The shale revolution and shifting crude dynamics
Bibliographic Data
| ID | 21653368 |
|---|---|
| Authors | Malick Sy (School of Economics, Finance and Marketing College of Business, RMIT University Melbourne Victoria Australia), Malick O Sy (MIT University), Liuren Wu (0000-0001-7222-2102, Zicklin School of Business, Baruch College The City University of New York New York USA, corresponding author) |
| Year | 2020 |
| Volume | 35 |
| Issue | 2 |
| Pages | 160-175 |
| Publication date | 2020-03-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Journal of Applied Econometrics (JOURNAL) |
| Journal identifiers | ISSN: 1099-1255 • E-ISSN: 0883-7252 |
| Publisher | Wiley (PUBLISHER • GB) |
| DOI | 10.1002/jae.2745 |
| OpenAlex | W3121337979 |
| Language | EN |
| References cited | 28 |
Oil price fluctuates in response to both demand and supply shocks. This paper proposes a new methodology that allows for timely identification of the shifting contribution from the two types of shock through a joint analysis of crude futures options and stock index options. Historical analysis shows that crude oil price movements are dominated by supply shocks from 2004 to 2008, but demand shocks have become much more dominant since then. The large demand shock following the 2008 financial crisis contributes to the start of this dynamics shift, whereas the subsequent shale revolution has fundamentally altered the crude supply behavior
Crude oil · Demand shock · Econometrics · Economics · Financial crisis · Financial economics · Futures contract · Futures market · Macroeconomics · Oil shale · Oil supply · Petroleum engineering · Shale oil · Supply and demand · Supply shock · Vector autoregression · Global Energy and Sustainability Research · Market Dynamics and Volatility · Monetary Policy and Economic Impact · Geology
| Highly cited | No |
|---|