Interpreting the oil risk premium: Do oil price shocks matter?

Alessandro Sbuelz, Daniele Valenti, Matteo Manera

Risultato della ricerca: Contributo in rivistaArticolo in rivistapeer review

1 Citazioni (Scopus)

Abstract

This paper analyzes the link between the economic fundamentals of the global crude oil markets and the oil futures risk premium. The compensation for risk required by speculators in the oil futures market is modelled as part of the endogenous transmission of oil price shocks. The empirical approach is based on a Structural Vector Autoregressive model of the international market for crude oil. The dynamic response functions show a negative relationship between the risk premium and the real price of oil, triggered by shocks to economic fundamentals. Moreover, the expected returns of a long futures investment are largely explained by a specific shock component related to oil speculators and a shift in the global demand for crude oil.
Lingua originaleEnglish
pagine (da-a)1-15
Numero di pagine15
RivistaEnergy Economics
Volume91
DOI
Stato di pubblicazionePubblicato - 2020

Keywords

  • Bayesian SVAR models
  • Crude oil
  • Futures risk premium
  • Oil price speculation

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