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The role of market fundamentals and speculation in recent price changes for crude oil

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Cited by:

  1. Matteo Manera & Marcella Nicolini & Ilaria Vignati, 2012. "Returns in commodities futures markets and financial speculation: a multivariate GARCH approach," Quaderni di Dipartimento 170, University of Pavia, Department of Economics and Quantitative Methods.
  2. Deeney, Peter & Cummins, Mark & Dowling, Michael & Bermingham, Adam, 2015. "Sentiment in oil markets," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 179-185.
  3. Prat, Georges & Uctum, Remzi, 2011. "Modelling oil price expectations: Evidence from survey data," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(3), pages 236-247, June.
  4. Dragomirescu-Gaina, Catalin & Philippas, Dionisis & Goutte, Stéphane, 2023. "How to ‘Trump’ the energy market: Evidence from the WTI-Brent spread," Energy Policy, Elsevier, vol. 179(C).
  5. Joëts, Marc & Mignon, Valérie, 2012. "On the link between forward energy prices: A nonlinear panel cointegration approach," Energy Economics, Elsevier, vol. 34(4), pages 1170-1175.
  6. Hong Li & Yanlin Shi, 2022. "Robust information share measures with an application on the international crude oil markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 555-579, April.
  7. Li, Qiming & Cheng, Ke & Yang, Xiaoguang, 2017. "Response pattern of stock returns to international oil price shocks: From the perspective of China’s oil industrial chain," Applied Energy, Elsevier, vol. 185(P2), pages 1821-1831.
  8. He, Zhifang, 2020. "Dynamic impacts of crude oil price on Chinese investor sentiment: Nonlinear causality and time-varying effect," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 131-153.
  9. Cairns, Robert D. & Calfucura, Enrique, 2012. "OPEC: Market failure or power failure?," Energy Policy, Elsevier, vol. 50(C), pages 570-580.
  10. Jobling, Andrew & Jamasb, Tooraj, 2017. "Price volatility and demand for oil: A comparative analysis of developed and developing countries," Economic Analysis and Policy, Elsevier, vol. 53(C), pages 96-113.
  11. Silvério, Renan & Szklo, Alexandre, 2012. "The effect of the financial sector on the evolution of oil prices: Analysis of the contribution of the futures market to the price discovery process in the WTI spot market," Energy Economics, Elsevier, vol. 34(6), pages 1799-1808.
  12. Dedi, Valentina & Mandilaras, Alex, 2022. "Trader positions and the price of oil in the futures market," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 448-460.
  13. Krzysztof Drachal, 2018. "Determining Time-Varying Drivers of Spot Oil Price in a Dynamic Model Averaging Framework," Energies, MDPI, vol. 11(5), pages 1-24, May.
  14. Breitenfellner, Andreas & Crespo Cuaresma, Jesús & Mayer, Philipp, 2015. "Energy inflation and house price corrections," Energy Economics, Elsevier, vol. 48(C), pages 109-116.
  15. Chiarucci, Riccardo & Loffredo, Maria I. & Ruzzenenti, Franco, 2017. "Evidences for a structural change in the oil market before a financial crisis: The flat horizon effect," Research in International Business and Finance, Elsevier, vol. 42(C), pages 912-921.
  16. Márcio Poletti Laurini & Roberto Baltieri Mauad & Fernando Antonio Lucena Aiube, 2016. "Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets," Working Papers Series 415, Central Bank of Brazil, Research Department.
  17. Julien, Chevallier & Sévi, Benoît, 2013. "A Fear Index to Predict Oil Futures Returns," Energy: Resources and Markets 156489, Fondazione Eni Enrico Mattei (FEEM).
  18. Śmiech, Sławomir & Papież, Monika & Dąbrowski, Marek A., 2015. "Does the euro area macroeconomy affect global commodity prices? Evidence from a SVAR approach," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 485-503.
  19. Diaz-Rainey, Ivan & Roberts, Helen & Lont, David H., 2017. "Crude inventory accounting and speculation in the physical oil market," Energy Economics, Elsevier, vol. 66(C), pages 508-522.
  20. Rigoberto Ariel Yépez-García & Luis San Vicente Portes & Luis Enrique García, 2013. "Planning for Higher Oil Prices : Power Sector Impact in Latin America and the Caribbean," World Bank Publications - Reports 17547, The World Bank Group.
  21. Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2014. "Time-Varying Spot and Futures Oil Price Dynamics," Scottish Journal of Political Economy, Scottish Economic Society, vol. 61(1), pages 78-97, February.
  22. Coleman, Les, 2012. "Explaining crude oil prices using fundamental measures," Energy Policy, Elsevier, vol. 40(C), pages 318-324.
  23. Cavalcanti, Marcelo & Szklo, Alexandre & Machado, Giovani, 2012. "Do ethanol prices in Brazil follow Brent price and international gasoline price parity?," Renewable Energy, Elsevier, vol. 43(C), pages 423-433.
  24. Jin, Xiaoye & Xiaowen Lin, Sharon & Tamvakis, Michael, 2012. "Volatility transmission and volatility impulse response functions in crude oil markets," Energy Economics, Elsevier, vol. 34(6), pages 2125-2134.
  25. Awan, Obaid A., 2019. "Price discovery or noise: The role of arbitrage and speculation in explaining crude oil price behaviour," Journal of Commodity Markets, Elsevier, vol. 16(C).
  26. Juan Ignacio Guzmán & Enrique Silva, 2018. "Copper price determination: fundamentals versus non-fundamentals," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 31(3), pages 283-300, October.
  27. Ames, Matthew & Bagnarosa, Guillaume & Matsui, Tomoko & Peters, Gareth W. & Shevchenko, Pavel V., 2020. "Which risk factors drive oil futures price curves?," Energy Economics, Elsevier, vol. 87(C).
  28. Ali, Sajid & Raza, Naveed & Vinh Vo, Xuan & Le, Van, 2022. "Modelling the joint dynamics of financial assets using MGARCH family models: Insights into hedging and diversification strategies," Resources Policy, Elsevier, vol. 78(C).
  29. Jeng-Bau Lin & Wei Tsai, 2019. "The Relations of Oil Price Change with Fear Gauges in Global Political and Economic Environment," Energies, MDPI, vol. 12(15), pages 1-17, August.
  30. Donia Aloui & Stéphane Goutte & Khaled Guesmi & Rafla Hchaichi, 2020. "COVID 19's impact on crude oil and natural gas S&P GS Indexes," Working Papers halshs-02613280, HAL.
  31. Cummins, Mark & Dowling, Michael & Kearney, Fearghal, 2016. "Oil market modelling: A comparative analysis of fundamental and latent factor approaches," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 211-218.
  32. Wang, Lijun & An, Haizhong & Liu, Xiaojia & Huang, Xuan, 2016. "Selecting dynamic moving average trading rules in the crude oil futures market using a genetic approach," Applied Energy, Elsevier, vol. 162(C), pages 1608-1618.
  33. Tokic, Damir, 2015. "The 2014 oil bust: Causes and consequences," Energy Policy, Elsevier, vol. 85(C), pages 162-169.
  34. Greene, David L. & Liu, Changzheng, 2015. "U.S. oil dependence 2014: Is energy independence in sight?," Energy Policy, Elsevier, vol. 85(C), pages 126-137.
  35. Ratti, Ronald A. & Vespignani, Joaquin L., 2015. "OPEC and non-OPEC oil production and the global economy," Energy Economics, Elsevier, vol. 50(C), pages 364-378.
  36. Zhang, Yue-Jun, 2013. "Speculative trading and WTI crude oil futures price movement: An empirical analysis," Applied Energy, Elsevier, vol. 107(C), pages 394-402.
  37. Hache, Emmanuel & Lantz, Frédéric, 2013. "Speculative trading and oil price dynamic: A study of the WTI market," Energy Economics, Elsevier, vol. 36(C), pages 334-340.
  38. Archanskaïa, Elizaveta & Creel, Jérôme & Hubert, Paul, 2012. "The nature of oil shocks and the global economy," Energy Policy, Elsevier, vol. 42(C), pages 509-520.
  39. repec:dau:papers:123456789/11714 is not listed on IDEAS
  40. Yin, Libo & Zhou, Yimin, 2016. "What drives long-term oil market volatility? Fundamentals versus speculation," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 10, pages 1-26.
  41. Yanhong Feng & Xiaolei Wang & Shuanglian Chen & Yanqiong Liu, 2022. "Impact of Oil Financialization on Oil Price Fluctuation: A Perspective of Heterogeneity," Energies, MDPI, vol. 15(12), pages 1-20, June.
  42. Larisa G. Chuvakhina & Irina Z. Yarygina & Olga E. Ustinova & Valentina N. Mironova & Zhanna V. Ivanovskaya, 2022. "The Impact of Covid-19 on Pricing in the Global Oil Market," International Journal of Energy Economics and Policy, Econjournals, vol. 12(5), pages 370-377, September.
  43. Nuhu Isah & Abdul Talib Bon, 2017. "Application of Markov Model in Crude Oil Price Forecasting," Traektoriâ Nauki = Path of Science, Altezoro, s.r.o. & Dialog, vol. 3(8(25)), pages 1007-1012, August.
  44. Martina, Esteban & Rodriguez, Eduardo & Escarela-Perez, Rafael & Alvarez-Ramirez, Jose, 2011. "Multiscale entropy analysis of crude oil price dynamics," Energy Economics, Elsevier, vol. 33(5), pages 936-947, September.
  45. Zhao, Lu-Tao & Xing, Yue-Yue & Zhao, Qiu-Rong & Chen, Xue-Hui, 2023. "Dynamic impacts of online investor sentiment on international crude oil prices," Resources Policy, Elsevier, vol. 82(C).
  46. Le, Thai-Ha & Le, Anh Tu & Le, Ha-Chi, 2021. "The historic oil price fluctuation during the Covid-19 pandemic: What are the causes?," Research in International Business and Finance, Elsevier, vol. 58(C).
  47. Li, Haiqi & Kim, Hyung-Gun & Park, Sung Y., 2015. "The role of financial speculation in the energy future markets: A new time-varying coefficient approach," Economic Modelling, Elsevier, vol. 51(C), pages 112-122.
  48. Sophie van Huellen, 2013. "Price Non-Convergence in Commodities: A Case Study of the Wheat Conundrum," Working Papers 185, Department of Economics, SOAS University of London, UK.
  49. Qadan, Mahmoud & Idilbi-Bayaa, Yasmeen, 2020. "Risk appetite and oil prices," Energy Economics, Elsevier, vol. 85(C).
  50. Bernard Ben Sita, 2019. "Crude oil and gasoline volatility risk into a Realized-EGARCH model," Review of Quantitative Finance and Accounting, Springer, vol. 53(3), pages 701-720, October.
  51. Zanxin Wang & Rui Wang & Yaqing Liu, 2024. "The macroeconomic effect of petroleum product price regulation in alleviating the crude oil price volatility," Economic Change and Restructuring, Springer, vol. 57(2), pages 1-22, April.
  52. Zhang, Dayong & Wang, Tiantian & Shi, Xunpeng & Liu, Jia, 2018. "Is hub-based pricing a better choice than oil indexation for natural gas? Evidence from a multiple bubble test," Energy Economics, Elsevier, vol. 76(C), pages 495-503.
  53. Li, Ziran & Sun, Jiajing & Wang, Shouyang, 2013. "An information diffusion-based model of oil futures price," Energy Economics, Elsevier, vol. 36(C), pages 518-525.
  54. Adams, Zeno & Collot, Solène & Kartsakli, Maria, 2020. "Have commodities become a financial asset? Evidence from ten years of Financialization," Energy Economics, Elsevier, vol. 89(C).
  55. Miroslava Zavadska & Lucía Morales & Joseph Coughlan, 2018. "The Lead–Lag Relationship between Oil Futures and Spot Prices—A Literature Review," IJFS, MDPI, vol. 6(4), pages 1-22, October.
  56. Kyrtsou, Catherine & Mikropoulou, Christina & Papana, Angeliki, 2016. "Does the S&P500 index lead the crude oil dynamics? A complexity-based approach," Energy Economics, Elsevier, vol. 56(C), pages 239-246.
  57. Liu, Li & Wang, Yudong & Wu, Chongfeng & Wu, Wenfeng, 2016. "Disentangling the determinants of real oil prices," Energy Economics, Elsevier, vol. 56(C), pages 363-373.
  58. Goldemberg, José & Schaeffer, Roberto & Szklo, Alexandre & Lucchesi, Rodrigo, 2014. "Oil and natural gas prospects in South America: Can the petroleum industry pave the way for renewables in Brazil?," Energy Policy, Elsevier, vol. 64(C), pages 58-70.
  59. Gong, Xiao-Li & Liu, Jian-Min & Xiong, Xiong & Zhang, Wei, 2021. "The dynamic effects of international oil price shocks on economic fluctuation," Resources Policy, Elsevier, vol. 74(C).
  60. Miao, Hong & Ramchander, Sanjay & Wang, Tianyang & Yang, Dongxiao, 2017. "Influential factors in crude oil price forecasting," Energy Economics, Elsevier, vol. 68(C), pages 77-88.
  61. Wei Yang & Ai Han & Yongmiao Hong & Shouyang Wang, 2016. "Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1917-1928, December.
  62. Fang, Tianhui & Zheng, Chunling & Wang, Donghua, 2023. "Forecasting the crude oil prices with an EMD-ISBM-FNN model," Energy, Elsevier, vol. 263(PA).
  63. Robert J. Brecha, 2013. "Ten Reasons to Take Peak Oil Seriously," Sustainability, MDPI, vol. 5(2), pages 1-31, February.
  64. Georges Prat & Remzi Uctum, 2021. "Modeling ex-ante risk premia in the oil market," Working Papers hal-03508699, HAL.
  65. Li, Shuping & Li, Jianfeng & Lu, Xinsheng & Sun, Yihong, 2022. "Exploring the dynamic nonlinear relationship between crude oil price and implied volatility indices: A new perspective from MMV-MFDFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
  66. Vatter, Marc H., 2017. "OPEC's kinked demand curve," Energy Economics, Elsevier, vol. 63(C), pages 272-287.
  67. Jena, Pratap Kumar, 2015. "Commodity Prices and Macroeconomic Variables in India: An Auto-Regressive Distributed Lag (ARDL) Approach," MPRA Paper 73892, University Library of Munich, Germany.
  68. Kolodziej, Marek & Kaufmann, Robert K. & Kulatilaka, Nalin & Bicchetti, David & Maystre, Nicolas, 2014. "Crude oil: Commodity or financial asset?," Energy Economics, Elsevier, vol. 46(C), pages 216-223.
  69. van der Meijden, Gerard & Ryszka, Karolina & Withagen, Cees, 2018. "Double limit pricing," Journal of Environmental Economics and Management, Elsevier, vol. 89(C), pages 153-167.
  70. Yanhong Feng & Dilong Xu & Pierre Failler & Tinghui Li, 2020. "Research on the Time-Varying Impact of Economic Policy Uncertainty on Crude Oil Price Fluctuation," Sustainability, MDPI, vol. 12(16), pages 1-24, August.
  71. Butler, Sunil & Kokoszka, Piotr & Miao, Hong & Shang, Han Lin, 2021. "Neural network prediction of crude oil futures using B-splines," Energy Economics, Elsevier, vol. 94(C).
  72. Drachal, Krzysztof, 2016. "Forecasting spot oil price in a dynamic model averaging framework — Have the determinants changed over time?," Energy Economics, Elsevier, vol. 60(C), pages 35-46.
  73. Cifarelli, Giulio, 2013. "Smooth transition regime shifts and oil price dynamics," Energy Economics, Elsevier, vol. 38(C), pages 160-167.
  74. Park, Jin Suk & Shi, Yukun, 2017. "Hedging and speculative pressures and the transition of the spot-futures relationship in energy and metal markets," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 176-191.
  75. Ding Du & Xiaobing Zhao, 2017. "Financial investor sentiment and the boom/bust in oil prices during 2003–2008," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 331-361, February.
  76. Liu, Tie-Ying & Lee, Chien-Chiang, 2018. "Will the energy price bubble burst?," Energy, Elsevier, vol. 150(C), pages 276-288.
  77. Papież, Monika & Śmiech, Sławomir, 2015. "Dynamic steam coal market integration: Evidence from rolling cointegration analysis," Energy Economics, Elsevier, vol. 51(C), pages 510-520.
  78. Matteo Manera, Marcella Nicolini, and Ilaria Vignati, 2013. "Financial Speculation in Energy and Agriculture Futures Markets: A Multivariate GARCH Approach," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
  79. Nourah Al†Yousef, 2018. "Fundamentals and Oil Price Behaviour: New Evidence from Co†integration Tests with Structural Breaks and Granger Causality Tests," Australian Economic Papers, Wiley Blackwell, vol. 57(1), pages 1-18, March.
  80. Piersanti, Giovanni & Piersanti, Mirko & Cicone, Antonio & Canofari, Paolo & Di Domizio, Marco, 2020. "An inquiry into the structure and dynamics of crude oil price using the fast iterative filtering algorithm," Energy Economics, Elsevier, vol. 92(C).
  81. Elder, John & Miao, Hong & Ramchander, Sanjay, 2014. "Price discovery in crude oil futures," Energy Economics, Elsevier, vol. 46(S1), pages 18-27.
  82. Qadan, Mahmoud & Nama, Hazar, 2018. "Investor sentiment and the price of oil," Energy Economics, Elsevier, vol. 69(C), pages 42-58.
  83. Berna Karali & Shiyu Ye & Octavio A Ramirez, 2019. "Event Study of the Crude Oil Futures Market: A Mixed Event Response Model," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 101(3), pages 960-985.
  84. Xiao, Jihong & Wen, Fenghua & He, Zhifang, 2023. "Impact of geopolitical risks on investor attention and speculation in the oil market: Evidence from nonlinear and time-varying analysis," Energy, Elsevier, vol. 267(C).
  85. Robert Socha & Piotr Wdowiński, 2018. "Tendencje zmian cen na światowym rynku ropy naftowej po 2000 roku," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 1, pages 103-135.
  86. Papież, Monika & Śmiech, Sławomir & Dąbrowski, Marek A., 2014. "The impact of the Euro area macroeconomy on energy and non-energy global commodity prices," MPRA Paper 56663, University Library of Munich, Germany.
  87. Lan Bai & Xiafei Li & Yu Wei & Guiwu Wei, 2022. "Does crude oil futures price really help to predict spot oil price? New evidence from density forecasting," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3694-3712, July.
  88. Zhang, Tingting & Tang, Zhenpeng & Wu, Junchuan & Du, Xiaoxu & Chen, Kaijie, 2021. "Multi-step-ahead crude oil price forecasting based on two-layer decomposition technique and extreme learning machine optimized by the particle swarm optimization algorithm," Energy, Elsevier, vol. 229(C).
  89. Franco Ruzzenenti, 2015. "Changes in the relationship between the financial and real sector and the present economic financial crisis: study of energy sector and market," Working papers wpaper105, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
  90. Robert Socha & Piotr Wdowiński, 2018. "Crude oil price and speculative activity: a cointegration analysis," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 10(3), pages 263-304, September.
  91. Wajdi Hamza Dawod Alredany, 2018. "A Regression Analysis of Determinants Affecting Crude Oil Price," International Journal of Energy Economics and Policy, Econjournals, vol. 8(4), pages 110-119.
  92. Kolodzeij, Marek & Kaufmann, Robert.K., 2014. "Oil demand shocks reconsidered: A cointegrated vector autoregression," Energy Economics, Elsevier, vol. 41(C), pages 33-40.
  93. Wirl, Franz, 2015. "Output adjusting cartels facing dynamic, convex demand under uncertainty: The case of OPEC," Economic Modelling, Elsevier, vol. 44(C), pages 307-316.
  94. Mohsin, Muhammad & Jamaani, Fouad, 2023. "Green finance and the socio-politico-economic factors’ impact on the future oil prices: Evidence from machine learning," Resources Policy, Elsevier, vol. 85(PA).
  95. repec:dau:papers:123456789/11663 is not listed on IDEAS
  96. Chen, Xin & Mu, Hailin & Li, Huanan & Gui, Shusen, 2014. "Using stockpile delegation to improve China׳s strategic oil policy: A multi-dimension stochastic dynamic programming approach," Energy Policy, Elsevier, vol. 69(C), pages 28-42.
  97. Kemp-Benedict, Eric, 2014. "The inverted pyramid: A neo-Ricardian view on the economy–environment relationship," Ecological Economics, Elsevier, vol. 107(C), pages 230-241.
  98. Yan, Juan & Haroon, Muhammad, 2023. "Financing efficiency in natural resource markets mobilizing private and public capital for a green recovery," Resources Policy, Elsevier, vol. 85(PB).
  99. Wang, Qizhen & Zhu, Yingming & Wang, Yudong, 2017. "The effects of oil shocks on export duration of China," Energy, Elsevier, vol. 125(C), pages 55-61.
  100. Ma, Xiuying & Yang, Zhihua & Xu, Xiangyun & Wang, Chengqi, 2018. "The impact of Chinese financial markets on commodity currency exchange rates," Global Finance Journal, Elsevier, vol. 37(C), pages 186-198.
  101. 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.
  102. Bürgi Bonanomi, Elisabeth & Elsig, Manfred & Espa, Ilaria, 2015. "The Commodity Sector and Related Governance Challenges from a Sustainable Development Perspective: The Example of Switzerland Current Research Gaps," Papers 865, World Trade Institute.
  103. Nizar, Muhammad Afdi, 2012. "Dampak Fluktuasi Harga Minyak Dunia Terhadap Perekonomian Indonesia [The Impact of World Oil Prices Fluctuation on Indonesia’s Economy]," MPRA Paper 65601, University Library of Munich, Germany.
  104. Zhenhua Liu & Zhihua Ding & Tao Lv & Jy S. Wu & Wei Qiang, 2019. "Financial factors affecting oil price change and oil-stock interactions: a review and future perspectives," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 95(1), pages 207-225, January.
  105. Seyed Abdollah Razavi & Mostafa Salimifar & Seyed Mahdi Mostafavi & Mortaza Baky Haskuee, 2016. "Investigating the Behavior of Iran's Light Crude Oil Price in Short Term," Modern Applied Science, Canadian Center of Science and Education, vol. 10(3), pages 1-45, March.
  106. Li, Hong & Xiaowen Lin, Sharon, 2011. "Do emerging markets matter in the world oil pricing system? Evidence of imported crude by China and India," Energy Policy, Elsevier, vol. 39(8), pages 4624-4630, August.
  107. Filippo Lechthaler & Lisa Leinert, 2019. "Moody oil: What is driving the crude oil price?," Empirical Economics, Springer, vol. 57(5), pages 1547-1578, November.
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