Disentangling the determinants of real oil prices

作者:Liu, Li; Wang, Yudong*; Wu, Chongfeng; Wu, Wenfeng
来源:Energy Economics, 2016, 56: 363-373.
DOI:10.1016/j.eneco.2016.04.003

摘要

In this study, we quantify the impacts of economic fundamentals and derivative market speculation on the real price of crude oil. Using a structural VAR with sign restriction, we determine that oil demand from the US and China, particularly the latter one, plays a crucial role in oil price changes after the year 2000. The contribution of speculation does not exceed 10% of oil price variations in our sample period.