Long run dynamic volatilities between OPEC and non-OPEC crude oil prices

Ghassan, Hassan B.; Alhajhoj, Hassan R.

doi:10.1016/j.apenergy.2016.02.057

Cited by 25 publications

(15 citation statements)

References 54 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The commodity traders are intensely concerned about analyzing the oil price volatility. Earlier studies (e.g., Fong & Sec, 2002;Martens & Zein, 2004;Agnolucci, 2009;Rafiq et al, 2009;Wei et al, 2010;Haugom et al, 2014 andGhassan &AlHajhoj, 2016) on oil price volatility using GARCH type framework are having one period ahead forecasts horizon. Hence, the motivation of the study is to forecast oil prices and compare the impact of WTI/USO futures' price returns on the expected volatility (OVX).…”

Section: Literature Analysismentioning

confidence: 99%

The Relation between Implied Volatility Index and Crude Oil Prices

Shaikh

2019

View full text Add to dashboard Cite

Crude oil is a global commodity traded across the world market. The prices of the commodity over an extended period for crude oil have been analyzed using daily prices of crude oil futures and the implied volatility index (OVX). This paper aims to find the predictability of various parameters on the basis of time using neural network and quantile regression methods. Several estimates have been shown based on Barone, Adesi, and Whaley’s (BAW) model of neural network. Estimation parameters include opening, closing, highest and lowest price of the commodity and volumes traded for a given commodity on each trading day. The neural network estimates explain that future prices of the WTI/USO can be predicted with minimal error, and similar can be used to predict future volatility. The quantile regression results suggest that crude oil prices and OVX are strongly associated. The asymmetric association between the WTI/USO and OVX explains that the volatility feedback effect holds good for the OVX market. Bai and Perron least squares estimate evidence of the presence of a break in the time series. The main results uncover several interesting facts that implied volatility tends to remain calm during the global financial crises and higher throughout the post crisis period. The empirical outcome on the OVX market provides some practical implications for the trader and investor, in which oil futures can serve better to hedge the crude price volatility. The crude oil producer can short hedge enough through volatility futures and options to maintain the future quantity of crude to be produced.

show abstract

Section: Literature Analysismentioning

confidence: 99%

The Relation between Implied Volatility Index and Crude Oil Prices

Shaikh

2019

View full text Add to dashboard Cite

show abstract

“…Indeed, the increase of the demand side has changed the pattern of the crude oil market. In addition, it is a common belief that the change of oil supply and demand also behaves as the source of oil price volatility, which remains that the dynamic correlation depends on different market characters [42]. Therefore, we use wavelet coherence to examine the dynamic correlation between supply or demand and oil risks and further explore the role of oil producer or countries' demand in oil return risks.…”

Section: Data and Wavelet Approachmentioning

confidence: 99%

The Heterogeneous Interconnections between Supply or Demand Side and Oil Risks

Liao

et al. 2019

Energies

View full text Add to dashboard Cite

Due to the crucial implication of oil risks for economic growth and policy making, the aim of this paper is to explore the heterogeneous interconnections of supply or demand in oil risks over time horizons and different countries. Specifically, we first examine the correlation of supply or demand in oil return risks and show the relationships in different countries based on wavelet coherence. Furthermore, we explore the time-varying interconnections between supply- or demand-side and oil return risks, as well as oil producers and demand countries. The empirical results show that the correlation between supply and oil return risks is relatively stable, whereas the linkage between demand and oil return risks shows greater volatility due to the impact of specific events. Further study indicates that there are heterogeneous interconnections between supply- or demand-side and oil return risks over sample periods. Specifically, the sign of response could be divided into four phases, i.e., 1997–2002, 2002–2010, 2010–2013 and 2014–2018. In addition, the interconnections of the demand side could be divided into three phases due to the sign of it. What is more, the dynamic interconnections of oil producers’ or countries’ demands behave quite heterogeneously in different countries. Thus policymakers should focus on the coordination level and space capacity in the global crude oil market.

show abstract

“…Economic analysts have contested several theories to determine the actual influence of OPEC policies on the macro-economic outlook of the global area; while some theories discussed the efficacy of its independent initiatives and actions, others were more deeply interested to unveil its role as a 'classical cartel' (Ghassan and AlHajhoj, 2016). The inside truth however, still shows that OPEC's member states are not responsible for world oil shortages despite their control of oil production and supply (Nystad, 1988;Brown, Huntington, 2013;Van de Graaf, Verbruggen, 2015).…”

Section: Macroeconomic Impact Of Opec Policiesmentioning

confidence: 99%

“…While research does not depict clear-cut solutions for reduction in oil imports, there are still chances whereby the market control of OPEC can be somewhat minimized so as to allow US in aiming for sufficiency or at least, in reducing the impacts of price shocks through a minimal petrol use. Researches by Ghassan and AlHajhoj (2016) and Fuinhas, Marques and Quaresma (2015) indicated that the US economic decision-makers and Bureau of Economic Analysis are still unsure whether or not new fuel economy standards would be any useful in decreasing the impacts and allowing for a control over greenhouse gas emissions. Some of the possible solutions to this dependence come in the form of increasing US real-world fuel economy to about 45 mpg which could further enhance the situation.…”

Section: Us Dependence On Opec and Its Economic Impactsmentioning

confidence: 99%

Impact of OPEC Policies over the Global Economy: Case of USA

2016

European Journal of Economic Studies

View full text Add to dashboard Cite

This article is focused on how OPEC policies have historically shaped global economic outlook; with a case example of United States of America (USA). The main aim of this study is to reflect the role of USA in strengthening of global economy using OPEC's policies as the frontline mechanism and demonstrate an understanding of the key challenges confronted by world economies (especially emerging countries) by OPEC policies influenced by the super-power USA. This also mentions how USA has made efforts in reducing its overdependence on OPEC for oil, and how it aims to preserve and enhance national resources so as to gain oil independence. The study is directed using mixed methodologies to examine how the consequences of OPEC policies are helping shape world economies, especially of the USA since it does not have very good relations with the OPEC member states in particular.

show abstract

Long run dynamic volatilities between OPEC and non-OPEC crude oil prices

Cited by 25 publications

References 54 publications

The Relation between Implied Volatility Index and Crude Oil Prices

The Relation between Implied Volatility Index and Crude Oil Prices

The Heterogeneous Interconnections between Supply or Demand Side and Oil Risks

Impact of OPEC Policies over the Global Economy: Case of USA

Contact Info

Product

Resources

About