What has driven oil prices since 2000? A structural change perspective

Ying Fan and Jin-Hua Xu

Energy Economics, 2011, vol. 33, issue 6, 1082-1094

Abstract: This paper characterizes weekly international oil price fundamentals since 2000 by analyzing the transformation of the market mechanism based on structural change perspective. Using endogenously-determined break tests that allow for changes in both level and trend, we divide the price fluctuations in the international oil market after 2000 into three stages: “Relatively calm market” period (January 07, 2000, to March 12, 2004); the “Bubble accumulation” period (March 19, 2004, to June 06, 2008,); and the “Global economic crisis” period (June 13, 2008, to September 11, 2009). The results show the existence of structural breaks refutes the utility of investigation of the full sample period as a whole. And in different structural periods the main drivers of oil price changes and their way of influence and degree are significantly distinct. Then we demonstrate the evolving process of market mechanism since 2000. Through establishing comparative models, we also quantitatively measure the roles of speculation and episodic events in oil price fluctuations.

Keywords: Oil market trading; Oil price fundamentals; Drivers; Structural breaks (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (106)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988311001228
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:33:y:2011:i:6:p:1082-1094

DOI: 10.1016/j.eneco.2011.05.017

Access Statistics for this article

Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().