Disentangling the determinants of real oil prices

被引：48
作者：
Liu, Li [1 ,4 ]
Wang, Yudong [2 ]
Wu, Chongfeng [3 ]
Wu, Wenfeng [3 ]
机构：
[1] Nanjing Audit Univ, Sch Finance, Nanjing, Jiangsu, Peoples R China
[2] Nanjing Univ Sci & Technol, Sch Econ & Management, Nanjing, Jiangsu, Peoples R China
[3] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai 200030, Peoples R China
[4] Nanjing Audit Univ, Jiangsu Key Lab Financial Engn, Nanjing, Jiangsu, Peoples R China
来源：
ENERGY ECONOMICS | 2016年 / 56卷
基金：
中国国家自然科学基金;
关键词：
Oil price; Fundamentals; Speculation; Structural VAR; Sign restriction; FUTURES MARKETS; SUPPLY SHOCKS; MACROECONOMY; SPECULATION; OUTPUT; NONLINEARITIES; COMOVEMENT; ECONOMY; IMPACT; MATTER;
D O I：
10.1016/j.eneco.2016.04.003
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this study, we quantify the impacts of economic fundamentals and derivative market speculation on the real price of crude oil. Using a structural VAR with sign restriction, we determine that oil demand from the US and China, particularly the latter one, plays a crucial role in oil price changes after the year 2000. The contribution of speculation does not exceed 10% of oil price variations in our sample period. (C) 2016 Elsevier B.V. All rights reserved.
引用
收藏
页码：363 / 373
页数：11
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