dc.contributor.author |
Balcilar, Mehmet
|
|
dc.contributor.author |
Ozdemir, Zeynel Abidin
|
|
dc.date.accessioned |
2018-10-18T08:53:18Z |
|
dc.date.issued |
2019-06 |
|
dc.description.abstract |
High price volatility in oil markets creates uncertainty and risk, and increased risk premium may feed back into the prices. This study investigates the dynamic nexus between oil price and its volatility for oil spot and futures markets by means of stochastic volatility in the mean model with time-varying parameters in the conditional mean. The study finds substantial time-variation about the impact of oil price volatility on oil price return in both spot and 1-month to 10-month futures markets. The oil price return volatility has a positive impact on oil price return series over the sample period form the mid-1980s to 2017s except for four very short time periods, which correspond to collapse of OPEC in 1986, invasion of Kuwait in 1990/91, Asian crisis in 1997/2000 and the Global Financial Crisis in 2008. While the oil price return volatility has a positive impact on oil prices, it has limited negative impact on oil prices during periods corresponding to these historical events. Moreover, the findings from this study point out to the existence of a negative and small effect of the lagged oil return series on its volatility for both the spot and futures markets. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.embargo |
2020-06-01 |
|
dc.description.librarian |
hj2018 |
en_ZA |
dc.description.uri |
http://www.elsevier.com/locate/resourpol |
en_ZA |
dc.identifier.citation |
Balcilar, M. & Ozdemir, Z.A. 2019, 'The nexus between the oil price and its volatility risk in a stochastic volatility in the mean model with time-varying parameters', Resources Policy, vol. 61, pp. 572-584. |
en_ZA |
dc.identifier.issn |
0301-4207 (print) |
|
dc.identifier.issn |
1873-7641 (online) |
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dc.identifier.other |
10.1016/j.resourpol.2018.07.001 |
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dc.identifier.uri |
http://hdl.handle.net/2263/66944 |
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dc.language.iso |
en |
en_ZA |
dc.publisher |
Elsevier |
en_ZA |
dc.rights |
© 2018 Elsevier Ltd. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Resources Policy. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Resources Policy, vol. 61, pp. 572-584, 2019. doi : 10.1016/j.resourpol.2018.07.001. |
en_ZA |
dc.subject |
Oil price |
en_ZA |
dc.subject |
Oil price uncertainty |
en_ZA |
dc.subject |
Spot and futures markets |
en_ZA |
dc.subject |
Stochastic volatility |
en_ZA |
dc.subject |
State–space |
en_ZA |
dc.subject |
Commerce |
en_ZA |
dc.subject |
Financial markets |
en_ZA |
dc.subject |
Stochastic models |
en_ZA |
dc.subject |
Stochastic systems |
en_ZA |
dc.subject |
Time varying control systems |
en_ZA |
dc.subject |
Costs |
en_ZA |
dc.subject |
Uncertainty and risks |
en_ZA |
dc.subject |
Time varying parameter |
en_ZA |
dc.subject |
Oil price volatility |
en_ZA |
dc.subject |
Global financial crisis |
en_ZA |
dc.subject |
Conditional means |
en_ZA |
dc.title |
The nexus between the oil price and its volatility risk in a stochastic volatility in the mean model with time-varying parameters |
en_ZA |
dc.type |
Postprint Article |
en_ZA |