Oil prices, speculation, and fundamentals: Interpreting causal relations among spot and futures prices

By Robert K. Kaufmann, B. Ullman. 2009

327 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/b0a4e27685b1b06b1944e7fc569c9d27b3dd7ea2

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In Economics and Econometrics

Citations in the corpus

What has driven oil prices since 2000? A structural change perspective (2011, background): “Moreover, this result also verifies the assumption of Kaufmann and Ullman (2009) who conjectured that the oil market might have undergone structural changes in September 2004.”
Oil price dynamics: A behavioral finance approach with heterogeneous agents (2010, background): “Kaufmann and Ullman (2009) study the causal relation between spot and future markets after 2004 and show that speculators tend to exacerbate price changes that were initially fundamental in nature.”
Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011, background): “Kaufmann and Ullman (2009) explore the role of speculation in the crude oil futures market.”
The role of market fundamentals and speculation in recent price changes for crude oil (2011, background): “The origination for such a break down may be identified by an analysis of the price discovery process for ten crude oil contracts (spot prices for five crude oils and five future price contracts for three crude oils) (Kaufmann and Ullman, 2009).”
Do Financial Investors Destabilize the Oil Price? (2011, background): “…observed in the last few years led many commentators to reexamine the functioning of the price-setting mechanism in the oil market (Khan 2009, Kaufmann and Ullman 2009, Miller and Ratti 2009 and Lombardi and Mannucci 2011).1 The increasing nancialization of the oil futures markets was blamed…”