Disentangling the determinants of real oil prices

Li Liu, Yudong Wang, Chongfeng Wu and Wenfeng Wu

Energy Economics, 2016, vol. 56, issue C, 363-373

Abstract: In this study, we quantify the impacts of economic fundamentals and derivative market speculation on the real price of crude oil. Using a structural VAR with sign restriction, we determine that oil demand from the US and China, particularly the latter one, plays a crucial role in oil price changes after the year 2000. The contribution of speculation does not exceed 10% of oil price variations in our sample period.

Keywords: Oil price; Fundamentals; Speculation; Structural VAR; Sign restriction (search for similar items in EconPapers)
JEL-codes: E31 E32 Q41 Q43 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (44)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:56:y:2016:i:c:p:363-373

DOI: 10.1016/j.eneco.2016.04.003

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