期刊
ENERGY ECONOMICS
卷 33, 期 6, 页码 1082-1094出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.eneco.2011.05.017
关键词
Oil market trading; Oil price fundamentals; Drivers; Structural breaks
类别
This paper characterizes weekly international oil price fundamentals since 2000 by analyzing the transformation of the market mechanism based on structural change perspective. Using endogenously-determined break tests that allow for changes in both level and trend, we divide the price fluctuations in the international oil market after 2000 into three stages: Relatively calm market period (January 07, 2000, to March 12, 2004); the Bubble accumulation period (March 19, 2004, to June 06, 2008,); and the Global economic crisis period (June 13, 2008, to September 11, 2009). The results show the existence of structural breaks refutes the utility of investigation of the full sample period as a whole. And in different structural periods the main drivers of oil price changes and their way of influence and degree are significantly distinct. Then we demonstrate the evolving process of market mechanism since 2000. Through establishing comparative models, we also quantitatively measure the roles of speculation and episodic events in oil price fluctuations. (C) 2011 Elsevier B.V. All rights reserved.
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