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- W2943694952 abstract "In this paper we develop a Structural Vector Autoregressive (SVAR) model of the globalmarket for crude oil where the forward-looking expectations of oil traders are inferredfrom the financial markets. Thus, we replace the global proxy for above-ground crude oilinventories with the oil futures-spot spread. The latter is defined as the percent deviationof the oil futures price from the spot price of oil and it represents a measure of theconvenience yield but expressed with an opposite sign. The following model providesan economic interpretation of the residual structural shock, namely the financial marketshock. This is designed to capture an unanticipated change in the benet of holdingcrude oil inventories that is driven by financial incentives. We find evidence that financialmarket shocks have played an important role in explaining the surge of the real price ofoil during the period 2003-2008. We also highlight the main interesting features of fivestructural oil market VAR models and their implied identification structures. In additionwe propose a simple qualitative method to rank different oil market VAR models. Thecomparative analysis offers evidence that the oil futures-spot spread represents a propermeasure to capture the forward-looking expectations of oil traders.%%%%This paper provides an analysis of the link between the global market for crude oil and oilfutures risk premium at the aggregate level. It offers empirical evidence on whether thecompensation for risk required by the speculators depends on the type of the structuralshock of interest. Understanding the response of the risk premium to unexpected changesin the price of oil can be useful to address some research questions, among which: whatis the relationship between crude oil risk premium and unexpected rise in the price of oil?On average, what should speculators expect to receive as a compensation for the risk theyare taking on? This work is based on a Structural Vector Autoregressive (SVAR) modelof the crude oil market. Two main results emerge. First, the impulse response analysisprovides evidence of a negative relationship between the risk premium and the changes inthe price of oil triggered by shocks to economic fundamentals. Second, this analysis showsthat the historical decline of the risk premium can be modelled as a part of endogenouseffect of the oil market driven shocks." @default.
- W2943694952 created "2019-05-09" @default.
- W2943694952 creator A5014639058 @default.
- W2943694952 date "2018-05-10" @default.
- W2943694952 modified "2023-09-26" @default.
- W2943694952 title "ESSAYS ON THE GLOBAL OIL MARKET" @default.
- W2943694952 doi "https://doi.org/10.13130/valenti-daniele_phd2018-05-10" @default.
- W2943694952 hasPublicationYear "2018" @default.
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