Sources of volatility during four oil price crashes

John Baffes () and Varun Kshirsagar

No 7425, Policy Research Working Paper Series from The World Bank

Abstract: Previous sharp oil price declines have been accompanied by elevated ex post volatility. In contrast, volatility was much less elevated during the oil price crash in 2014/15. This paper provides evidence that oil prices declined in a relatively measured manner during 2014/15, with dispersion of price changes that was considerably smaller than comparable oil price declines. This finding is robust to nonparametric and GARCH measures of volatility. Further, the U.S. dollar appreciation exerted a strong influence on volatility during the recent crash; in contrast, the impact of shocks on equity markets was muted.

Keywords: Debt Markets; Emerging Markets; Economic Conditions and Volatility; Markets and Market Access; Access to Markets (search for similar items in EconPapers)
Date: 2015-09-28
New Economics Papers: this item is included in nep-ene
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Citations: View citations in EconPapers (2)

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Journal Article: Sources of volatility during four oil price crashes (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:wbk:wbrwps:7425

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