Factors Affecting the Crude Oil Prices Volatility: A Case Study of the USA, China, Japan, Germany and India

Alia Ajmal, Chaudhry Abdullah Imran Sahi, Wing-Keung -Wong, Ramzan Ali () and Abid Rasheed ()
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Alia Ajmal: Department of Finance, Lahore School of Accountancy and Finance, University of Lahore, Pakistan
Chaudhry Abdullah Imran Sahi: Department of Finance, London South Bank University, London, UK3University of Central Punjab, Business School, Lahore, Pakistan
Wing-Keung -Wong: Department of Finance, Fintech & Blockchain Research Centre and Big Data Research Centre, Asia University, Taiwan5Department of Medical Research, China Medical University Hospital, Taiwan6Department of Economics and Finance, The Hang Seng University of Hong Kong, Hang Shin Link, Siu Lek Yuen, Hong Kong
Ramzan Ali: Superior University, School of Commerce & Finance, Lahore, Pakistan
Abid Rasheed: University of Central Punjab, Business School, Lahore, Pakistan

Annals of Financial Economics (AFE), 2024, vol. 19, issue 01, 1-26

Abstract: This paper investigates the determinants of crude oil in the world’s top five economies, including the USA, China, Germany, Japan and India. To examine the impact of the exchange rate, oil imports, oil demand by the commercial sector, oil demand by the transport sector, oil demand by the power sector, industrial production and oil inventory on crude oil prices of the top five economies have been studied from 1990 to 2020. We applied the Autoregressive Distributed Lag (ARDL) model for the analysis of the research. Panel results showed a significant impact of the exchange rate in the long and short run on crude oil prices. On the other hand, in case of Germany’s Industrial production, exchange rate, oil imports, and demand for oil by the power sectors have a significant effect on the prices of crude oil. In the case of India, industrial production, exchange rate, oil consumption, investment in oil, import of oil and demand for oil by the transport sectors have a significant effect on the prices of crude oil. In the case of the USA, crude oil inventories have a significant impact on crude oil prices in the long run. In the case of Japan’s exchange rate, oil consumption has a substantial effect on crude oil prices in both the long run and short run. We found that the exchange rate is the most significant factor which influences crude oil prices in all five countries.

Keywords: Brent crude oil prices; industrial production; exchange rate; oil consumption; oil investor; oil imports; oil demand (search for similar items in EconPapers)
JEL-codes: G01 G17 Q40 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1142/S2010495223500094

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