The problem of modeling oil prices over the last three decades is analyzed. Because of radical changes of regimes on the oil market necessity of studying two periods of time (the 1980’s to the end of 1990’s and the end of 1990’s to 2008) is discussed. Two aggregate models reflecting the...

This paper examines the relationship between spot and futures prices for a broad range of commodities, including energy, precious and base metals, and agricultural commodities. In particular, we examine whether futures prices are (1) an unbiased and/or (2) accurate predictor of subsequent spot...

This paper addresses the question of whether the oil price spike of 2003-2008 was a bubble. We document and discuss what is known about the level of speculation in the paper oil market. We then analyze the dynamics of the term structure of futures prices, both during the earlier period of...

This paper evaluates how different types of speculation affect the volatility of commodities’ futures prices. We adopt four indexes of speculation: Working’s T, the market share of non-commercial traders, the percentage of net long speculators over total open interest in future markets,...

This paper evaluates how different types of speculation affect the volatility of commodities’ futures prices. We adopt four indexes of speculation: Working’s T, the market share of non-commercial traders, the percentage of net long speculators over total open interest in future markets,...

Do events in the natural gas market cause repercussions in the crude oil market? This paper studies linkages between the two markets using high-frequency, intraday oil and gas futures prices. By analyzing the effect of weekly oil and gas inventory announcements on price volatility, we show a...

Le rapport fait le point sur les interactions entre la volatilité des prix du pétrole et les stratégies des acteurs financiers. Il présente également les réflexions et actions en cours au niveau international pour améliorer le fonctionnement des marchés pétroliers. Et au final, il...

This paper analyses the dynamic influence of macroeconomic factors on oil commodity returns (crude oil and heating oil) shown in monthly data over the period of 1990–2013. Using a time-varying parameter model via the Kalman filter, we find that macroeconomic factors are relevant for explaining...

This paper shows that extreme energy price changes, located in the 10% tails of the distribution, cluster across energy futures markets during the boom–bust cycle of 2006 to 2012. Using multinominal logit regressions, we find that the coincidence of such tail events cannot be explained solely...

According to the macro-econometric literature, the impact of exogenous oil price shocks on Inflation have greatly increased in the last two decades throughout OECD countries while the persistence of those shocks on long-term inflation, namely core inflation, has dramatically decreased. In the...