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Evidence of speculation in world oil prices

Evidence of speculation in world oil prices

Dale Roberts and Laura Ryan

It has recently been suggested that financial speculation is now playing an important role in daily price movements of global oil prices.

This raises the question: what are important drivers of price changes given this new speculative regime? We identify new factors of the oil market related to speculation by fitting subset vector autoregression models with exogenous variables (SubVARX) and rank them by importance.Further, to account for model uncertainty and to obtain robust parameter estimation in this study, we apply a bootstrap model selection procedure.

We find that certain speculative factors explain a large portion of the variation in oil price for the given data set. 

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Updated:   8 March 2019 / Responsible Officer:  CBE Communications and Outreach / Page Contact:  College Web Team