DID SPECULATIVE ACTIVITIES CONTRIBUTE TO HIGH CRUDE OIL PRICES DURING 1993 TO 2008?

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摘要 ByapplyingtwononlinearGrangercausalitytestingmethodsandrollingwindowstrat-egytoexploretherelationshipbetweenspeculativeactivitiesandcrudeoilprices,theunidirectionalGrangercausalityfromspeculativeactivitiestoreturnsofcrudeoilpricesduringthehighpricephaseisdiscovered.ItisprovedthatspeculativeactivitiesdidcontributetohighcrudeoilpricesaftertheAsianfinancialcrisisandOPEC'soutputcutin1998.TheunidirectionalGrangercausalityfromreturnsofcrudeoilpricestospeculativeactivitiesissignificantingeneral.Butafter2000,withthesharpriseincrudeoilprices,thisunidirectionalGrangercausalitybecameacomplexnonlinearrelationship,whichcannotbedetectedbyanylinearGrangercausalitytest.
机构地区 不详
出版日期 2009年04月14日(中国期刊网平台首次上网日期,不代表论文的发表时间)
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