Sources of Volatility during Four Oil Price Crashes

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 change...

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Bibliographic Details
Main Authors:	Baffes, John, Kshirsagar, Varun
Format:	Journal Article
Language:	en_US
Published:	Taylor and Francis 2015
Subjects:	crude oil price volatility oil prices commodity markets
Online Access:	http://hdl.handle.net/10986/23515

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recordtype	oai_dc
spelling	okr-10986-235152021-04-23T14:04:15Z Sources of Volatility during Four Oil Price Crashes Baffes, John Kshirsagar, Varun crude oil price volatility oil prices commodity markets 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. 2015-12-24T17:25:34Z 2015-12-24T17:25:34Z 2015-09-12 Journal Article Applied Economics Letters 1350-4851 http://hdl.handle.net/10986/23515 en_US CC BY-NC-ND 3.0 IGO http://creativecommons.org/licenses/by-nc-nd/3.0/igo World Bank Taylor and Francis Publications & Research :: Journal Article Publications & Research
repository_type	Digital Repository
institution_category	Foreign Institution
institution	Digital Repositories
building	World Bank Open Knowledge Repository
collection	World Bank
language	en_US
topic	crude oil price volatility oil prices commodity markets
spellingShingle	crude oil price volatility oil prices commodity markets Baffes, John Kshirsagar, Varun Sources of Volatility during Four Oil Price Crashes
description	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.
format	Journal Article
author	Baffes, John Kshirsagar, Varun
author_facet	Baffes, John Kshirsagar, Varun
author_sort	Baffes, John
title	Sources of Volatility during Four Oil Price Crashes
title_short	Sources of Volatility during Four Oil Price Crashes
title_full	Sources of Volatility during Four Oil Price Crashes
title_fullStr	Sources of Volatility during Four Oil Price Crashes
title_full_unstemmed	Sources of Volatility during Four Oil Price Crashes
title_sort	sources of volatility during four oil price crashes
publisher	Taylor and Francis
publishDate	2015
url	http://hdl.handle.net/10986/23515
_version_	1764454062589214720

Sources of Volatility during Four Oil Price Crashes

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