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Oil Price Volatility and the Role of Speculation.

Author: Samya Beidas-Strom; Andrea Pescatori
Publisher: Washington : International Monetary Fund, 2014.
Series: IMF Working Papers.
Edition/Format:   eBook : Document : EnglishView all editions and formats
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Beidas-Strom, Samya.
Oil Price Volatility and the Role of Speculation.
Washington : International Monetary Fund, ©2014
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Samya Beidas-Strom; Andrea Pescatori
ISBN: 9781498303842 1498303846
OCLC Number: 904407748
Description: 1 online resource (61 pages).
Contents: Cover Page; Title Page; Copyright Page; Content Page; Figures; Tables; 1. Evolution of the Real Oil Price and Political Events; II. Literature Review; III. A Storage Model of Speculation; IV. An Estimated VAR Model of the Global Oil Market; A. Data; B. Model Specification; C. Estimation Methodology and Identification; 2. Admissible Estimated Models-Impulse Response Functions; D. When Does Speculative Demand Matter?; 3. Narrowing the Admissible Estimated Models-IRFs; 1. Real Oil Price Variance Decomposition; 4. Historical Decomposition of the Drivers of the Real Oil Price. 5. Absolute Drivers of the Real Oil PriceV. Conclusion; References; Appendix; I. Introduction; Footnotes.
Series Title: IMF Working Papers.

Abstract:

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.

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