Disentangling the determinants of real oil prices |
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| Affiliation: | 1. School of Finance, Nanjing Audit University, China;2. School of Economics and Management, Nanjing University of Science and Technology, China;3. Antai College of Economics & Management, Shanghai Jiao Tong University, China;4. Jiangsu key laboratory of financial engineering, Nanjing Audit University, China;1. Edison Trading S.p.A., Milan, Italy;2. Department of Economics, Management and Statistics, University of Milan-Bicocca, Milan, Italy;3. FEEM, Fondazione Eni Enrico Mattei, Milan, Italy;1. University of Milan–Bicocca, Fondazione Eni Enrico Mattei, Milan, Italy;2. University of Pavia, Pavia, Fondazione Eni Enrico Mattei, Milan, Italy;3. Fondazione Eni Enrico Mattei, Milan, Italy;1. School of Finance, Nanjing Audit University, West Yushan Road 86, Pukou District, Nanjing, China;2. School of Economics & Management, Southwest Jiao Tong University, First Section of Northern Second Ring Road, Chengdu, Sichuan Province, China;3. School of Economics and Management, Nanjing University of Science and Technology, XiaoLinwei Street 200, Nanjing, China |
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| Abstract: | In this study, we quantify the impacts of economic fundamentals and derivative market speculation on the real price of crude oil. Using a structural VAR with sign restriction, we determine that oil demand from the US and China, particularly the latter one, plays a crucial role in oil price changes after the year 2000. The contribution of speculation does not exceed 10% of oil price variations in our sample period. |
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