Oil price dynamics and speculation

Cifarelli, Giulio; Paladino, Giovanna

doi:10.1016/j.eneco.2009.08.014

Cited by 230 publications

(33 citation statements)

References 15 publications

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“…For example, Yousefi and Wirianto researched the fluctuation of cause and effect relations between OPEC tariffs and USD exchange rates using the Generalized Methods of Moments of Khansen in 2004 and proved that there was a negative dependency between them. Cifarelli and Paladino researched the mutual relationships of the USA oil price dynamics and the movement of exchange rates using a CCC GARCH-M multi-variant model and revealed their mutual impact [76].…”

Section: Oil Price and Exchange Of Currencymentioning

confidence: 99%

Oil Factor in Economic Development

Humbatova

Hajiyev

2019

Energies

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The research examines the role of oil in the world economy and the evaluation of the oil factor in the economy of Azerbaijan. The error correction model (ECM) has been used in terms of reliability of the obtained results, and assessment has been done by the FMOLS, DOLS and CCR co-integration methods. Engel-Granger and Phillips-Ouliaris co-integration tests have been used for checking the co-integration relations among variables. Times series have been checked whether they are unit root (Augmented Dickey-Fuller (ADF), Phillips-Perron (PP) and Kwiatkowski-Phillips-Schmidt-Shin (KPSS) as a methodology of the research. The results of the research reveal that daily oil production and consumption have less effect on the formation of the world oil prices. On the other hand, the impact of the world GDP and world industry production volume is a bit more. Generally, the influence of these factors on oil market has been reduced gradually. However, the reverse process is observed during the analysis of the influence of oil production and oil price on the main indicators of Azerbaijan and Kazakhstan. Therefore, Azerbaijan and Kazakhstan are an oil-exporting countries which is why their macroeconomic indicators, especially currency, GDP and DNP, heavily depends on the oil factor. The research has been limited but highlights the obtained results to some problems and this must be considered as a new source for future research. Thus, the similar studies have been considered to be done thoroughly on several alternative econometric models, but a lack of statistical information on a yearly basis and strong currency intervention constitute some barriers to transiting to a floating currency. The practical importance of the research is to prove that the dependency of the oil prices on the world GDP and world industry production, daily oil production and world oil consumption have decreased gradually. In the second part of the research, the dependency of the Azerbaijan and Kazakhstan economies on oil was proved. This might be a signal to transfer oil resources into human capital.

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Section: Oil Price and Exchange Of Currencymentioning

confidence: 99%

Oil Factor in Economic Development

Humbatova

Hajiyev

2019

Energies

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“…Baumeister and Kilian () believe that factors such as oil‐exporting countries' political events, the uncertainty of global economic cycle, and changes in expectations can cause oil price fluctuations. In addition, investor behaviour, such as investor attention (Li, Ma, Wang, & Zhang, ; Yao, Zhang, & Ma, ), investor sentiment or stock market risk aversion (Zhang, Chevallier, & Guesmi, ), and speculative trading activity (e.g., Cifarelli & Paladino, ; Juvenal & Petrella, ; Wen, He, Dai, & Yang, ; Zhang, ; Zhang & Yao, ), plays an important role in the changes in oil prices. To further complicate matters, the main factors that drive oil price as well as the probability these factors occur might also change over time.…”

Section: Introductionmentioning

confidence: 99%

Crude oil price shocks, monetary policy, and China's economy

et al. 2018

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This paper develops a time‐varying parameter vector autoregressive model to examine the dynamic effects of crude oil prices and monetary policy on China's economy during January 1996 to June 2017. The empirical results indicate that (a) in general, international crude oil price shocks have positive effect on China's economic growth and inflation in the short run, but the long‐run effect appears diverse; (b) China's monetary policy shocks have positive effect on the economic growth and inflation overall; specifically, an increase in monetary supply can partly offset crude oil prices' negative effect on China's economic growth; (c) China's monetary policy has positive effect on crude oil prices and plays an important role in the relationship between crude oil price shocks and economy; and (d) during the recent global financial crisis, crude oil price shocks produce greater negative effect on China's economic growth, whereas the long‐run effect of monetary policy on China's economic growth proves weaker, compared with other periods.

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“…They applied VAR methodology to the China's real exchange rate. Cifarelli and Paladino (2010) utilized multivariate generalized autoregressive conditional heteroskedasticity model on the oil and exchange rates return and found that for the most of the time the signs of correlation were negative. With similar conclusion came Yousefi and Wirjanto (2004).…”

Section: Literature Reviewmentioning

confidence: 99%