Oil prices and the financial crisis

被引：11
|
作者：
Bencivenga, Cristina [1 ]
D'Ecclesia, Rita L. [1 ]
Triulzi, Umberto [1 ]
机构：
[1] Univ Roma La Sapienza, Dept Social & Econ Anal, Rome, Italy
来源：
REVIEW OF MANAGERIAL SCIENCE | 2012年 / 6卷 / 03期
关键词：
Oil price volatility; Financial crisis; Speculation; VECM; COINTEGRATION;
D O I：
10.1007/s11846-012-0083-z
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
This paper aims to explain crude oil price volatility and its relationship respect to some macroeconomic and financial variables. Finding the main drivers of oil price dynamics is a crucial element for the definition of adequate monetary policies and risk management purposes. The role of macroeconomic and financial variables is analyzed in a Vector Error Correction Model framework, in order to test the existence of a long run equilibrium in the oil price dynamics. We use monthly data for crude oil prices, the Dollar/Euro exchange rate, the US interest rate, the crude oil Futures open interest, the US oil imports and the gold price over the period 1993-2009. One cointegrating relationship is found which allows to identify a long run equilibrium between the variables.
引用
收藏
页码：227 / 238
页数：12
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