Journal Article

Sources of Volatility during Four Oil Price Crashes

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collection.link.125
https://openknowledge.worldbank.org/handle/10986/4401
collection.name.125
C. Journal articles published externally
dc.contributor.author
Baffes, John
dc.contributor.author
Kshirsagar, Varun
dc.date.accessioned
2015-12-24T17:25:34Z
dc.date.available
2015-12-24T17:25:34Z
dc.date.issued
2015-09-12
dc.date.lastModified
2021-04-23T14:04:15Z
dc.description.abstract
Previous sharp oil price declines have been accompanied by elevated ex-post volatility. In contrast, volatility was much less elevated during the oil price crash in 2014/15. We provide evidence that oil prices declined in a relatively measured manner during 2014/15, with a dispersion of price changes that was considerably smaller than comparable oil price declines. This finding is robust to using both descriptive and GARCH measures of volatility. Further, the US dollar appreciation exerted a strong influence on volatility during the recent crash; in contrast, the impact of equity market shocks was muted.
en
dc.identifier.citation
Applied Economics Letters
dc.identifier.issn
1350-4851
dc.identifier.uri
http://hdl.handle.net/10986/23515
dc.language.iso
en_US
dc.publisher
Taylor and Francis
dc.rights
CC BY-NC-ND 3.0 IGO
dc.rights.holder
World Bank
dc.rights.uri
http://creativecommons.org/licenses/by-nc-nd/3.0/igo
dc.subject
crude oil price
dc.subject
volatility
dc.subject
oil prices
dc.subject
commodity markets
dc.title
Sources of Volatility during Four Oil Price Crashes
en
dc.type
Journal Article
en
okr.date.disclosure
2017-03-12
okr.doctype
Publications & Research :: Journal Article
okr.doctype
Publications & Research
okr.externalcontent
External Content
okr.googlescholar.linkpresent
yes
okr.identifier.doi
10.1080/13504851.2015.1078435
okr.identifier.report
102521
okr.language.supported
en
okr.peerreview
Academic Peer Review
okr.relation.associatedurl
http://www.tandfonline.com/doi/full/10.1080/13504851.2015.1078435
okr.relation.associatedurl
https://openknowledge.worldbank.org/handle/10986/22848
okr.topic
Energy :: Oil & Gas
okr.topic
Macroeconomics and Economic Growth :: Economic Conditions and Volatility
okr.unit
Development Prospects Group (DECPG)
okr.volume
(Forthcoming 2015)

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