We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost …. -- cointegration ; oil market ; futures prices ; price discovery …

This paper analyses the informational efficiency of the WTI crude oil markets using a recently proposed quantitative … measure for market inefficiency. The procedure measures the extent to which observed oil price behaviour deviates from the … varies over time. Second, abrupt increases in inefficiency occur during extreme episodes such as the price downturns …

This paper deals with three aspects of spectacular oil price episodes such as the one witnessed in 2008. First, the … literature is that fundamental factors are the main explanation for the 2007/2008 oil price hike, but that in 1990 …/1991, speculative demand shocks also played a role. Third, it is shown that temporary oil price hikes influence economic decisions that …

raising production. Taking demand and supply adjustments to oil price changes as a whole, we conclude that oil markets …

Using time-varying BVARs, we find that oil price increases caused by oil supply shocks did not affect food commodity … and minerals commodity prices in recent periods, as well as a stronger impact on the own price compared to earlier decades …. This (simultaneous) time variation of commodity price dynamics cannot be explained by the biofuels revolution and is more …

the 1970s and has shaped how many economists think about oil price shocks. In recent years, a large literature on the … economic determinants of oil price fluctuations has emerged. Drawing on this literature, we first provide an overview of the … causes of all major oil price fluctuations between 1973 and 2014. We then discuss why oil price fluctuations remain difficult …

effects via oil price changes for different regions, sectors and oil producers. An intertemporal numerical model of the …

Futures markets are a potentially valuable source of information about price expectations. Exploiting this information … has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the … market expectation of the price of the underlying asset. Although this expectation in principle may be recovered by adjusting …