Oil price dynamics, macro-finance interactions and the role of financial speculation

Claudio Morana

Journal of Banking & Finance, 2013, vol. 37, issue 1, 206-226

Abstract: What is the role of financial speculation in determining the real oil price? We find that while macroeconomic shocks have been the main real oil price upward driver since mid-1980s, financial shocks have sizably contributed since early 2000s as well, and at a much larger extent since mid-2000s. Even though financial shocks contribute 44% out of the 65% real oil price increase over the period 2004–2010, the third oil price shock is a macro-finance episode: macroeconomic shocks actually largely account for the 2007–2008 oil price swing. While we then find support to the demand side view of real oil price determination, we however also find a much larger role for financial shocks than previously noted in the literature.

Keywords: Oil price; Financial speculation; Macro-finance interface; International business cycle; Factor vector autoregressive models (search for similar items in EconPapers)
JEL-codes: C22 E32 G12 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (89)

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Related works:
Working Paper: Oil price dynamics, macro-finance interactions and the role of financial speculation (2013)
Working Paper: Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation (2012)
Working Paper: Oil price dynamics, macro-finance interactions and the role of financial speculation (2012)
Working Paper: Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:37:y:2013:i:1:p:206-226

DOI: 10.1016/j.jbankfin.2012.08.027

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