Oil Price Volatility and the Role of Speculation is popular PDF and ePub book, written by Samya Beidas-Strom in 2014-12-12, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Oil Price Volatility and the Role of Speculation can be Read Online from any device for your convenience.
Oil Price Volatility and the Role of Speculation Book PDF Summary
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.
Detail Book of Oil Price Volatility and the Role of Speculation PDF
- Author : Samya Beidas-Strom
- Release : 12 December 2014
- Publisher : International Monetary Fund
- ISBN : 9781498333481
- Genre : Business & Economics
- Total Page : 34 pages
- Language : English
- PDF File Size : 17,5 Mb
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