The Volatility of Oil Prices: What Factors?

Hammami Algia and Bouri Abdelfatteh
Additional contact information
Hammami Algia: Faculty of Economic Sciences and Management of Sfax, Tunisia
Bouri Abdelfatteh: Faculty of Economic Sciences and Management of Sfax, Tunisia

Bulletin of Energy Economics (BEE), 2016, vol. 4, issue 1, 98-110

Abstract: This paper highlights a new articulation between the physical fundamentals of the oil market, the traditional financial factors and the emergence of recent financial fundamentals to explain WTI crude oil price volatility over the period 1995M1 and 2013M12. A first vector error correction model (VECM) identifies a co-integration relationship between WTI spot price, the import and inventory of crude oil in the United States, the dollar index and the 5-year US interest rate. A second model with the introduction of the future prices at two months and kcfsi index. The result of our work shows a low correlation of import and inventory of crude oil in the United States with respect to short-term oil prices. The introduction of speculation and KCFSI index affects the oil price dynamics in the long and short -term. The two traditional financial factors (dollar index and the 5-year US interest rate) are found to be weakly exogenous in the long run.

Keywords: Oil price volatility; Macro-Finance interface; VECM (search for similar items in EconPapers)
JEL-codes: Q4 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://tesdo.org/shared/upload/pdf/papers/BEE,%204_1_,%2098-110%20.pdf (application/pdf)
http://tesdo.org/journal_detail.php?paper_id=196&expand_year=2016 (text/html)

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:ijr:beejor:v:4:y:2016:i:1:p:98-110

Access Statistics for this article

Bulletin of Energy Economics (BEE) is currently edited by Dr. Muhammad Shahbaz (PhD Applied Economics)

More articles in Bulletin of Energy Economics (BEE) from The Economics and Social Development Organization (TESDO) Contact information at EDIRC.
Bibliographic data for series maintained by Dr. Muhammad Shahbaz (PhD Applied Economics) ( this e-mail address is bad, please contact ).