European Parliament Library

Peaks, Spikes, and Barrels :, Modeling Sharp Movements in Oil Prices, Malika Pant, Martin Mühleisen, Alun Thomas

Abstract
Global oil markets were roiled by sharp price swings in 2008, and economists are still divided over the reasons for the unusual volatility. Those emphasizing fundamentals point to inelastic supply and demand curves, others view the phenomenon mostly as a result of financial investors flocking into commodity markets. This paper attempts to infer the strength of these competing hypotheses, using a simultaneous equation model that enables us to undertake a separate analysis of supply and demand factors. The model broadly captures both the surge and subsequent fall in prices, with a particularly strong impact of demand factors. The model captures a strong effect of a measure for global liquidity but does not find support for a speculative motive
Table Of Contents
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; 1. Commodity Investments; II. Modeling Oil Prices; 2. Oil Prices: Role of Fundamentals and Speculation; 3. Oil Prices: Forecasts; 4. Oil Prices: Demand and Supply Determinants; III. A Multivariate Model; 1. Stationarity Tests; 2. Regression Estimates: Reduced Form; IV. Estimating a Supply-Demand Model; 3. Regression Estimates: Demand and Supply Determinants; V. Conclusion; References; Footnotes
Language
eng
Literary Form
non fiction
Note
"August 2010."
Physical Description
1 online resource (28 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781455202201

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