alexa Abstract | The Volatility of Oil Prices: What Factors?
E-ISSN: 2223-5833

Arabian Journal of Business and Management Review
Open Access

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Research Article Open Access

Abstract

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.

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Author(s): Algia H and Abdelfatteh B

Keywords

Oil price volatility, Macro-finance interface, VECM, General finance, HRM, Microfinance, Multinational finance, Business Research, Corporate governance system, Financial Management services, Managerial accounting, Health Management, Logistics management , Entrepreneurship , CRM, BCM, Risk management

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