Sources of Volatility During Four Oil Price Crashes

14 Pages Posted: 20 Apr 2016

Multiple version iconThere are 2 versions of this paper

Date Written: September 28, 2015

Abstract

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. This paper provides evidence that oil prices declined in a relatively measured manner during 2014/15, with dispersion of price changes that was considerably smaller than comparable oil price declines. This finding is robust to nonparametric 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 shocks on equity markets was muted.

Keywords: Commodity Risk Management

Suggested Citation

Baffes, John and Kshirsagar, Varun, Sources of Volatility During Four Oil Price Crashes (September 28, 2015). World Bank Policy Research Working Paper No. 7425. Available at SSRN: https://ssrn.com/abstract=2666810

John Baffes (Contact Author)

World Bank ( email )

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

HOME PAGE: http://econ.worldbank.org/staff/jbaffes

Varun Kshirsagar

Independent ( email )

No Address Available

HOME PAGE: http://www.linkedin.com/in/varunkshirsagar/

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