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The role of precautionary and speculative demand in the global market for crude oil
Citation
Cross, JL and Nguyen, BH and Tran, TD, The role of precautionary and speculative demand in the global market for crude oil, Journal of Applied Econometrics ISSN 0883-7252 (2022) [Refereed Article]
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DOI: doi:10.1002/jae.2905
Abstract
Contemporary structural models of the global market for crude oil jointly specify precautionary and speculative demand shocks as a composite shock, named a storage demand shock. We resolve this identification problem and examine the effects of these distinct shocks, along with conventional demand and supply shocks, on the global price of crude oil. We find that uncertainty driven precautionary demand for crude oil is, on average, the primary driver of real price of oil fluctuations that have previously been associated with storage demand shocks. Historically, these shocks have had distinct effects on the real oil price dynamics since the 1970s.
Item Details
| Item Type: | Refereed Article |
|---|---|
| Keywords: | oil prices, time series, uncertainty, speculation |
| Research Division: | Economics |
| Research Group: | Applied economics |
| Research Field: | Macroeconomics (incl. monetary and fiscal theory) |
| Objective Division: | Economic Framework |
| Objective Group: | Microeconomics |
| Objective Field: | Supply and demand |
| UTAS Author: | Nguyen, BH (Dr Bao Nguyen) |
| ID Code: | 150226 |
| Year Published: | 2022 |
| Deposited By: | Economics |
| Deposited On: | 2022-06-03 |
| Last Modified: | 2022-06-20 |
| Downloads: | 0 |
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