Understanding Crude Oil Prices

By James D. Hamilton. 2008

1,275 citations recorded by the source corpus.

This paper examines the factors responsible for changes in crude oil prices. The paper reviews the statistical behavior of oil prices, relates this to the predictions of theory, and looks in detail at key features of petroleum demand and supply. Topics discussed include the role of commodity speculation, OPEC, and resource depletion. The paper concludes that although scarcity rent made a negligible contribution to the price of oil in 1997, it could now begin to play a role.

View Paper: https://www.semanticscholar.org/paper/6df77a14108282005f725d631efaf81464c90279

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Citations in the corpus

The Financialization of Commodity Markets (2014, background): “…the Hotelling (1931) principle by inducing producers to store the oil in the ground, due to its consumable and exhaustible nature (Hamilton, 2009a; Hamilton, 2009b; Jovanovic, 2013). research must update its practice of categorizing trading by hedgers as hedging and trading by speculators as…”
Is there co-movement of agricultural commodities futures prices and crude oil? (2011, background): “…activity (Adrangi et al., 2001; Berument et al., 2010; Brown and Yücel, 2001; Costantini and Martini, 2010; Fofana et al., 2009; Hamilton, 2009a; Hamilton, 2009b; Hanabusa, 2009; Hsing, 2007; Huang et al., 1996; Jayaraman and Choong, 2009; Jiao and Ma, 2006; Jones et al., 2004; Odusami, 2010;…”
Oil shocks and stock markets: dynamic connectedness under the prism of recent geopolitical and economic unrest (2017, background): “These results are in line with the literature that emphasises the importance of demand–side shocks, as opposed to supply–side shocks (see, among others, Baumeister and Peersman, 2013; Lippi and Nobili, 2012; Hamilton, 2009a,b).”
Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil (2019, unknown): “Hamilton (2008) suggests that the real price of oil follows a random walk without drift.”
Financial Crash, Commodity Prices, and Global Imbalances (2008, unknown): “See Gately and Huntington (2002) and the discussion in Hamilton (2008).”
Biofuel-related price transmission literature: A review (2013, background): “The economics profession's ability to accurately understand and forecast commodity prices has been widely questioned (Deaton, 1999; Hamilton, 2009).”
Public Investment in Resource-Abundant Developing Countries (2012, methodology): “Since the resource commodity in both applications is oil, we assume that the real oil price follows a random walk without a drift (ρpo = 1 in (8)), as estimated by Hamilton (2009) using data from 1970 to 2008.”
The Impact of Monetary Policy Shocks on Commodity Prices (2012, unknown): “(2)Nakov and Pescatori (2010) argue, in line with Kilian (2009), that oil prices should be treated endogenously in dynamic stochastic general equilibrium models as well.”