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Applied Economics LettersVolume 23, Issue 6, 12 April 2016, Pages 402-406

Sources of volatility during four oil price crashes(Article)(Open Access)

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  • Development Prospects Group, World Bank, Washington, DC, United States

Abstract

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. © International Bank for Reconstruction and Development/The World Bank 2015.

Author keywords

commodity marketsCrude oil priceoil price crashesvolatility

Indexed keywords

GEOBASE Subject Index:commodity marketcommodity pricecrude oilprice dynamics
  • ISSN: 13504851
  • Source Type: Journal
  • Original language: English
  • DOI: 10.1080/13504851.2015.1078435
  • Document Type: Article
  • Publisher: Routledge

  Baffes, J.; Development Prospects Group, World Bank, Washington, DC, United States;
© Copyright 2016 Elsevier B.V., All rights reserved.

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