文章基本信息

标题：Do financial investors destabilize the oil price?
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作者：Marco J. Lombardi ; Ine Van Robays
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2011
出版社：European Central Bank
摘要：In this paper, we assess whether and to what extent nancial activity in the oil futures markets has contributed to destabilize oil prices in recent years. We dene a destabilizing nancial shock as a shift in oil prices that is not related to current and expected fundamentals, and thereby distorts e¢ cient pricing in the oil market. Using a structural VAR model identied with sign restrictions, we disentangle this non-fundamental nancial shock from fundamental shocks to oil supply and demand to determine their relative importance. We nd that nancial investors in the futures market can destabilize oil spot prices, although only in the short run. Moreover, nancial activity appears to have exacerbated the volatility in the oil market over the past decade, particularly in 2007-2008. However, shocks to oil demand and supply remain the main drivers of oil price swings.
关键词：Oil price; Speculation; Structural VAR; Sign restrictions.