Impact of the global financial crisis on the crude oil market

Joo, Kyohun; Suh, Jong Hwan; Lee, Daeyong; Ahn, Kwangwon

doi:10.1016/j.esr.2020.100516

Cited by 54 publications

(23 citation statements)

References 79 publications

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“…The financial crisis shocks in 2008 and 2012 have confirmed that they will trigger a sharp drop in oil price. Similarly, Joo et al [80] pointed out that the 2008 financial crisis had a negative impact on the crude oil market. Regional political risks will affect the oil price fluctuation by changing the global crude oil supply relationship, and it is also an important external environment variable [81], but crude oil financial products will avoid the impact of political risks on oil price fluctuation to a certain extent.…”

Section: Discussionmentioning

confidence: 96%

Dynamic Characteristics of Crude Oil Price Fluctuation—From the Perspective of Crude Oil Price Influence Mechanism

Peng

Drakeford

2020

Energies

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The uncertainty in the evolution of crude oil price fluctuation has a significant impact on economic stability. Based on the decomposition of crude oil price fluctuation by the state-space model, this paper studies the fluctuation trend of crude oil prices and its causes. The nonlinearity autoregressive distribute lag approach (NARDL) model is used to capture the influence mechanism characteristics of crude oil prices at different positions and different fluctuation trends. An event study model with dummy variables is constructed to compare the effects of different types of events on crude oil price fluctuations. The empirical results indicate that the fluctuation of crude oil prices tends to strengthen on the whole, and there is a remarkable correlation between this trend and the influencing mechanism of crude oil price, namely, the fluctuation source structure. The influence mechanism of crude oil price fluctuation is asymmetric when the crude oil price is at different positions and under different trends. There is a strong correlation between event shocks and event types in the evolution of crude oil price fluctuation.

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Section: Discussionmentioning

confidence: 96%

Dynamic Characteristics of Crude Oil Price Fluctuation—From the Perspective of Crude Oil Price Influence Mechanism

Peng

Drakeford

2020

Energies

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“…Specifically, when a PHEIC breaks out, it will cast a shadow on the future economic development of the affected countries and regions, resulting in high market pressures, which have severely adverse effects on investor confidence. If the epidemic spreads to major economies, it may affect international oil demand and the regular operation of the oil industry, which will sharply increase investors’ expectations of uncertain risks in international oil prices [ 35 , 36 , 37 , 38 , 39 ]. Indeed, as it is affected by market sentiment, the US dollar index may fluctuate sharply.…”

Section: Deducing the Logical Relationshipmentioning

confidence: 99%

Can Major Public Health Emergencies Affect Changes in International Oil Prices?

Cheng

Chen

Guo-gang

et al. 2021

IJERPH

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In order to deepen the understanding of the impact of major public health emergencies on the oil market and to enhance the risk response capability, this study analyzed the logical relationship between major public health emergencies and international oil price changes, identified the change points, and calculated the probability of abrupt changes to international oil prices. Based on monthly data during six major public health emergencies from 2009 to 2020, this study built a product partition model. The results show that only the influenza A (H1N1) and COVID-19 pandemics were significant reasons for abrupt changes in international oil prices. Furthermore, the wild poliovirus epidemic, the Ebola epidemic, the Zika epidemic, and the Ebola epidemic in the Democratic Republic of the Congo had limited effects. Overall, the outbreak of a Public Health Emergency of International Concern (PHEIC) in major global economies has a more pronounced impact on international oil prices.

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“…The financial crisis changed market participants' expectations and mechanisms of price formation. Non commercial traders begin to play a vital role in crude oil markets (Joo et al, 2020). Therefore, our study do not concentrate on the direct effects of supply and demand shocks.…”

Section: Literature Reviewmentioning

confidence: 99%

New insights into price drivers of crude oil futures markets: Evidence from quantile ARDL approach

Shao¹,

Shao²,

Yang³

2021

Preprint

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This paper investigates the cointegration between possible determinants of crude oil futures prices during the COVID-19 pandemic period. We perform comparative analysis of WTI and newlylaunched Shanghai crude oil futures (SC) via the Autoregressive Distributed Lag (ARDL) model and Quantile Autoregressive Distributed Lag (QARDL) model. The empirical results confirm that economic policy uncertainty, stock markets, interest rates and coronavirus panic are important drivers of WTI futures prices. Our findings also suggest that the US and China's stock markets play vital roles in movements of SC futures prices. Meanwhile, CSI300 stock index has a significant positive short-run impact on SC futures prices while S&P500 prices possess a positive nexus with SC futures prices both in long-run and short-run. Overall, these empirical evidences provide practical implications for investors and policymakers.

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Impact of the global financial crisis on the crude oil market

Cited by 54 publications

References 79 publications

Dynamic Characteristics of Crude Oil Price Fluctuation—From the Perspective of Crude Oil Price Influence Mechanism

Dynamic Characteristics of Crude Oil Price Fluctuation—From the Perspective of Crude Oil Price Influence Mechanism

Can Major Public Health Emergencies Affect Changes in International Oil Prices?

New insights into price drivers of crude oil futures markets: Evidence from quantile ARDL approach

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