Sources of Volatility during Four Oil Price Crashes

Baffes, John ; Kshirsagar, Varun

Taylor and Francis

关键词: crude oil price;    volatility;    oil prices;    commodity markets;   

DOI  :  10.1080/13504851.2015.1078435
RP-ID  :  102521

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

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.