CEIS-Tor Vergata is pleased to inform you that, on Friday March 9th, 2012 at 12.00 pm, prof. Ivan Petrella (Birbeck College) will present a paper on “Speculation in the Oil Market” The Seminar will be held at the Faculty of Economics, University of Rome "Tor Vergata", B-building, 1° floor, room B Please, go to www.ceistorvergata.it for the complete list of seminars and events at CEIS. How to reach us: http://web.uniroma2.it/mobilita/index.html http://www.economia.uniroma2.it/area.asp?a=867 ABSTRACT The run-up in oil prices since 2004 coincided with growing investment in commodity markets and increased price comovement among different commodities. We assess whether speculation in the oil market played a key role in driving this salient empirical pattern. We identify oil shocks from a large dataset using a factor-augmented autoregressive (FAVAR) model. This method is motivated by the fact that the small scale VARs are not infomationally sufficient to identify the shocks. The main results are as follows: (i) While global demand shocks account for the largest share of oil price fluctuations, speculative shocks are the second most important driver. (ii) The comovement between oil prices and the prices of other commodities is explained by global demand and speculative shocks. (iii) The increase in oil prices over the last decade is mainly driven by the strength of global demand. However, speculation played a significant role in the oil price increase between 2004 and 2008 and its subsequent collapse. Our results support the view that the financialization process of commodity markets explains part of the recent increase in oil prices. Barbara Piazzi __________ Informazioni da ESET NOD32 Antivirus, versione del database delle firme digitali 6939 (20120305) __________ Il messaggio è stato controllato da ESET NOD32 Antivirus. www.nod32.it |
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