THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL

By Lutz Kilian, Daniel Murphy. 2014

1,368 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/858b375e99bb75d9a6716db6a51f2ca2a0c84ddb

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Renewable Energy, Sustainability and the Environment

Citations in the corpus

Oil price shocks and stock market returns: New evidence from the United States and China (2014, background): “Another plausible explanation of this positive correlation between the oil-market specific shocks and stock market returns can be found in the fact that apart from the uncertainty about the future availability of oil, there is evidence that financial speculation in the oil market has also been drivi”
Do Oil Price Increases Cause Higher Food Prices (2014, positive): “For example, the fully structural VAR approach of McPhail (2011), which in turn builds on Kilian (2010), would be infeasible on data since May 2006.”
Anticipation, Tax Avoidance, and the Price Elasticity of Gasoline Demand (2015, positive): “Moreover, the magnitude of the price elasticity of gasoline demand plays an important role in the debate about speculation in oil markets (see Hamilton 2009; Kilian and Murphy 2014).”
A Model of Financialization of Commodities (2015, positive): “Our results are not out of line with the findings of Kilian and Murphy (2013) that fluctuations in fundamentals are important in explaining the fluctuations in commodity prices, but we also stress a significant contribution of financialization.”
Oil price elasticities and oil price fluctuations (2016, neutral): “19 The estimate of ηS by Kilian and Murphy (2012) has a natural interpretation as an IV regression based on two observations: one baseline observation in which changes in oil prices and changes in oil production are assumed to be zero, and another in which prices rise by 45.”
Monetary Policy Responses to Oil Price Fluctuations (2012, background): “A number of recent studies using a variety of methods have shown that positive foreign oil intensity shocks are one of the key determinants of the surge in the real price of oil between 2003 and mid2008 (see, e.g., Kilian 2009; Kilian and Murphy 2010; Bodenstein and Guerrieri 2011).”
Risk Premia in Crude Oil Futures Prices (2013, background): “…University of Chicago, United States Keywords: Oil prices Speculation Futures risk premium Affine term structure models q Financial Support from the University of Chicag Baumeister, Rob Engle, Lutz Kilian and anonymous participants in the International Conference on Un ticipants at the Bank…”
Diversifying away the Risk of War and Cross-Border Political Crisis (2017, background): “An emerging body of research is showing that events of a political nature may trigger demand-side reactions leading to significant price changes, even in the absence of supply disruptions (see, for instance, Kilian 2009; Alquist and Kilian 2010; Kilian and Murphy, 2013; Kilian and Lee, 2014).”
Informational Frictions and Commodity Markets (2015, positive): “A key feature of the baseline model is that the commodity market is not only a place for market participants to trade the commodity but also a platform to aggregate private information about the strength of the global economy, which ultimately determines the global demand for the commodity.”
Quantitative Effects of the Shale Oil Revolution (2015, positive): “As discussed in the calibration part of the Appendix, the short-run price elasticity of oil demand in the model is = 0.25, consistent with Kilian and Murphy (2014) estimates.”
The Role of Speculation in Oil Markets: What Have We Learned So Far? (2013, background): “This possibility is not likely to be a concern for structural models such Kilian and Murphy (2013), which leave the formation of expectations unspeciﬁed, but it affects the construction of theoretical models of the formation of oil prices.”