B6VFJ-3V5M31D-B/2/647fbd1ead6e580f2bc91ccb20e776c2
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Article provided by Elsevier in its journal Resource and Energy Economics.

Volume (Year): 20 (1998)
Issue (Month): 3 (September)
Pages: 245-262

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Handle: RePEc:eee:resene:v:20:y:1998:i:3:p:245-262
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505569

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  1. Stein, Jeremy C., 1987. "Informational Externalities and Welfare-Reducing Speculation," Scholarly Articles 3660740, Harvard University Department of Economics.
  2. Richard Deaves & Itzhak Krinsky, 1992. "Risk Premiums and Efficiency in the Market for Crude Oil Futures," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 93-118.
  3. Eduardo Borensztein & Peter Wickham & Mohsin S. Khan & Carmen Reinhart, 1994. "The Behavior of Non-Oil Commodity Prices," IMF Occasional Papers 112, International Monetary Fund.
  4. Hart, Oliver D & Kreps, David M, 1986. "Price Destabilizing Speculation," Journal of Political Economy, University of Chicago Press, vol. 94(5), pages 927-52, October.
  5. Slade, Margaret E, 1991. "Market Structure, Marketing Method, and Price Instability," The Quarterly Journal of Economics, MIT Press, vol. 106(4), pages 1309-40, November.
  6. Dolado, Juan J & Jenkinson, Tim & Sosvilla-Rivero, Simon, 1990. " Cointegration and Unit Roots," Journal of Economic Surveys, Wiley Blackwell, vol. 4(3), pages 249-73.
  7. Slade, Margaret E., 1989. "The two pricing systems for non-ferrous metals," Resources Policy, Elsevier, vol. 15(3), pages 209-220, September.
  8. Cox, Charles C, 1976. "Futures Trading and Market Information," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1215-37, December.
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