Previous sharp oil price declines have
been accompanied by elevated ex post volatility. In
contrast, volatility was much less elevated during the oil
price crash in 2014/15. This paper provides evidence that
oil prices declined in a relatively measured manner during
2014/15, with dispersion of price changes that was
considerably smaller than comparable oil price declines.
This finding is robust to nonparametric and GARCH measures
of volatility. Further, the U.S. dollar appreciation exerted
a strong influence on volatility during the recent crash; in
contrast, the impact of shocks on equity markets was muted.
Bibliographic Details
Main Authors: |
Kshirsagar, Varun,
Baffes, John |
Format: | Working Paper
biblioteca
|
Language: | English en_US |
Published: |
World Bank, Washington, DC
2015-09
|
Subjects: | EQUITY,
FEDERAL RESERVE,
STANDARD DEVIATION,
GOOD,
OIL PRICE,
CHECKS,
MEASURES OF VOLATILITY,
VOLATILITY,
OIL PRICES,
FUTURES,
NEGATIVE EQUITY,
FINANCIAL CRISIS,
VALUE,
RETURNS,
EXCHANGE,
OPTION,
PRICE SUPPORT,
EXCHANGES,
EQUITY MARKET,
PRICE LEVEL,
PRICE CHANGES,
AVERAGE PRICE,
EXCHANGE RATE,
MARKET,
PRICE,
FUTURES EXCHANGES,
EQUITY INDEX,
RESERVE,
TREASURY BILL,
PRICE VOLATILITY,
INTERNATIONAL BANK,
TREASURY,
TRADE,
WORLD EQUITY,
IMPLIED VOLATILITY,
INTERNATIONAL MONETARY FUND,
MARKET EXPECTATIONS,
EQUITY MARKETS,
POLICY RESPONSES,
FINANCIAL STUDIES,
SUPPLY,
CRISIS,
TRADING,
MONETARY FUND,
MARKETS,
SETTLEMENT PRICE,
SETTLEMENT,
COMMODITIES,
PRODUCT,
COMMODITY,
COMMODITY PRICE,
PRICES,
FINANCE,
DOLLAR VALUE, |
Online Access: | http://documents.worldbank.org/curated/en/2015/09/25093894/sources-volatility-during-four-oil-price-crashes
https://hdl.handle.net/10986/22848
|
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