Sources of Volatility During Four Oil Price Crashes

10 Pages Posted: 21 Apr 2015

Multiple version iconThere are 2 versions of this paper

Date Written: April 20, 2015


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. We provide evidence that oil prices declined in a relatively measured manner during 2014/15, with the dispersion of price changes that was considerably smaller than comparable oil price declines. This finding is robust to using both descriptive 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 equity market shocks was muted.

Keywords: Crude oil price, volatility, oil price crashes, commodity markets

JEL Classification: Q43, Q47, E39

Suggested Citation

Baffes, John and Kshirsagar, Varun, Sources of Volatility During Four Oil Price Crashes (April 20, 2015). Available at SSRN: or

John Baffes

World Bank ( email )

1818 H Street, N.W.
Washington, DC 20433
United States


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