메뉴 건너뛰기




Volumn 30, Issue 4, 2015, Pages 621-649

Speculation in the Oil Market

Author keywords

[No Author keywords available]

Indexed keywords


EID: 84930589476     PISSN: 08837252     EISSN: 10991255     Source Type: Journal    
DOI: 10.1002/jae.2388     Document Type: Article
Times cited : (222)

References (63)
  • 1
  • 2
    • 77953495106 scopus 로고    scopus 로고
    • What do we learn from the price of crude oil futures?
    • Alquist R, Kilian L. 2010. What do we learn from the price of crude oil futures? Journal of Applied Econometrics 25(4): 539-573.
    • (2010) Journal of Applied Econometrics , vol.25 , Issue.4 , pp. 539-573
    • Alquist, R.1    Kilian, L.2
  • 3
    • 84892845697 scopus 로고    scopus 로고
    • Maximum likelihood estimation of factor models on data sets with arbitrary pattern of missing data
    • Banbura M, Modugno M. 2014. Maximum likelihood estimation of factor models on data sets with arbitrary pattern of missing data. Journal of Applied Econometrics 29(1): 133-160.
    • (2014) Journal of Applied Econometrics , vol.29 , Issue.1 , pp. 133-160
    • Banbura, M.1    Modugno, M.2
  • 5
    • 84887256028 scopus 로고    scopus 로고
    • Sources of the volatility puzzle in the crude oil market
    • Baumeister C, Peersman G. 2013a. Sources of the volatility puzzle in the crude oil market. Journal of Applied Econometrics 28(7): 1087-1109.
    • (2013) Journal of Applied Econometrics , vol.28 , Issue.7 , pp. 1087-1109
    • Baumeister, C.1    Peersman, G.2
  • 6
    • 84887258905 scopus 로고    scopus 로고
    • The role of time-varying price elasticities in accounting for volatility changes in the crude oil market
    • Baumeister C, Peersman G. 2013b. The role of time-varying price elasticities in accounting for volatility changes in the crude oil market. American Economic Journal: Macroeconomics 5(4): 1-28.
    • (2013) American Economic Journal: Macroeconomics , vol.5 , Issue.4 , pp. 1-28
    • Baumeister, C.1    Peersman, G.2
  • 7
    • 47949092177 scopus 로고    scopus 로고
    • Speech presented at the Distinguished Lecture Series., Darton College: Albany, GA.
    • Bernanke B. 2004. Oil and the Economy, Speech presented at the Distinguished Lecture Series. Darton College: Albany, GA.
    • (2004) Oil and the Economy
    • Bernanke, B.1
  • 8
    • 15544377383 scopus 로고    scopus 로고
    • Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR)approach
    • Bernanke B, Boivin J, Eliasz PS. 2005. Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR)approach. Quarterly Journal of Economics 120: 387-422.
    • (2005) Quarterly Journal of Economics , vol.120 , pp. 387-422
    • Bernanke, B.1    Boivin, J.2    Eliasz, P.S.3
  • 9
    • 79960178966 scopus 로고    scopus 로고
    • Do speculators drive crude oil prices?
    • Büyüksahin B, Harris JH. 2011. Do speculators drive crude oil prices? Energy Journal 32(2): 167-202.
    • (2011) Energy Journal , vol.32 , Issue.2 , pp. 167-202
    • Büyüksahin, B.1    Harris, J.H.2
  • 11
    • 0036743879 scopus 로고    scopus 로고
    • Monetary disturbances matter for business fluctuations in the G-7
    • Canova F, De Nicoló G. 2002. Monetary disturbances matter for business fluctuations in the G-7. Journal of Monetary Economics 49(6): 1131-1159.
    • (2002) Journal of Monetary Economics , vol.49 , Issue.6 , pp. 1131-1159
    • Canova, F.1    De Nicoló, G.2
  • 12
    • 79951685846 scopus 로고    scopus 로고
    • Weak and strong cross-section dependence and estimation of large panels
    • Chudik A, Pesaran MH, Tosetti E. 2011. Weak and strong cross-section dependence and estimation of large panels. Econometrics Journal 14(1): C45-C90.
    • (2011) Econometrics Journal , vol.14 , Issue.1 , pp. C45-C90
    • Chudik, A.1    Pesaran, M.H.2    Tosetti, E.3
  • 14
    • 79957955160 scopus 로고    scopus 로고
    • The myth of financial innovation and the Great Moderation
    • Den Haan W, Sterk V. 2011. The myth of financial innovation and the Great Moderation. Economic Journal 121(553): 707-739.
    • (2011) Economic Journal , vol.121 , Issue.553 , pp. 707-739
    • Den Haan, W.1    Sterk, V.2
  • 15
    • 84871575482 scopus 로고    scopus 로고
    • A quasi-maximum likelihood approach for large, approximate dynamic factor models
    • Doz C, Giannone D, Reichlin L. 2012. A quasi-maximum likelihood approach for large, approximate dynamic factor models. Review of Economics and Statistics 94(4): 1014-1024.
    • (2012) Review of Economics and Statistics , vol.94 , Issue.4 , pp. 1014-1024
    • Doz, C.1    Giannone, D.2    Reichlin, L.3
  • 16
    • 0000781563 scopus 로고
    • The time path of scarcity rent in the theory of exhaustible resources
    • Farzin YH. 1992. The time path of scarcity rent in the theory of exhaustible resources. Economic Journal 102(413): 813-830.
    • (1992) Economic Journal , vol.102 , Issue.413 , pp. 813-830
    • Farzin, Y.H.1
  • 19
    • 84930611675 scopus 로고    scopus 로고
    • Testing for sufficient information in structural VARs.
    • Unitat de Fonaments de l'Analisi Economica (UAB) and Institut d'Analisi Economica (CSIC).
    • Forni M, Gambetti L. 2011. Testing for sufficient information in structural VARs. UFAE and IAE working papers, Unitat de Fonaments de l'Analisi Economica (UAB) and Institut d'Analisi Economica (CSIC).
    • (2011) UFAE and IAE working papers
    • Forni, M.1    Gambetti, L.2
  • 20
    • 74149090687 scopus 로고    scopus 로고
    • Opening the black box: structural factor models with large cross sections
    • Forni M, Giannone D, Lippi M, Reichlin L. 2009. Opening the black box: structural factor models with large cross sections. Econometric Theory 25(5): 1319-1347.
    • (2009) Econometric Theory , vol.25 , Issue.5 , pp. 1319-1347
    • Forni, M.1    Giannone, D.2    Lippi, M.3    Reichlin, L.4
  • 21
    • 84954648682 scopus 로고
    • Expectations and commodity price dynamics: the overshooting model
    • Frankel JA. 1986. Expectations and commodity price dynamics: the overshooting model. American Journal of Agricultural Economics 68(2): 344-348.
    • (1986) American Journal of Agricultural Economics , vol.68 , Issue.2 , pp. 344-348
    • Frankel, J.A.1
  • 22
    • 59149105120 scopus 로고    scopus 로고
    • The effect of monetary policy on real commodity prices, Asset Prices and Monetary Policy
    • 291-233
    • Frankel JA. 2008. The effect of monetary policy on real commodity prices, Asset Prices and Monetary Policy, 291-233.
    • (2008)
    • Frankel, J.A.1
  • 23
    • 79957475875 scopus 로고    scopus 로고
    • Determinants of agricultural and mineral commodity prices
    • Fry R, Callum J, Kent C (eds), RBA annual conference volume. Reserve Bank of Australia: Sydney
    • Frankel J, Rose A. 2010. Determinants of agricultural and mineral commodity prices. In Inflation in an Era of Relative Price Shocks, Fry R, Callum J, Kent C (eds), RBA annual conference volume. Reserve Bank of Australia: Sydney; 51-51.
    • (2010) Inflation in an Era of Relative Price Shocks , pp. 51-51
    • Frankel, J.1    Rose, A.2
  • 24
    • 33847339744 scopus 로고    scopus 로고
    • Multivariate out-of-sample tests for Granger causality
    • Gelper S, Croux C. 2007. Multivariate out-of-sample tests for Granger causality. Computational Statistics and Data Analysis 51(7): 3319-3329.
    • (2007) Computational Statistics and Data Analysis , vol.51 , Issue.7 , pp. 3319-3329
    • Gelper, S.1    Croux, C.2
  • 26
    • 34250741770 scopus 로고    scopus 로고
    • Does information help recovering structural shocks from past observations?
    • Giannone D, Reichlin L. 2006. Does information help recovering structural shocks from past observations? Journal of the European Economic Association 4(2-3): 455-465.
    • (2006) Journal of the European Economic Association , vol.4 , Issue.2-3 , pp. 455-465
    • Giannone, D.1    Reichlin, L.2
  • 27
    • 21244451040 scopus 로고    scopus 로고
    • Monetary policy in real time
    • Gertler M, Rogoff K (eds). NBER Chapters, National Bureau of Economic Research: Cambridge, MA;
    • Giannone G, Reichlin L, Sala L. 2005. Monetary policy in real time. In NBER Macroeconomics Annual 2004, vol. 19. Gertler M, Rogoff K (eds). NBER Chapters, National Bureau of Economic Research: Cambridge, MA;
    • (2005) NBER Macroeconomics Annual 2004 , vol.19
    • Giannone, G.1    Reichlin, L.2    Sala, L.3
  • 28
  • 29
    • 49649107065 scopus 로고    scopus 로고
    • Price volatility, liquidity provision, and the role of hedge funds in energy futures markets
    • Haigh M, Hranaiova J, Overdahl J. 2007. Price volatility, liquidity provision, and the role of hedge funds in energy futures markets. Journal of Alternative Investments 9(2): 10-38.
    • (2007) Journal of Alternative Investments , vol.9 , Issue.2 , pp. 10-38
    • Haigh, M.1    Hranaiova, J.2    Overdahl, J.3
  • 30
    • 0002115055 scopus 로고
    • Historical causes of postwar oil shocks and recessions
    • Hamilton JD. 1985. Historical causes of postwar oil shocks and recessions. Energy Journal 6(1): 97-116.
    • (1985) Energy Journal , vol.6 , Issue.1 , pp. 97-116
    • Hamilton, J.D.1
  • 31
    • 0347985218 scopus 로고    scopus 로고
    • What is an oil shock?
    • Hamilton JD. 2003. What is an oil shock? Journal of Econometrics 113(2): 363-398.
    • (2003) Journal of Econometrics , vol.113 , Issue.2 , pp. 363-398
    • Hamilton, J.D.1
  • 32
    • 70349263367 scopus 로고    scopus 로고
    • Causes and consequences of the oil shock of 2007-08
    • Hamilton JD. 2009a. Causes and consequences of the oil shock of 2007-08. Brookings Paper on Economic Activity Spring 40(1): 215-261.
    • (2009) Brookings Paper on Economic Activity Spring , vol.40 , Issue.1 , pp. 215-261
    • Hamilton, J.D.1
  • 33
    • 70349904040 scopus 로고    scopus 로고
    • Understanding crude oil prices
    • Hamilton JD. 2009b. Understanding crude oil prices. Energy Journal 30(2): 179-206.
    • (2009) Energy Journal , vol.30 , Issue.2 , pp. 179-206
    • Hamilton, J.D.1
  • 35
    • 0003236002 scopus 로고
    • Two difficulties in interpreting vector autoregressions
    • Hansen LP, Sargent TJ (eds). Westview Press: Boulder, CO
    • Hansen LP, Sargent TJ. 1991. Two difficulties in interpreting vector autoregressions. In Rational Expectations Econometrics, Hansen LP, Sargent TJ (eds). Westview Press: Boulder, CO; 77-120.
    • (1991) Rational Expectations Econometrics , pp. 77-120
    • Hansen, L.P.1    Sargent, T.J.2
  • 36
    • 0000500321 scopus 로고
    • The economics of exhaustible resources
    • Hotelling H. 1931. The economics of exhaustible resources. Journal of Political Economy 39(2): 137-175.
    • (1931) Journal of Political Economy , vol.39 , Issue.2 , pp. 137-175
    • Hotelling, H.1
  • 37
    • 79953312562 scopus 로고    scopus 로고
    • The impact of index and swap funds on commodity futures markets: preliminary results.
    • OECD Publishing.
    • Irwin SH, Sanders DR. 2010. The impact of index and swap funds on commodity futures markets: preliminary results. OECD Food, Agriculture and Fisheries working paper, OECD Publishing.
    • (2010) OECD Food, Agriculture and Fisheries working paper
    • Irwin, S.H.1    Sanders, D.R.2
  • 38
    • 74149084773 scopus 로고    scopus 로고
    • Bubbles in prices of exhaustible resources.
    • National Bureau of Economic Research.
    • Jovanovic B. 2007. Bubbles in prices of exhaustible resources. NBER Working Paper 13320, National Bureau of Economic Research.
    • (2007) NBER Working Paper 13320
    • Jovanovic, B.1
  • 39
    • 40549119229 scopus 로고    scopus 로고
    • A comparison of the effects of exogenous oil supply shocks on output and inflation in the G7 countries
    • Kilian L. 2008a. A comparison of the effects of exogenous oil supply shocks on output and inflation in the G7 countries. Journal of the European Economic Association 6(1): 78-121.
    • (2008) Journal of the European Economic Association , vol.6 , Issue.1 , pp. 78-121
    • Kilian, L.1
  • 40
    • 40549111870 scopus 로고    scopus 로고
    • Exogenous oil supply shocks: how big are they and how much do they matter for the U.S. economy?
    • Kilian L. 2008b. Exogenous oil supply shocks: how big are they and how much do they matter for the U.S. economy? Review of Economics and Statistics 90(2): 216-240.
    • (2008) Review of Economics and Statistics , vol.90 , Issue.2 , pp. 216-240
    • Kilian, L.1
  • 41
    • 64149131955 scopus 로고    scopus 로고
    • Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market
    • Kilian L. 2009. Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market. American Economic Review 99(3): 1053-1069.
    • (2009) American Economic Review , vol.99 , Issue.3 , pp. 1053-1069
    • Kilian, L.1
  • 42
    • 80053053303 scopus 로고    scopus 로고
    • Oil price shocks, monetary policy and stagflation
    • Fry R, Jones C, Kent C (eds), RBA annual conference volume. Reserve Bank of Australia, Sydney
    • Kilian L. 2010. Oil price shocks, monetary policy and stagflation. In Inflation in an Era of Relative Price Shocks, Fry R, Jones C, Kent C (eds), RBA annual conference volume. Reserve Bank of Australia, Sydney; 9-51.
    • (2010) Inflation in an Era of Relative Price Shocks , pp. 9-51
    • Kilian, L.1
  • 43
    • 84877892152 scopus 로고    scopus 로고
    • Did unexpectedly strong economic growth cause the oil price shock of 2003-2008
    • Kilian L, Hicks B. 2009. Did unexpectedly strong economic growth cause the oil price shock of 2003-2008 Journal of Forecasting 32(5): 385-395.
    • (2009) Journal of Forecasting , vol.32 , Issue.5 , pp. 385-395
    • Kilian, L.1    Hicks, B.2
  • 44
    • 84930611676 scopus 로고    scopus 로고
    • Quantifying the speculative component in the real price of oil: the role of global oil inventories.
    • Kilian L, Lee TK. 2013. Quantifying the speculative component in the real price of oil: the role of global oil inventories. CEPR Discussion Paper 9297.
    • (2013) CEPR Discussion Paper 9297.
    • Kilian, L.1    Lee, T.K.2
  • 45
    • 85039724820 scopus 로고    scopus 로고
    • The role of inventories and speculative trading in the global market for crude oil
    • (forthcoming).
    • Kilian L, Murphy D. 2011. The role of inventories and speculative trading in the global market for crude oil. Journal of Applied Econometrics (forthcoming).
    • (2011) Journal of Applied Econometrics
    • Kilian, L.1    Murphy, D.2
  • 46
    • 84865979528 scopus 로고    scopus 로고
    • Why agnostic sign restrictions are not enough: understanding the dynamics of oil market VAR models
    • Kilian L, Murphy D. 2012. Why agnostic sign restrictions are not enough: understanding the dynamics of oil market VAR models. Journal of the European Economic Association 10(5): 1166-1188.
    • (2012) Journal of the European Economic Association , vol.10 , Issue.5 , pp. 1166-1188
    • Kilian, L.1    Murphy, D.2
  • 47
    • 70350520503 scopus 로고    scopus 로고
    • The impact of oil price shocks on the U.S.stock market
    • Kilian L, Park C. The impact of oil price shocks on the U.S.stock market. International Economic Review 2009. 50(4): 1267-1287.
    • (2009) International Economic Review , vol.50 , Issue.4 , pp. 1267-1287
    • Kilian, L.1    Park, C.2
  • 48
    • 0000318562 scopus 로고
    • The dynamic effects of aggregate demand and supply disturbances: comment
    • Lippi M, Reichlin L. 1993. The dynamic effects of aggregate demand and supply disturbances: comment. American Economic Review 83(3): 644-652.
    • (1993) American Economic Review , vol.83 , Issue.3 , pp. 644-652
    • Lippi, M.1    Reichlin, L.2
  • 49
    • 38149147119 scopus 로고
    • VAR analysis, nonfundamental representations, Blaschke matrices
    • Lippi M, Reichlin L. 1994. VAR analysis, nonfundamental representations, Blaschke matrices. Journal of Econometrics 63(1): 307-325.
    • (1994) Journal of Econometrics , vol.63 , Issue.1 , pp. 307-325
    • Lippi, M.1    Reichlin, L.2
  • 51
    • 84930611678 scopus 로고    scopus 로고
    • Monetary policy and the housing market: a structural factor analysis.
    • Université Libre de Bruxelles.
    • Luciani M. 2012. Monetary policy and the housing market: a structural factor analysis. Working Papers ECARES 2012-035, Université Libre de Bruxelles.
    • (2012) Working Papers ECARES 2012-035
    • Luciani, M.1
  • 52
    • 55349083063 scopus 로고    scopus 로고
    • Testimony of Michael W.Masters, Managing Member/Portfolio Manager, Masters Capital Management, LLC.
    • Available at: [Accessed on 13 December 2013].
    • Masters MW. 2008. Testimony of Michael W.Masters, Managing Member/Portfolio Manager, Masters Capital Management, LLC. Testimony before the US Senate Committee on Homeland Security and Governmental Affairs. Available at: hsgac.senate.gov/public/_files/052008Masters.pdf [Accessed on 13 December 2013].
    • (2008) Testimony before the US Senate Committee on Homeland Security and Governmental Affairs.
    • Masters, M.W.1
  • 54
  • 55
    • 84864811586 scopus 로고    scopus 로고
    • Cross-country differences in the effects of oil shocks
    • Peersman G, Van Robays I. 2012. Cross-country differences in the effects of oil shocks. Energy Economics 34(5): 1532-1547.
    • (2012) Energy Economics , vol.34 , Issue.5 , pp. 1532-1547
    • Peersman, G.1    Van Robays, I.2
  • 56
    • 0001295096 scopus 로고
    • The optimal exploration and production of nonrenewable resources
    • Pindyck RS. 1978. The optimal exploration and production of nonrenewable resources. Journal of Political Economy 86(5): 841-861.
    • (1978) Journal of Political Economy , vol.86 , Issue.5 , pp. 841-861
    • Pindyck, R.S.1
  • 57
    • 0001256372 scopus 로고
    • The excess co-movement of commodity prices
    • Pindyck RS, Rotemberg JJ. 1990. The excess co-movement of commodity prices. Economic Journal 100(403): 1173-1189.
    • (1990) Economic Journal , vol.100 , Issue.403 , pp. 1173-1189
    • Pindyck, R.S.1    Rotemberg, J.J.2
  • 58
    • 77950123253 scopus 로고    scopus 로고
    • Structural vector autoregressions: theory of identification and algorithms for inference
    • Rubio-Ramirez JF, Waggoner DF, Zha T. 2010. Structural vector autoregressions: theory of identification and algorithms for inference. Review of Economic Studies 77(2): 665-696.
    • (2010) Review of Economic Studies , vol.77 , Issue.2 , pp. 665-696
    • Rubio-Ramirez, J.F.1    Waggoner, D.F.2    Zha, T.3
  • 59
    • 80052195124 scopus 로고    scopus 로고
    • Investor flows and the 2008 boom/bust in oil prices.
    • Singleton KJ. 2011. Investor flows and the 2008 boom/bust in oil prices. Working paper.
    • (2011) Working paper.
    • Singleton, K.J.1
  • 62
    • 84871180913 scopus 로고    scopus 로고
    • Index investment and financialization of commodities
    • Tang K, Xiong W. 2012. Index investment and financialization of commodities. Financial Analysts Journal 68(6): 54-74.
    • (2012) Financial Analysts Journal , vol.68 , Issue.6 , pp. 54-74
    • Tang, K.1    Xiong, W.2
  • 63
    • 15844368307 scopus 로고    scopus 로고
    • What are the effects of monetary policy on output? Results from an agnostic identification procedure
    • Uhlig H. 2005. What are the effects of monetary policy on output? Results from an agnostic identification procedure. Journal of Monetary Economics 52(2): 381-419.
    • (2005) Journal of Monetary Economics , vol.52 , Issue.2 , pp. 381-419
    • Uhlig, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.