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dc.contributor.authorFiguerola-Ferretti, Isabel
dc.contributor.authorMcCrorie, J. Roderick
dc.contributor.authorParaskevopoulos, Ioannis
dc.date.accessioned2020-11-18T00:38:24Z
dc.date.available2020-11-18T00:38:24Z
dc.date.issued2020-03
dc.identifier.citationFiguerola-Ferretti , I , McCrorie , J R & Paraskevopoulos , I 2020 , ' Mild explosivity in recent crude oil prices ' , Energy Economics , vol. 87 , 104387 . https://doi.org/10.1016/j.eneco.2019.05.002en
dc.identifier.issn0140-9883
dc.identifier.otherPURE: 259158144
dc.identifier.otherPURE UUID: b6085295-bead-4ed7-8196-072862a0d05a
dc.identifier.otherRIS: urn:D86AE697FB250A74BBA47F30699AB593
dc.identifier.otherORCID: /0000-0002-6838-7091/work/58531582
dc.identifier.otherScopus: 85068735667
dc.identifier.otherWOS: 000536091600002
dc.identifier.urihttps://hdl.handle.net/10023/20999
dc.descriptionFiguerola-Ferretti thanks the Spanish Ministry of Education and Science for support under grants MICINN ECO2010-19357, ECO2012-36559 and ECO2013-46395, and McCrorie, The Carnegie Trust for the Universities of Scotland under grant no. 31935.en
dc.description.abstractThis paper provides an analysis of oil prices during and in the aftermath of the Global Financial Crisis, concentrating on the 2007-08 price spike and the 2014-16 price decline. The mildly explosive/multiple bubbles testing strategy by Phillips, Shi and Yu (2015, International Economic Review 56(4), 1043-1133) is used to test for price departures from an underlying stochastic trend and to assess whether any such departures can be explained by fundamentals or other proxy variables. The test dates two significant time periods in both Brent and WTI nominal and real front-month futures prices: a mildly explosive episode during the 2007-08 spike, prior to the peak of the Global Financial Crisis; and a significantly shorter, negative such episode during the 2014-16 price decline, whose commencement is dated around a key OPEC meeting in November 2014. Evidence using other commodity prices points to explanatory factors beyond commodity markets. A global economic activity proxy is found to be decisive in the episode in mid-2008; excess speculation is not. U.S. shale oil production, though contributing to the post-June 2014 price decline, is not seen to have been decisive. Against some recent work tying the CBOE Volatility Index (VIX) to oil futures prices, we find no evidence that the VIX decisively affected oil price levels during the sample period. The results are compared and contrasted with those obtained by Baumeister and Kilian (2016, Journal of the Association of Environmental and Resource Economists 3, 131-158) via a forecasting approach based on a structural vector autoregressive model without financial variables. Taken altogether, the results herein provide new evidence based on formal statistical testing that helps resolve a number of recent controversies in the oil price literature.
dc.format.extent25
dc.language.isoeng
dc.relation.ispartofEnergy Economicsen
dc.rightsCopyright © 2019 Elsevier B.V. All rights reserved. his work has been made available online in accordance with the publisher’s policies. This is the author created, accepted version manuscript following peer review and may differ slightly from the final published version. The final published version of this work is available at https://doi.org/10.1016/j.eneco.2019.05.002en
dc.subjectCrude oilen
dc.subjectOil pricesen
dc.subjectGlobal Financial Crisisen
dc.subjectFundamentalsen
dc.subjectCBOE Volatility Index (VIX)en
dc.subjectMildly explosive processen
dc.subjectGeneralized sup ADF testen
dc.subjectHB Economic Theoryen
dc.subjectHD Industries. Land use. Laboren
dc.subject3rd-NDASen
dc.subjectBDCen
dc.subjectR2Cen
dc.subjectSDG 15 - Life on Landen
dc.subject.lccHBen
dc.subject.lccHDen
dc.titleMild explosivity in recent crude oil pricesen
dc.typeJournal articleen
dc.contributor.sponsorCarnegie Trusten
dc.description.versionPostprinten
dc.contributor.institutionUniversity of St Andrews. School of Economics and Financeen
dc.identifier.doihttps://doi.org/10.1016/j.eneco.2019.05.002
dc.description.statusPeer revieweden
dc.date.embargoedUntil2020-11-18
dc.identifier.grantnumber31935en


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