The Effects of Commodities and Financial Markets on Crude Oil
Investigating crude oil price volatility is crucial, because crude oil price certainly affects the economy through many channels. This study applies a Vector Auto Regression (VAR) model to examine the impact of crude oil market on basic commodities, financial markets and industrial production. We fi...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2017-01-01
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| Series: | Oil & Gas Science and Technology |
| Online Access: | https://doi.org/10.2516/ogst/2016024 |
| _version_ | 1830093351818362880 |
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| author | Galyfianakis Georgios Garefalakis Alexandros Mantalis Georgios |
| author_facet | Galyfianakis Georgios Garefalakis Alexandros Mantalis Georgios |
| author_sort | Galyfianakis Georgios |
| collection | DOAJ |
| description | Investigating crude oil price volatility is crucial, because crude oil price certainly affects the economy through many channels. This study applies a Vector Auto Regression (VAR) model to examine the impact of crude oil market on basic commodities, financial markets and industrial production. We find that the production in the US economy has an important effect on the crude oil prices. In addition we noticed a higher increase in crude oil price volatility after a large negative shock, contrary to a large positive one. Also, it was found that, in the short-run, oil price volatility is not influenced by short-run interest rates or industrial production. An adverse linkage between crude oil prices and industrial production has been proved confirming the economic theorists claiming that there is a close linkage between oil price shocks and economic activity. Finally, our findings indicate that there is Granger causality between crude oil and the endogenous variables used in the Granger causality framework. |
| first_indexed | 2024-12-16T17:53:14Z |
| format | Article |
| id | doaj.art-d1d54eabf2754a848ff0c1f0bd290ac8 |
| institution | Directory Open Access Journal |
| issn | 1294-4475 1953-8189 |
| language | English |
| last_indexed | 2024-12-16T17:53:14Z |
| publishDate | 2017-01-01 |
| publisher | EDP Sciences |
| record_format | Article |
| series | Oil & Gas Science and Technology |
| spelling | doaj.art-d1d54eabf2754a848ff0c1f0bd290ac82022-12-21T22:22:15ZengEDP SciencesOil & Gas Science and Technology1294-44751953-81892017-01-01721310.2516/ogst/2016024ogst150224The Effects of Commodities and Financial Markets on Crude OilGalyfianakis GeorgiosGarefalakis AlexandrosMantalis GeorgiosInvestigating crude oil price volatility is crucial, because crude oil price certainly affects the economy through many channels. This study applies a Vector Auto Regression (VAR) model to examine the impact of crude oil market on basic commodities, financial markets and industrial production. We find that the production in the US economy has an important effect on the crude oil prices. In addition we noticed a higher increase in crude oil price volatility after a large negative shock, contrary to a large positive one. Also, it was found that, in the short-run, oil price volatility is not influenced by short-run interest rates or industrial production. An adverse linkage between crude oil prices and industrial production has been proved confirming the economic theorists claiming that there is a close linkage between oil price shocks and economic activity. Finally, our findings indicate that there is Granger causality between crude oil and the endogenous variables used in the Granger causality framework.https://doi.org/10.2516/ogst/2016024 |
| spellingShingle | Galyfianakis Georgios Garefalakis Alexandros Mantalis Georgios The Effects of Commodities and Financial Markets on Crude Oil Oil & Gas Science and Technology |
| title | The Effects of Commodities and Financial Markets on Crude Oil |
| title_full | The Effects of Commodities and Financial Markets on Crude Oil |
| title_fullStr | The Effects of Commodities and Financial Markets on Crude Oil |
| title_full_unstemmed | The Effects of Commodities and Financial Markets on Crude Oil |
| title_short | The Effects of Commodities and Financial Markets on Crude Oil |
| title_sort | effects of commodities and financial markets on crude oil |
| url | https://doi.org/10.2516/ogst/2016024 |
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