کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5064348 | 1372286 | 2014 | 27 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Understanding recent oil price dynamics: A novel empirical approach
ترجمه فارسی عنوان
درک اخیر قیمت پویایی قیمت نفت: رویکرد تجربی جدید
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی انرژی
انرژی (عمومی)
چکیده انگلیسی
Crude oil is a major driver of the global economy and its price dynamics are a key indicator for producers, consumers and investors. The increasing volatility of crude oil prices in the last decade has encouraged many researchers to model its dynamics. Recent studies have tried to explain this dynamics by taking into account the role of various market participants many of whom have increasingly used crude oil for portfolio diversification. We propose a modified supply-demand framework which assumes that the real price of crude oil is affected not only by fundamental shocks but also by financial shocks. We assess the role of what we define as the financial shock component when describing the dynamics of the real crude oil price and endeavor to measure a possible equilibrium relationship between standard supply/demand variables and our financial shock component. Using a Dynamic Ordinary Least Squares (DOLS) approach and an ECM framework we are able to empirically assess the significant role of “hedging pressure” on the real price of oil and find evidence that the impact of the “hedging pressure” is not only affecting quick reverting short-term deviations but also the structural long-run equilibrium of the oil price.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 46, Supplement 1, December 2014, Pages S11-S17
Journal: Energy Economics - Volume 46, Supplement 1, December 2014, Pages S11-S17
نویسندگان
Rita L. D'Ecclesia, Emiliano Magrini, Pierluigi Montalbano, Umberto Triulzi,