Forecasting crude oil market volatility in the context of economic slowdown in emerging markets
Crude Oil is a commodity with huge strategic importance to all countries in the world. But in the recent years, the oil market as well as all commodities market has crossed an intense period of changes due to a volatile international economic context. After a decade of rapid economic growth rates, C...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2014-05-01
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| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: |
http://store.ectap.ro/articole/980.pdf
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| _version_ | 1819298877698736128 |
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| author | Bernard MORARD Florentina Olivia BĂLU |
| author_facet | Bernard MORARD Florentina Olivia BĂLU |
| author_sort | Bernard MORARD |
| collection | DOAJ |
| description | Crude Oil is a commodity with huge strategic importance to all
countries in the world. But in the recent years, the oil market as well as all
commodities market has crossed an intense period of changes due to a volatile
international economic context. After a decade of rapid economic growth rates,
China and the other emerging markets are slowing down. After a harsh and
unpredictable crisis, the financial and commodity regulation has changed; the
uncertainty and distrust have increased, and, implicitly, the prices volatility in
financial and commodity markets has also increased. In this paper we empirically
investigated the crude oil market price behaviour and proposed an econometrical
GARCH model (Engle, 1982; Bollerslev, 1986) to forecast the volatility of this
market. Our research questions are how crude oil price volatility has changed in
the recent years? In order to answer to this question we developed an empirical
analysis using daily future one month quotation of Brent, Dubai and WTI crude oil
over the last three years. These quotations were extracted from Thomson-Reuters
Database. Our results suggest a relatively small volatility in crude oil market on a
short run with a price fluctuation around the level of 110 USD/barrel for Brent
crude oil. Moreover, our final conclusion is that: the economic slowdown in
emerging markets, but also the new regulations in commodity markets represent
new challenges for economists and researchers, and ask for structural reforms to
adjust to new context. |
| first_indexed | 2024-12-24T05:36:53Z |
| format | Article |
| id | doaj.art-64bddebedb834b899ed499c18586280f |
| institution | Directory Open Access Journal |
| issn | 1841-8678 1844-0029 |
| language | English |
| last_indexed | 2024-12-24T05:36:53Z |
| publishDate | 2014-05-01 |
| publisher | General Association of Economists from Romania |
| record_format | Article |
| series | Theoretical and Applied Economics |
| spelling | doaj.art-64bddebedb834b899ed499c18586280f2022-12-21T17:12:58ZengGeneral Association of Economists from RomaniaTheoretical and Applied Economics1841-86781844-00292014-05-01XXI5193618418678Forecasting crude oil market volatility in the context of economic slowdown in emerging marketsBernard MORARD0Florentina Olivia BĂLU1 University of Geneva, Switzerland University of Geneva, Switzerland Bucharest University of Economic Studies, Romania Crude Oil is a commodity with huge strategic importance to all countries in the world. But in the recent years, the oil market as well as all commodities market has crossed an intense period of changes due to a volatile international economic context. After a decade of rapid economic growth rates, China and the other emerging markets are slowing down. After a harsh and unpredictable crisis, the financial and commodity regulation has changed; the uncertainty and distrust have increased, and, implicitly, the prices volatility in financial and commodity markets has also increased. In this paper we empirically investigated the crude oil market price behaviour and proposed an econometrical GARCH model (Engle, 1982; Bollerslev, 1986) to forecast the volatility of this market. Our research questions are how crude oil price volatility has changed in the recent years? In order to answer to this question we developed an empirical analysis using daily future one month quotation of Brent, Dubai and WTI crude oil over the last three years. These quotations were extracted from Thomson-Reuters Database. Our results suggest a relatively small volatility in crude oil market on a short run with a price fluctuation around the level of 110 USD/barrel for Brent crude oil. Moreover, our final conclusion is that: the economic slowdown in emerging markets, but also the new regulations in commodity markets represent new challenges for economists and researchers, and ask for structural reforms to adjust to new context. http://store.ectap.ro/articole/980.pdf crude oil marketcommodity marketprice behaviour forecast volatilityGARCH models |
| spellingShingle | Bernard MORARD Florentina Olivia BĂLU Forecasting crude oil market volatility in the context of economic slowdown in emerging markets Theoretical and Applied Economics crude oil market commodity market price behaviour forecast volatility GARCH models |
| title | Forecasting crude oil market volatility in the context of economic slowdown in emerging markets |
| title_full | Forecasting crude oil market volatility in the context of economic slowdown in emerging markets |
| title_fullStr | Forecasting crude oil market volatility in the context of economic slowdown in emerging markets |
| title_full_unstemmed | Forecasting crude oil market volatility in the context of economic slowdown in emerging markets |
| title_short | Forecasting crude oil market volatility in the context of economic slowdown in emerging markets |
| title_sort | forecasting crude oil market volatility in the context of economic slowdown in emerging markets |
| topic | crude oil market commodity market price behaviour forecast volatility GARCH models |
| url |
http://store.ectap.ro/articole/980.pdf
|
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