EconPapers    
Economics at your fingertips  
 

Evidences for a structural change in the oil market before a financial crisis: The flat horizon effect

Riccardo Chiarucci, Maria I. Loffredo and Franco Ruzzenenti

Research in International Business and Finance, 2017, vol. 42, issue C, 912-921

Abstract: There are growing evidences that the commodity bubble in the 2000s had a major impact in the 2007–08 financial crisis. A salient feature of this commodity bubble was the dramatic increasing in the correlation of indexed commodities with oil price following the financialisation of the oil market. In this paper we suggest that, besides the growing demand from emerging economies and the following inflow of money from speculative traders, the introduction of the electronic platform could have had an important and underestimated effect on the oil market. Our analysis of the spot and futures oil prices at the NYMEX based on the Generalized Hurst Exponent confirms that the period 2004–2007 is pivotal in the oil market and corroborates the hypothesis that a structural change occurred in both markets. The evident decrease in multifractality suggests a flattening of the time horizon in financial oil markets and the coexistence of long-termism and short-termism. This structural change could partially explain the observed increase of correlations between commodities and oil price.

Keywords: Financialisation; Spot and future oil prices; Commodity bubble; Generalized Hurst exponent; Multifractality (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531917301253
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:riibaf:v:42:y:2017:i:c:p:912-921

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Series data maintained by Dana Niculescu ().

 
Page updated 2017-11-11
Handle: RePEc:eee:riibaf:v:42:y:2017:i:c:p:912-921