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Moody Oil - What is Driving the Crude Oil Price?

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Abstract

The unparalleled surge of the crude oil price after 2003 has triggered a heated scientific and public debate about its ultimate causes. Unexpected demand growth particularly from emerging economies appears to be the most prominently supported reason among academics. We study the price dynamics after 2003 in the global crude oil market using a structural VAR model. We account for structural breaks and approximate market expectations using a time series for media sentiment in order to contribute to the existing literature. We and that forward-looking demand activities rather than demand arising from current needs have played an important role for the run-up in the price of crude oil after 2003. We additionally and that emerging economies have not majorly contributed to the price surge

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  • 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.
  • Handle: RePEc:eth:wpswif:12-168
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    1. repec:eee:pacfin:v:45:y:2017:i:c:p:186-210 is not listed on IDEAS
    2. repec:eee:eneeco:v:66:y:2017:i:c:p:508-522 is not listed on IDEAS
    3. Chan, Leo H. & Nguyen, Chi M. & Chan, Kam C., 2015. "A new approach to measure speculation in the oil futures market and some policy implications," Energy Policy, Elsevier, vol. 86(C), pages 133-141.

    More about this item

    Keywords

    Oil Price; Spot Market; Futures Market; Fundamentals; Speculation; Financialization;

    JEL classification:

    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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