Universität zu Köln

Kruse, Robinson and Wegener, Christoph ORCID: 0000-0002-9508-7131 (2020). Time-varying persistence in real oil prices and its determinant. Energy Econ., 85. AMSTERDAM: ELSEVIER. ISSN 1873-6181

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Abstract

We provide empirical evidence for pronounced time-variation in the persistence of real oil prices. In particular, we find episodes of mild explosiveness next to periods with random walk and also mean-reverting behavior. We address the question whether dynamic persistence can be directly related to macro-financial variables, spot-futures spreads, spill-over effects from commodities and global real economic activity. Alongside these variables, we use a large data set of more than one-hundred fifty potential determinants featuring, for example, further oil-related variables (production and inventories) and key macroeconomic series for the G7 countries. By using model averaging techniques, we robustly account for the inherent model uncertainty when dealing with such many potential explanatory variables. As it turns out, the one and only significant measure to explain time-varying oil price persistence is the index of global real economic activity by Kilian (2009). Other variables related to e.g. supply shocks or speculation are, however, insignificant. In line with recent findings, we argue that fundamentals rather than speculation were the drivers of the explosive oil price in the 2000s. (C) 2019 Elsevier B.V. All rights reserved.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Kruse, Robinson UNSPECIFIED UNSPECIFIED UNSPECIFIED Wegener, Christoph UNSPECIFIED orcid.org/0000-0002-9508-7131 UNSPECIFIED
URN:	urn:nbn:de:hbz:38-350967
DOI:	10.1016/j.eneco.2019.02.020
Journal or Publication Title:	Energy Econ.
Volume:	85
Date:	2020
Publisher:	ELSEVIER
Place of Publication:	AMSTERDAM
ISSN:	1873-6181
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language SPECULATIVE BUBBLES; SUPPLY SHOCKS; BEHAVIOR; FUTURES; EXUBERANCE; MARKETS; DEMAND Multiple languages Economics Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/35096