Moody Oil - What is Driving the Crude Oil Price?

CERETH Economic Working Paper No. 12/168

39 Pages Posted: 15 Oct 2012 Last revised: 2 Dec 2012

See all articles by Filippo Lechthaler

Filippo Lechthaler

ETH Zürich - CER-ETH - Center of Economic Research at ETH Zurich

Lisa Leinert

ETH Zürich - CER-ETH - Center of Economic Research at ETH Zurich

Date Written: October 15, 2012

Abstract

The unparalleled surge of the crude oil price after 2003 has triggered a heated scientific and public debate about its ultimate causes. Unexpected demand growth particularly from emerging economies appears to be the most prominently supported reason among academics. We study the price dynamics after 2003 in the global crude oil market using a structural VAR model. We account for structural breaks and approximate market expectations using a time series for media sentiment in order to contribute to the existing literature. We find that forward-looking demand activities rather than demand arising from current needs have played an important role for the run-up in the price of crude oil after 2003. We additionally find that emerging economies have not majorly contributed to the price surge.

Keywords: oil price, spot market, futures market, fundamentals, speculation, financialization

JEL Classification: Q43, Q41, C32, D8, E3

Suggested Citation

Lechthaler, Filippo and Leinert, Lisa, Moody Oil - What is Driving the Crude Oil Price? (October 15, 2012). CERETH Economic Working Paper No. 12/168, Available at SSRN: https://ssrn.com/abstract=2161816 or http://dx.doi.org/10.2139/ssrn.2161816

Filippo Lechthaler (Contact Author)

ETH Zürich - CER-ETH - Center of Economic Research at ETH Zurich ( email )

Zürichbergstrasse 18
Zurich, 8092
Switzerland

Lisa Leinert

ETH Zürich - CER-ETH - Center of Economic Research at ETH Zurich ( email )

CER-ETH Center of Economic Research at ETH Zurich
ZUE F7
Zurich, 8092
Switzerland

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
135
Abstract Views
861
Rank
381,795
PlumX Metrics