Did speculative activities contribute to high crude oil prices during 1993 to 2008? |
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Authors: | Xun Zhang Kin Keung Lai Shouyang Wang |
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Institution: | (1) College of Agriculture & Technology, Arkansas State University, P.O. Box 1080, State University, AR 72467, USA; |
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Abstract: | By applying two nonlinear Granger causality testing methods and rolling window strategy to explore the relationship between
speculative activities and crude oil prices, the unidirectional Granger causality from speculative activities to returns of
crude oil prices during the high price phase is discovered. It is proved that speculative activities did contribute to high
crude oil prices after the Asian financial crisis and OPEC's output cut in 1998. The unidirectional Granger causality from
returns of crude oil prices to speculative activities is significant in general. But after 2000, with the sharp rise in crude
oil prices, this unidirectional Granger causality became a complex nonlinear relationship, which cannot be detected by any
linear Granger causality test. |
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Keywords: | |
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