The Volatility of Oil Prices: What Factors?
Algia H* and Abdelfatteh B
Faculty of Economic Sciences and Management of Sfax, University of Sfax, Sfax, Tunisia
- Corresponding Author:
- Algia H
Faculty of Economic Sciences and Management of Sfax
University of Sfax Sfax, Tunisia
Tel: +216 74 242 951
E-mail: [email protected]
Received September 10, 2015; Accepted October 17, 2015; Published October 28, 2015
Citation: Algia H, Abdelfatteh B (2015) The Volatility of Oil Prices: What Factors?Arabian J Bus Manag Review 6:181.
Copyright: © 2015 Algia H, et al. This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
This paper highlights a new articulation between the physical fundamentals of the oil market, the traditional financial factors and the emergence of recent financial fundamentals to explain WTI crude oil price volatility over the period 1995 M1 and 2013 M12. A first vector error correction model (VECM) identifies a co - integration relationship between WTI spot price, the import and inventory of crude oil in the United States, the dollar index and the 5-year US interest rate. A second model with the introduction of the future prices at two months and kcfsi index. The result of our work shows a low correlation of import and inventory of crude oil in the United States with respect to short-term oil prices. But in contrast to a strong long-term correlation. The introduction of speculation and KCFSI index affects the oil price dynamics in the long and short-term. The two traditional financial factors (dollar index and the 5-year US interest rate) are found to be weakly exogenous in the long run.