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Paper oil and physical oil: has speculative pressure in oil futures increased volatility in spot oil prices?

机译：纸油和实物油：石油期货的投机压力是否加剧了现货石油价格的波动性？

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摘要

A number of authors have attributed the high and volatile oil prices experienced since the turn of the 21st century to increased speculative activities arising from a relaxation of regulations in futures markets. This study examined the effects of speculative pressure on the volatility of spot oil prices. I constructed two measures of speculative pressure and modelled the volatility in oil returns by using the GARCH autoregressive conditional jump intensity model of Chan and Maheu, which models the effects of extreme news events in returns. Empirical results showed a significant positive coefficient for speculative pressure, implying that increased speculative pressure has contributed to volatile oil prices. This result is robust to different GARCH estimators and measures of speculative pressure.
机译：许多作者将自21世纪初以来经历的高油价和动荡的油价归因于期货市场法规放松带来的投机活动增加。这项研究检验了投机压力对现货石油价格波动的影响。我构造了两种投机压力度量，并使用Chan和Maheu的GARCH自回归条件跳跃强度模型对石油收益率的波动进行了建模，该模型对收益率中极端新闻事件的影响进行了建模。实证结果表明，投机压力具有显着的正系数，这意味着投机压力的增加已导致油价波动。这个结果对于不同的GARCH估计和投机压力的测量是可靠的。

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  • 来源
    《OPEC energy review》 |2014年第3期|356-372|共17页
  • 作者

    Babajide Fowowe;

  • 作者单位

    Department of Economics, University of Ibadan, Ibadan, Nigeria;

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