The Role of Market Speculation in Rising Oil and Gas Prices
Author | : |
Publisher | : |
Total Pages | : 56 |
Release | : 2006 |
Genre | : Natural gas |
ISBN | : |
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Author | : |
Publisher | : |
Total Pages | : 56 |
Release | : 2006 |
Genre | : Natural gas |
ISBN | : |
Author | : |
Publisher | : |
Total Pages | : |
Release | : 2006* |
Genre | : |
ISBN | : |
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 | : Samuel P. Irvin |
Publisher | : |
Total Pages | : 78 |
Release | : 1868 |
Genre | : Speculation |
ISBN | : |
Author | : United States. Congress. Senate. Committee on Homeland Security and Governmental Affairs. Permanent Subcommittee on Investigations |
Publisher | : |
Total Pages | : 264 |
Release | : 2008 |
Genre | : Electronic government information |
ISBN | : |
Author | : Michael Hall Yan |
Publisher | : |
Total Pages | : 104 |
Release | : 2012 |
Genre | : |
ISBN | : |
This paper is intended to better understand the effects of speculation on crude oil prices. While speculation has many benefits such as increasing market liquidity and bearing market risks that other wish to offset, speculation can also create unwanted market volatility and economic bubbles. During the past decade, crude oil prices have been extremely volatile causing increased controversy between investors and regulators regarding the role that oil speculation has played in the price of crude oil. This report examines the relationship between crude oil spot and futures prices to determine the role arbitragers, speculators, and hedgers have had in crude oil pricing.
Author | : Lars Matthiessen |
Publisher | : Springer |
Total Pages | : 217 |
Release | : 1982-06-18 |
Genre | : Business & Economics |
ISBN | : 1349063614 |
Author | : United States. Congress. Senate. Committee on Energy and Natural Resources |
Publisher | : |
Total Pages | : 104 |
Release | : 2008 |
Genre | : Futures market |
ISBN | : |
Author | : Luciana Juvenal |
Publisher | : |
Total Pages | : 34 |
Release | : 2014 |
Genre | : Petroleum products |
ISBN | : |
The run-up in oil prices since 2004 coincided with growing investment in commodity markets and increased price comovement among different commodities. We assess whether speculation in the oil market played a role in driving this salient empirical pattern. We identify oil shocks from a large dataset using a dynamic factor model (DFM). This method is motivated by the fact that a small scale VAR is not infomationally sufficient to identify the shocks. The main results are as follows: (i) While global demand shocks account for the largest share of oil price fluctuations, speculative shocks are the second most important driver. (ii) The increase in oil prices over the last decade is mainly driven by the strength of global demand. However, speculation played a significant role in the oil price increase between 2004 and 2008, and its subsequent collapse. (iii) The comovement between oil prices and the prices of other commodities is mainly explained by global demand shocks. Our results support the view that the recent oil price increase is mainly driven by the strength of global demand but that the financialization process of commodity markets also played a role.
Author | : Craig Pirrong |
Publisher | : Cambridge University Press |
Total Pages | : 238 |
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.