Crude Oil Price Fluctuations Research Articles

Reflections of Economic Shocks and Price of Crude Oil on Gold Price Volatility within Asian Nations

The focus of this study is to examine the effects of economic shocks along with the crude oil price on gold prices in Asian countries. This study utilizes a regression analysis to measure the relationship between the macroeconomic indicators, crude oil price, and gold price in six selected nations from 1990 until 2022. The validity of the data was diagnostically checked by performing a VIF procedure, autocorrelation test, and normality test on residual, and data were analyzed via EViews software. The analysis showed mixed findings, however, a major variable that positively affects the fluctuation of the gold price is “the crude oil price” and it reflects global economic stability in the six countries. A sudden rise in crude oil prices might trigger conflicts in oil-exporting countries and limit access to material sources. This situation may force investors to move their funds into a safe-haven commodity like gold. The fluctuations in crude oil prices are not only a response to current market conditions but also alarming a lot more fundamental problems in an economy, which include approaching economic recessions, currency devaluation and a major financial crisis. For practical implications, this study suggests that policymakers pay extra attention to this commodity besides other economic indicators like inflation, interest and currency rates, and a GDP rate to ensure a sustainable economic condition. To the best of the authors’ knowledge, this study is the first that examines the economic shocks along with crude oil prices pre-and-post COVID-19 pandemic focusing on a few Asian countries.

Energy price and returns: a threshold heteroscedasticity model approach

ABSTRACT The energy market is characterized by its intricate dynamics, influenced by various factors that result in erratic behavior, making it challenging to model energy price returns and volatility. In energy market, the changes in Brent and West Texas Intermediate (WTI) crude oil price yields and volatility are the focus of great interest and attention. Due to the influence of different periods and some economic factors, the fluctuation of crude oil price shows asymmetric characteristics. For exploring the asymmetric characteristics of energy market, we introduce the application of the threshold double autoregressive (TDAR) model to handle the complexities of energy price returns and volatility. The TDAR model is able to capture nonlinearities and regime shifts in the oil market, making it particularly suitable for understanding the inherent complexities in crude oil price movements. The empirical results implied that TDAR model demonstrates superior performance in capturing the intricate dynamics of crude oil prices compared to traditional asymmetric GARCH-type models, making it a valuable tool for market practitioners and policymakers. Our findings reveal the subtle movements in Brent and WTI prices and offer valuable insights for risk management and investment strategies, which provide an alternative for market practitioners and policymakers.

The Impact of Crude Oil Price Fluctuation on Revenue Generation in the Oil Dependent Economy: Nigeria

This study explores the dynamic relationship between crude oil price volatility and revenue generation in Nigeria over a 41-year period from 1981 to 2021. It encompasses an analysis of key variables, including total revenue (REV), oil price (OPV), oil revenue (ORV), non-oil revenue (NRV), and exchange rate (EXCHR). The study employs the Auto Regressive Distributed Lags (ARDL) model to examine the long-term and short-term impacts of oil price volatility on revenue generation. This study reveals that crude oil price volatility (OPV) failed to exert strong impact on total revenue (REV) in Nigeria in the distance period. Oil revenue (ORV) exhibits a strong and positive influence on total revenue, highlighting its pivotal role in revenue generation. Non-oil revenue (NRV) also significantly contributes to total revenue, emphasizing the importance of diversifying revenue sources. Exchange rate (EXCHR) fluctuations do not significantly predict changes in total revenue. Based on the findings, policy recommendations include diversifying revenue sources, enhancing non-oil revenue collection, effective oil revenue management, promoting economic diversification, strengthening tax infrastructure, and adopting prudent budgeting practices.

The Macroeconomic Impact of Crude Oil Price Fluctuations in Nigeria

The main objective of the study was to determine the way fluctuations in the price of crude oil affected macroeconomic variables in Nigeria from 2000 Q1 to 2022 Q4. The data was analysed in the paper using Structural Vector Autoregressive (SVAR) models. According to the findings, Nigeria's current economic growth has been significantly impacted by lag GDP values. This indicates that economic growth in Nigeria was significantly impacted by one-period lag GDP by 3,791.7 units in the short-run and 7,430.4 units in the long-run. Also in the short-run, the current broad money supply was significantly impacted by both the one-period lag general price level (0.445 units) and the one-quarter lag broad money supply (757.7 units). According to the crude oil price fluctuation model, current crude oil price variations in Nigeria are significantly influenced by one-period lags in general price level (-64.9 units), crude oil price fluctuation (1,114.6 units), and fiscal budget deficits (0.65 units). All of the one-period lagged coefficients of macroeconomic variables, including real GDP, broad money supply, interest rates, general price level, inflation rates, and fiscal budget deficits, had a significant impact on current economic growth and broad money supply, respectively, as demonstrated by the long-run economic growth and broad money supply models. The real GDP's impulse response to fluctuations in crude oil prices fell during the first period, peaked during the second, and then increased to show a positive trend during the third. This study came to the conclusion that shocks or fluctuations in the price of crude oil are the main cause of macroeconomic policy instability in Nigeria. The study recommended that the government should control foreign exchange rate regimes, pursue expansionary monetary policy, general price level control and stabilisation measures.

Economic activities, dry bulk freight, and economic policy uncertainties as drivers of oil prices: A tail-behaviour time-varying causality perspective

This paper examines the dynamic impact of economic activity, Baltic dry bulk and economic policy uncertainty on oil prices. Drawing on demand-side economic theory, we focus on how economic activity and economic policy uncertainty drive oil prices and subsequently contribute to the formation of market equilibrium. In this context, we first introduce a unidirectional quantile and time-varying Granger-causality mechanism for the drivers of oil prices. Our novel rolling window quantile Granger causality approach reveals that economic activity drives crude oil price fluctuations and highlights their important role in market imbalances. In particular, economic activity and the Baltic exchange rate index emerge as essential drivers of oil prices, confirming our hypothesis of a demand-side effect. Moreover, our robustness wavelet quantile correlation (WQC) analyses reveal that economic activity promotes oil price fluctuations along both long-term equilibrium trends and short-term dynamics. In contrast, economic policy uncertainty has a dampening effect on oil prices. More broadly, economic activity is positively correlated with the Baltic exchange dry index, highlighting its broader impact on global trade indicators. Moreover, we use a bivariate Quantile on Quantile regression method to identify the equilibrium searches of different thresholds and estimate the robustness of the validity of the WQC findings. Analyzing the quantile and frequency connectedness spillovers, we observe that shocks from economic activity are particularly pronounced in the tail quantiles, reinforcing the demand-side narrative. Overall, the increased risk in extreme tails underscores the increased interaction between economic activity, oil prices and economic policy uncertainties. Our findings have important implications for policymakers and highlight the need for adaptive strategies to manage potential oil price shocks. Thus, by adopting a demand-side perspective, policymakers can better anticipate and respond to oil price fluctuations, promoting more resilient economic policies.

Investigating the impact of credit channels, energy production and oil revenues on agricultural development in sub-Saharan Africa

Development of the agricultural sector can numerously gift the economy by ensuring food security and rural livelihoods, fostering economic growth, reducing poverty, promoting social stability, and achieving sustainable development goals. But agricultural activities especially in Sub-Saharan Africa are faced with numerous challenges like lack of required credits to the farmers, unavailability of needed energy for powering the farm machinery and transportation of farm produce, and fluctuation of crude oil prices which serve as the main source of energy in Sub-Saharan Africa. However, the sequel to these highlighted challenges that face agricultural activities, this study examines the impact of credit channels, energy production, and oil revenue on agricultural development in sub-Saharan Africa using an annual time series covering 21 years (2001–2021) drawn from selected sub-Saharan African countries under study. Using the panel autoregressive distributed lag model (ARDL) as the baseline model and the generalized method of moment (GMM) as the robustness check, we made the following findings. From the ARDL perspective, we found that credit channels have a negative impact on agricultural development. In contrast, energy production and oil revenue have positive and negative significant impacts on the agricultural development of sub-Saharan Africa. Further, results of the Generalized Method of Moment (GMM) revealed that while credit channels have both negative and positive long-run relationships with agricultural development, energy production, and oil revenues have positive and significant long-run relationships with agricultural development in sub-Saharan Africa. The study concludes that credit channels have both negative and positive long-run relationships with agricultural development. In contrast, energy production and oil revenue have negative and significant long-run relationships with agricultural development in sub-Saharan Africa. We recommended effective agricultural credit provision and a mechanized farming system to increase the quality and quantity of food supplies in sub-Saharan Africa.

Oil price volatility and changes in corporate debt: An empirical study in the Indian landscape

Changes in crude oil prices affect corporate debt position. This study investigates the association between changes in debt and crude oil price volatility in nonfinancial, BG, and SA firms in India. We use financial variables, crude oil prices, and macroeconomics data from 2004 to 2020 for 16,452 firm-years and this study employs unbalanced panel data and utilizes different empirical methodologies, including the generalised method of moments (GMM) estimator, to test the stated hypotheses. The results reveal that the debt position and the crude oil price volatility significantly have different effects on business group (BG) and stand-alone (SA) firms. Crude oil price volatility is positively related to changes in the debt position. The effects of the financial variables also significantly differ for the BG and SA firms. Finally, firms change their debt position in the positive or negative direction based on the fluctuations in crude oil prices. Policy implications have also been provided.

Seeing is believing: Forecasting crude oil price trend from the perspective of images

AbstractIn this paper, we propose a novel imaging method to forecast the daily price data of West Texas Intermediate (WTI) crude oil futures. We use convolutional neural networks (CNNs) for future price trend prediction and obtain higher prediction accuracy than other benchmark forecasting methods. The results show that images can contain more nonlinear information, which is beneficial for energy price forecasting. Nonlinear factors also have a strong influence during drastic fluctuations in crude oil prices. In the robustness tests, we find that the image‐based CNN is the most stable approach and can be applied in various futures forecasting scenarios. In the prediction of low‐frequency models for high‐frequency data, the CNN method still retains considerable predictive power, indicating the possibility of transfer learning of our novel approach. By unleashing the power of the picture, we open up a whole new perspective for forecasting future energy trends.

Time-varying effects of crude oil price fluctuations on tuna fish prices

This research presents an investigation of the time-varying effects of crude oil on the price of three tuna species, namely skipjack, albacore, and yellow fin. The investigation analyses the impact coefficient of oil price fluctuation on tuna species over time with specific phases related to time points when crude oil prices fall, including December 2008 (due to the impact of the Financial Crisis), February 2016 (due to the impact of the US shale oil and gas revolution), and April 2020 (due to the impact of the global COVID-19). The analysis shows that the price of yellow fin and skipjack shows sensitivity to these phased oil price shocks but stays consistent after recovery. This research finds that the relationship between oil price and tuna price depends on specific phases of oil price fluctuations and that global crude oil price shocks could have immediate and short-term impacts on fish markets, especially during a period of financial crisis.

Dynamic Multiscale Relationships Between COVID-19 Sentiment and Extreme Crude Oil Returns: Evidence from Wavelet Coherence Analysis

ABSTRACT This study investigates the dynamic, multi-scale relationship between sentiment related to the COVID-19 pandemic and extreme returns in crude oil. The recently developed COVID-19 indices are employed to gauge pandemic sentiment. Utilizing daily data spanning from January 2020 to December 2021, Granger’s linear and nonlinear causality tests reveal that indices nonlinearly influence extreme fluctuations in West Texas Intermediate and Brent crude oil prices. Interestingly, a reciprocal causation is also identified: extreme crude oil returns significantly affect the indices. Furthermore, the wavelet transform coherence analysis sheds light on the indices’ ability to predict extreme crude oil price volatility across specific time-frequency domains, displaying diverse distributions and lead-lag patterns among the sub-indices. Our study underscores the efficacy of indices in anticipating extreme fluctuations in crude oil values during the COVID-19 pandemic, carrying important implications for investors, scholars, and policymakers.

Do fluctuations in global crude oil prices have an asymmetric effect on oil product pricing in India?

Do fluctuations in global crude oil prices have an asymmetric effect on oil product pricing in India?

Analyzing the Effect of Oil Price Fluctuation on East Africa’s Foreign Exchange Ratevolatility

Oil is one of the major sources of energy in the world today, therefore many sectors of the economy are directly or indirectly dependent on oil as a source of energy. These has made oil price fluctuation to one of the most sort after macroeconomic variable due to its potential effects on the global economy. The primary objective of this paper was to investigate the effects of oil price shocks on foreign exchange rate of the three East African countries using SVAR analysis for the period from 1990 to 2022. Our empirical evidence confirmed that the increase in the price of crude oil in leads to a positive change in foreign exchange to the Dollar, the SVAR estimation confirmed positive significant effect of oil price fluctuation on foreign exchange trends, the results of the IRF pointed out oil price fluctuation positively affect the East Africa’s foreign exchange performance and finally the FEVD of oil price fluctuation on foreign exchange reflected that there exist indirect effects of oil price fluctuation on foreign exchange as well as foreign exchange influencing oil price after the second period. Based on these findings we therefore conclude that crude oil price fluctuations contribute significantly to the foreign exchange variability in the East African countries and hence affecting other sectors of the economy inversely.It is on this ground that we recommend adoption of policies that will reduce this effect on this countries, to start with to reduce the burden the countries should look for alternative locally available source of power that include adoption of Bi-diesel, compressed methane that can be source from sugar cane give the un tapped potential of sugar can in the three countries. In addition, the countries can consider price hedging of oil purchases where the countries enter into contract with their oil supplies for a constant crude oil price over the contract period.

Penerapan Metode Fuzzy Time Series (FTS) Cheng dan Markov-Chain untuk Peramalan Indonesia Crude Oil Price (ICP)

<p>In Indonesia, crude oil plays a significant role in the country’s economy as it serves as a source of income and meets the country's energy needs. Therefore, fluctuations in crude oil prices have a significant impact on the economic activities of the society. Forecasting the price of Indonesian crude oil is thus crucial. The international price of crude oil in Indonesia is known as the Indonesian Crude Oil Price (ICP). One commonly used statistical method for forecasting is the ARIMA method. However, the ARIMA method has certain assumptions that need to be fulfil, and many real-world data cannot meet these assumptions. Hence, forecasting using the Fuzzy Time Series (FTS) method, which does not rely on assumptions, is employed. Some popular FTS methods include the Cheng FTS method and the Markov Chain FTS method. This study implements the Cheng FTS and Markov Chain FTS methods on the ICP data from May 2018 to June 2023 to determine the most appropriate method for forecasting. The analysis results using the Cheng FTS method on the testing data yield a Mean Absolute Percentage Error (MAPE) value of 4,083%, while the Markov Chain FTS method has MAPE value of 4,585%. The Cheng FTS method selected as the appropriate model for forecasting the ICP data since it has a smaller MAPE value. Using the Cheng FTS method, the predicted ICP value for July 2023 is US$72,907 per barrel.</p><p><strong>Keywords</strong><strong>: </strong>ICP; FTS Cheng; FTS Markov Chain; MAPE</p>

Crude Oil Price Fluctuations and Sectorial Returns in Nigeria

The study investigated the impact of crude oil price fluctuations on selected economic sectors in Nigeria from 1986 to 2021. The data for the study, sourced from the Central Bank of Nigeria statistical Bulletin of various volumes, was analysed using Autoregressive Distributed Lag

Do Crude Oil Price Fluctuations Affect the Sectoral Stock Returns: Evidence from India

Crude oil is a vital energy source for industrialised and developing countries. Both investors who trade crude oil derivatives and firms that use oil as raw material for production monitor oil supply and demand. Disruption in the flow of oil in the commodity markets, therefore, leads to oil price volatility that affects major economies worldwide. Often, geopolitical and natural conditions could adversely impact the oil price and the financial markets react to such fluctuations in oil prices. This paper analyses the effects of oil price changes on sectorial stock returns in India. Using daily returns of S&P BSE Sensex, S&P BSE Oil & Gas and S&P BSE-Auto sectoral indices from January 2000 to March 2020, we examined the impact of Brent crude oil price fluctuations on the two major sectorial stock indices and overall market index. The results of the Granger causality test show significant results on S&P BSE-Sensex and S&P BSE-Oil and Gas Index Returns except S&P BSE-Auto Index Returns. Further for contemporaneous association between the oil price changes and sectorial returns, we operationalised the simple regression analysis. The results from the regression analysis show statistically significant impact of crude oil price fluctuations on the sectorial returns.

Vulnerability of the Agricultural Commodity Markets in Ghana to Global Oil Price Fluctuations: An Empirical Analysis

Despite the advocacy for climate change goals and encouragement for renewables, crude oil continues to dominate the energy markets. Crude oil price, however, is prone to global price fluctuations. Analyses of these effects on agricultural commodity markets in Ghana is neglected which this study seeks to answer. A nonlinear approach (NARDL) is employed in evaluating the effects of global oil price fluctuation on Ghana’s agricultural commodity market vulnerability, proxied by their producer prices. Different indicators are used since crude price fluctuations might have varying impacts on macroeconomic indicators in both magnitude and signs. Quarterly time series data are sourced from different institutions including data from the Bank of Ghana, FAO, and British Petroleum Statistical Review spanning from 1980: Q1 to 2019: Q4. Empirical results indicate that crude oil price fluctuations have different signs and magnitude for agricultural food commodities prices for both short- and long-runs. The findings of the study bring to bear how the agricultural activities in Ghana respond to variability in global crude oil prices. Policies mitigating changes in prices of animal products ought to be grounded on other issues instead of changes in crude oil prices. Also, programs such as “Planting for Food and Jobs” must be implemented in effectively. JEL Classification: Q02; C32; E31; H23

Analisis Dampak Kenaikan BBM Terhadap Biaya Transportasi Perdagangan Internasional

The increase in the price of Fuel Oil (BBM) has significant implications for transportation costs in the context of international trade. This research aims to conduct a comprehensive analysis of the impact of BBM price hikes on transportation costs and their implications for the dynamics of global trade. The research methodology employed involves a qualitative approach to gain comprehensive insights. A literature review identifies the complex relationship between fluctuations in crude oil prices, BBM subsidy policies, and the transportation costs of international trade. Focusing on companies, this research explores perspectives and experiences from various stakeholders. Data analysis involves selecting samples from companies and fuel users with significant transportation costs exposure. Statistical data, including BBM prices, transportation costs, and trade volumes, are analyzed using descriptive statistical methods and regression analysis to identify relationships between variables. The research findings are expected to provide a profound understanding of the impact of BBM price increases on transportation costs and offer guidance for businesses and government policies. The implications of this analysis can assist in formulating effective adaptation strategies to address the challenges of fluctuating BBM prices, thereby enhancing a country's economic competitiveness in international trade. This research is anticipated to contribute to scholarly literature and provide practical insights for stakeholders involved in international trade.

Oil Price Fluctuation And Exchange Rate In Nigeria: Is There A Volatility Transmission Effect

Over the period 1980-2022, we examined the transmission effect of oil prices on Nigeria's exchange rate. E-GARCH (Exponential GARCH) model is employed in this study. We used Augmented Dickey Fuller to determine a unit root, integrating exchange rates, crude oil prices, external reserves, GDP, inflation, and interest rates to one I(1) and zero I(0). We used Johansen Co-integration to determine long-term relationships. Interest rates, inflation, and crude oil prices all correlated positively with each other. A statistically insignificant result is shown by the variance equation, indicating there is no correlation between crude oil prices and exchange rates. The Nigerian exchange rate is not affected by volatility transmission or leverage due to fluctuations in crude oil prices. According to the study, governments should take monetary policy measures to stabilize exchange rates during unpredictable oil price fluctuations. It is necessary to adjust the naira exchange rate when oil prices fluctuate.

Asymmetric Effects of World Energy Prices on Inflation in Indonesia

This study analyzes the asymmetric effect of changes in world energy prices, which include crude oil, natural gas, and coal prices, and the exchange rate on consumer price index (CPI) inflation in Indonesia. The models used in the analysis are quantile regression and dynamic ordinary least squares. The period studied is monthly in the period 2001M01 - 2022M12. The study results show that world crude oil prices have asymmetrically positive effects on CPI inflation when world oil prices increase and decrease. The fall in the price of crude oil has a more significant effect than the increase. The asymmetric impact of world crude oil prices on CPI inflation was also found between lower and middle quantiles. However, the short-run impact of rising crude oil prices is only found in the 7th quartile. So, the long-run effect is more dominant than the short-run effect. The role of the fuel subsidy policy, which the government manages, is beneficial in reducing inflationary fluctuations originating from fluctuations in world crude oil prices. Efforts to develop oil refineries in Indonesia that need to be done to reduce imports of crude oil and fuel are expected to be able to reduce the impact of world oil price fluctuations on domestic inflation in the future.

Interpreting the effect of global economic risks on crude oil market: A supply-demand perspective

Fluctuations in crude oil prices are widely considered to reflect changes in global economic conditions. However, recent extreme events such as the COVID-19 outbreak and the Russia-Ukraine conflict have severely weakened global economic conditions, which awakens our renewed attention to the crude oil market. Can crude oil price fluctuations still reflect global economic conditions? Different from previous studies, we aim to interpret this question by focusing on the supply-demand shocks and investigating the influencing mechanism from a dynamic perspective. First, we simply count the number and location of months when supply-demand shocks and economic conditions simultaneously changed. Results show that the response of supply-demand shocks to economic conditions may change over time. Second, the time-varying detection shows that the significant impacts of economic conditions on different shocks exist in different periods. Finally, tests based on spectral density suggest that economic conditions only have medium-term effects on supply shocks but can strongly affect demand shocks associated with economic activity in any case. Besides, we fail to provide evidence of the impact of economic conditions on the other two demand shocks. Thus, not all shocks in crude oil prices can reflect changes in global economic conditions.