What Do We Learn from the Price of Crude Oil Futures

By Ron Alquist, Lutz Kilian. 2010

733 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/a5415652b584e8c2b150745a9e97fada3158717d

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Citations in the corpus

The Role of Speculation in Oil Markets: What Have We Learned So Far? (2013, background): “As shown in Alquist and Kilian (2007), Bu¨yu¨ks¸ahin et al. (2009), and Fattouh (2010a), starting in about 2003 there was an inﬂux of investors from outside the oil industry into oil futures markets and other commodity futures markets.”
Oil price shocks and stock market returns: New evidence from the United States and China (2014, background): “…to the increased participation of hedge funds, has created an increased correlation between oil prices and stock returns (Fattouh et al., 2013; Hamilton and Wu, 2012; Tang and Xiong, 2012; Buyuksahin and Robe, 2011; Alquist and Kilian, 2010; Buyuksahin et al., 2010; Silvennoinen and Thorp, 2010).”
Forecasting the Price of Oil (2010, neutral): “The evaluation period is 1975.2-2009.12.”
Effects of speculation and interest rates in a “carry trade” model of commodity prices (2013, neutral): “(E.g., Calvo, 2008.) any large recent increase in storage capacity.”
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).”
Influential factors in crude oil price forecasting (2017, background): “Alquist and Kilian (2010) document that oil futures prices tend to be less accurate in the mean-squared prediction error sense than a simple no-change forecast (which posit that oil prices will be the same tomorrow as they are today).”
Commodity Prices, Convenience Yields, and Inflation (2013, methodology): “The fourth model is an IMA(1,1) model of pt+1 whose h-period forecasts are obtained by aggregating the one-period forecast over h periods.”
Real-Time Forecasts of the Real Price of Oil (2012, methodology): “18 futures markets for crude oil are linked by an arbitrage condition (see Alquist and Kilian 2010). Thus, any speculation taking place in the oil futures market implies a shift in inventory demand in the spot market by construction. This fact allows us to abstract from the oil futures market altoge”
Do Financial Investors Destabilize the Oil Price? (2011, background): “This linkage between the spot and the futures market for oil is commonly represented by a no-arbitrage condition (Pindyck 1993, Alquist and Kilian 2010).”
Exchange Rates and Commodity Prices : Measuring Causality at Multiple Horizons (2015, background): “4For work on forecasting commodity prices (especially energy prices), see also Schwartz (1997), Schwartz and Smith (2000), Pindyck (2001), Hamilton (2009), Alquist and Kilian (2010), Reeve and Vigfusson (2011), Bernard, Dufour, Khalaf and Kichian (2012), Baumeister and Kilian (2012), Baumeister and ”
Explaining Fluctuations in Gasoline Prices: A Joint Model of the Global Crude Oil Market and the U.S. Retail Gasoline Market (2010, methodology): “If this explanation were correct, one would have expected a noticeable increase in above-ground crude oil inventories, when an increasing number of speculators entered the oil futures markets after 2003 (see Alquist and Kilian 2009 ).”
Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003–2008? (2013, background): “, Alquist and Kilian 2010; Kilian 2008; Kilian 2010; Kilian and Park 2009; Kilian, Rebucci and Spatafora 2009). 2 See, e.g., Considine (2006); Kilian (2009a,b); Hamilton (2009a,b); Smith (2009).”