Peaks, Spikes, and Barrels: Modeling Sharp Movements in Oil Prices

Thomas, Alun; Mühleisen, Martin; Pant, Malika

doi:10.2139/ssrn.1662259

Cited by 9 publications

(3 citation statements)

References 4 publications

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“…Looking deeply into the problem in light of the existing studies, there are many factors determining price changes of oil and copper. The most frequent determinants in the case of oil price equations cover economic factors such as demand and supply levels (amount of consumption and production [100][101][102][103]); business cycle (global GDP growth) or global financial market liquidity [103]; political factors such as OPEC production amounts [100][101][102][103][104][105]; or the political risk of exporters (e.g., measured by the International Country Political Risk Guide [103]); infrastructure factors like production capacity [106] or crude oil stocks [100,102,105]; and other factors such as the ratio of futures contracts trading in relation to physical deliveries, and the number of terrorist attacks or number of soldiers stationed in the Middle East.…”

Section: Discussionmentioning

confidence: 99%

Energy Security in Danger? A Comparative Analysis of Oil and Copper Supply

Mróz

2022

Energies

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This study aims to examine energy security in terms of crude oil and copper supply. While oil remains the leading energy commodity globally, copper is crucial for many new technologies, foremost for RES. Therefore, both oil and copper are extremely important for current and future energy security. This article contains a bivariate methodological approach to a comparative analysis of oil and copper supply: determining supply security with an Index of security of supply, and examines price stability with generalized autoregressive conditional heteroscedasticity (GARCH) models. This research provides evidence that there are many differences but also significant similarities between these two completely different commodities in terms of both supply security and price stability. Facing the future for RES, significant demand may cause a threat to energy security on a previously unknown scale. Therefore this instability, both supply- and price-related, appears to be the main threat to future energy security.

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Section: Discussionmentioning

confidence: 99%

Energy Security in Danger? A Comparative Analysis of Oil and Copper Supply

Mróz

2022

Energies

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“…Changes in crude oil prices could have huge impacts on oil-importing and exporting countries, alike at both the macro and micro levels. At the macro-level, sudden changes in oil prices affect macroeconomic variables such as exchange rate, interest rate, and inflation and could lead to fluctuations in current account balance and net foreign assets position, leading to a recession or economic growth (Thomas et al, 2010). Recognizing the huge positive impact of stable crude oil prices in the performance of the Nigerian economy as a net producer/exporter of crude oil and its implication on agricultural productivity, the successive government's expenditure to the agricultural sector were geared towards improving agricultural productivity.…”

Section: Introductionmentioning

confidence: 99%

Crude Oil Price Shocks and Agricultural Productivity in Nigeria (1987-2020): Evidence From Non-Linear Auto Regressive Distributed Lag and Granger Causality Analysis

Hammayo¹

2020

JASD

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The study examined empirically the asymmetric relationship between crude oil price shocks and agricultural productivity in Nigeria (1987-2020) from the perspectives of non-linear auto regressive distributed lag (NARDL) and granger causality analysis. The study used an annual time series data from the World development indicators (WDI) data bank for the period of 1987-2020. The newly introduced non-linear auto-regressive distributed lag (NARDL) approach was applied in the model specification and data analysis for the study. The results of the NARDL in both short and long run revealed that decrease in crude oil prices has a negative and significant (P≤0.0011) impact on agricultural productivity in Nigeria and vice versa. The results of the granger causality test revealed a unidirectional causality from crude oil prices to agricultural productivity with evidence from the current decline of global crude oil prices from December 2019 to April 2020 which is in line with the growth hypothesis. The study recommended the urgent need for the Nigerian government to device possible means of diversifying its economy and the reduction of overdependence on the revenue derived from the oil sector to boost productivity in the agricultural sector of the economy. Also, there is urgent need for the world health organization (WHO) to develop a vaccine that will eliminate the COVID-19 virus that poses a tremendous challenge to the world economy.

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“…The recent literature has provided three competing theories to explain the pervasive increase in agricultural and industrial commodity prices, as outlined by Frankel and Rose (2009): (i) global demand growth; (ii) destabilizing financial speculation; and (iii) accommodative monetary policy. Notwithstanding the continuing debate over the nature of price volatility, a plethora of recent studies has emphasized macroeconomic factors as the main determinants of crude oil prices over the last decade (Belke, Bordon, and Hendricks, 2010;Hamilton, 2009;Kilian, 2009;Thomas, Mühleisen and Pant, 2010;and Wirl, 2008). On the other hand, most empirical research tends to explain the formation of wine prices with supply-side factors such as climatic conditions, grape quality, age effects, and external quality ratings (Cardebat and Figuet, 2004;Gergaud, 1999;Jones and Storchmann, 2001;and Lecocq and Visser, 2006).…”

Section: Introductionmentioning

confidence: 99%

A Barrel of Oil or a Bottle of Wine: How Do Global Growth Dynamics Affect Commodity Prices?

Sedik

Cevik²

2011

IMF Working Papers

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This paper investigates the causes of extreme fluctuations in commodity prices from 1990 to 2010. Analyzing two very distinct commodities-crude oil and fine wine, we find that macroeconomic factors are the main determinants of commodity prices. Although supply constraints have the expected effect, aggregate demand growth is the key factor. The empirical results show that while advanced economies account for more than half of global consumption, emerging economies make up the bulk of the incremental change in demand, thereby having a greater weight in commodity price formation. The results also show that the shift in the composition of aggregate commodity demand is a recent phenomenon.

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Peaks, Spikes, and Barrels: Modeling Sharp Movements in Oil Prices

Cited by 9 publications

References 4 publications

Energy Security in Danger? A Comparative Analysis of Oil and Copper Supply

Energy Security in Danger? A Comparative Analysis of Oil and Copper Supply

Crude Oil Price Shocks and Agricultural Productivity in Nigeria (1987-2020): Evidence From Non-Linear Auto Regressive Distributed Lag and Granger Causality Analysis

A Barrel of Oil or a Bottle of Wine: How Do Global Growth Dynamics Affect Commodity Prices?

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