This paper aims to explain crude oil price volatility and its relationship respect to some macroeconomic and financial variables. Finding the main drivers of oil price dynamics is a crucial element for the definition of adequate monetary policies and risk management purposes. The role of macroeconomic and financial variables is analyzed in a Vector Error Correction Model framework, in order to test the existence of a long run equilibrium in the oil price dynamics. We use monthly data for crude oil prices, the Dollar/Euro exchange rate, the US interest rate, the crude oil Futures open interest, the US oil imports and the gold price over the period 1993-2009. One cointegrating relationship is found which allows to identify a long run equilibrium between the variables.
Oil prices and the financial crisis / Bencivenga, Cristina; D'Ecclesia, RITA LAURA; Triulzi, Umberto. - In: REVIEW OF MANAGERIAL SCIENCE. - ISSN 1863-6683. - STAMPA. - 6:3(2012), pp. 227-238. [10.1007/s11846-012-0083-z]
Oil prices and the financial crisis
BENCIVENGA, CRISTINA;D'ECCLESIA, RITA LAURA;TRIULZI, Umberto
2012
Abstract
This paper aims to explain crude oil price volatility and its relationship respect to some macroeconomic and financial variables. Finding the main drivers of oil price dynamics is a crucial element for the definition of adequate monetary policies and risk management purposes. The role of macroeconomic and financial variables is analyzed in a Vector Error Correction Model framework, in order to test the existence of a long run equilibrium in the oil price dynamics. We use monthly data for crude oil prices, the Dollar/Euro exchange rate, the US interest rate, the crude oil Futures open interest, the US oil imports and the gold price over the period 1993-2009. One cointegrating relationship is found which allows to identify a long run equilibrium between the variables.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
