International Crude Oil Price Research Articles

An examination of the Indian small-cap cycle in relation to the US market

The present study examines the Indian small-cap cycle between April 2011 and March 2022. The ordinary least squares (OLS) estimate shows that investors can benefit from investing in the Nifty Small-Cap 100 index by following a proper exponential moving average strategy. The study findings also highlighted that among macroeconomic factors, ‘term spread’ might influence the Nifty Small-Cap 100 index returns (NIFSC100R). The daily returns of the Russell 2000 index, the relative change in international crude oil prices (RCO), and the relative change in the exchange rate between USD and INR (RUSDINR) show no statistically significant impact on NIFSC100R.

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>

Unveiling the Relationship Between Oil Price and Exchange Rate: New Insight from Time-varying Versus Fixed Coefficient Cointegration

This study provides a brief analysis of time-varying cointegration between the INR–USD bilateral exchange rate and Brent crude oil prices in the post–subprime crisis period. Prior studies established this relationship using the assumption that the long-run relation is intertemporally constant. However, there is much recent evidence demonstrating that this assumption may not be feasible. To address this issue and to go beyond the restrictive time-invariant environment, we employed the time-varying cointegration framework of Bierens and Martins (2010) , which was assessed through orthogonal Chebyshev time polynomials. The result shows that the Rupee was decoupled from oil price shocks in the first two samples. However, the oil price pass-through effect will become stronger in the third and fourth samples. The endogenous structural break test suggests the presence of serious parameter instabilities due to fluctuations in oil prices and the exchange rate over the period under study. This indicates the ability of international crude oil prices to influence domestic economic activities through the exchange rate. Policymakers should consider this factor while making monetary and foreign exchange policies. JEL Codes: E44, G14, G15

Economic Variables as an Early Warning Sign for Monitoring Construction Cost Indices – “An Empirical Study on Egypt”

The construction industry plays a crucial role in any nation's economic growth and prosperity through the implementation of the SDGs. Researchers reveal that the 17 SDGs are directly dependent by 17% and indirectly reliant by 27% on the construction industry's activities. In addition, the construction projects, whatever their type or components, continue for several years, during which many price changes and sharp economic fluctuations occur, whether at the local or international level, reflected in overall economic performance and the construction industry's health, leading to the project's cost changes and a shortage in the allocated budgets. Due to the difficulties this industry faces in reaching these goals, including the Egypt Vision 2030, we chose to look into these effects by using the ENR methodology to develop an explanatory construction cost indices model in Egypt similar to models used in other countries while making appropriate changes for the Egyptian markets. To illustrate the relationship between these selected economic variables and construction costs in Egypt and to act as an early warning sign to quantify, track, and predict the construction cost movements and trends in Egypt's construction sectors through a reliable model. A mixed research methodology consisted of semi-structured interviews with 15 industry experts and an empirical study covering 1990 through 2020 for selected local and international economic variables. We concluded that national and international economic variables significantly impacted as explanatory and predictive variables in Egypt's construction industry's cost indices; these variables are as follows: gross domestic product (GDP), consumer price index (CPI), USD to EGP exchange rate ($), inflation rate, lending rate, money supply, and unemployment rate, as well as international crude oil prices, gold prices, and copper prices. Nevertheless, further investigation is required with more economic variables across various construction industry sectors over various time intervals and different time series statistical and econometric modeling techniques.

On the Time-varying Correlations and Hedging Effectiveness: An Analysis of Crude Oil, Gold, and Stock Market

In this paper, we examine the time-varying conditional correlation between international crude oil and gold prices, along with their volatilities, and Indian stock prices, using the DCC-GARCH model. The results suggest that the relationships between stock/oil, stock/gold, stock/oil volatility, and stock/gold volatility are time-varying. We then use the conditional variance and covariance derived from the DCC-GARCH model to measure the optimal portfolio weight and hedge ratios for stock/oil and stock/gold portfolios. Our findings indicate that, to minimize risk without reducing expected returns, investors should hold 37% and 49% of oil and gold, respectively, in their portfolios, relative to stocks. However, there is wide variation in the hedge ratios over time, suggesting that portfolio managers will need to rebalance portfolios frequently. Finally, we analyze correlation coefficients under various deciles of stock market returns, showing that gold can be used as a hedge against stock market declines. Given India's significant improvement in financial indicators, the results of this study will be useful for portfolio managers, risk managers, policymakers, and researchers.

Does the Russia-Ukraine conflict affect gasoline prices?

Geopolitical risk is an important factor driving the change in energy prices, especially the recent Russia-Ukraine conflict. The gasoline price is essential to national economic development and social stability. How does the Russia-Ukraine conflict affect gasoline prices in various countries? The paper constructs a regression discontinuity (RD) model to analyze the influence of the Russia-Ukraine conflict on gasoline prices to solve this problem. There are some important findings. (1) Gasoline prices in countries with greater than zero external dependence on crude oil are vulnerable to the Russia-Ukraine conflict. (2) The Russia-Ukraine conflict can increase gasoline prices by affecting international crude oil prices. (3) The Russia-Ukraine conflict can increase gasoline prices by affecting inflation rates. Some related policy suggestions are also proposed.

The Impact of the Fed's Interest Rate Adjustment Cycle on the Price of WTI Crude Oil Futures

This article is based on monthly data from January 2016 to January 2022, including the US Federal Funds Rate and WTI crude oil futures price index. A TVP-VAR model is constructed to study the impact of the Federal Reserve's interest rate cycles on WTI crude oil futures prices. The research found a positive correlation between crude oil futures prices and the Federal Reserve's interest rate cycles. That means that when the Federal Reserve raises or lowers the US Federal Funds Rate, it leads to an increase or decrease in crude oil futures prices. Therefore, it is believed that in the current context of global quantitative easing and the sustained rise in international crude oil prices, China should formulate a new energy strategy that matches the high-quality development of the social economy and accelerate the transformation and upgrading of the crude oil industry.

Estimating the effect of international crude oil prices on RMB exchange rate with two-way fluctuation spillover.

International crude oil prices has become one of the important factors that affect exchange rate fluctuation. By combining TVP-VAR model and DY time-varying spillover index, this paper measures the two-way fluctuation spillover effect between international crude oil prices and RMB exchange rate from 2011 to 2022. The research results show that: (1) There are obvious time-varying characteristics among international crude oil prices, onshore RMB exchange rate and offshore RMB exchange rate, and they are strengthened when major events occur at home and abroad; (2) The spillover and absorption level among international crude oil prices, onshore RMB exchange rate and offshore RMB exchange rate is relatively limited; (3) After the "exchange rate reform on August 11", the market participation of RMB exchange rate has increased year by year, and the offshore RMB is mainly net spillover, while the onshore RMB is mainly reflected as a recipient; (4) The offshore RMB exchange rate has a driving effect on the onshore RMB exchange rate. Based on this, it is necessary to orderly promote the development and utilization of new energy, actively promote the market-oriented reform of RMB exchange rate, play the leading role of offshore market, and accelerate the construction of crude oil-RMB settlement system.

Factors Affecting Food Prices in Pakistan

The purpose of the study is to identify the factors affecting food prices in Pakistan. The findings reveal that there is a negative and significant impact of the real effective exchange rate on wheat prices in the long run. Similarly, the real interest rate affects wheat and rice prices indirectly, while it has a direct impact on tea prices. There is a positive and significant impact of international crude oil prices and international food prices on most food commodities. Moreover, the study explains that in the long run, the increase in local production significantly reduces the prices of food commodities. It is also found that the government policy of adjusting (increasing) wheat support prices also has a positive and significant impact on wheat prices.

Effect of Exchange Rate on Domestic Price Level in Nigeria

Nigeria experienced significant depreciation of her currency during the specified period of this study, mainly due to factors such as falling oil prices, external economic conditions such as slowdown in global economic growth, trade tensions which led to capital outflows from emerging markets including markets in Nigeria, tightening of global monetary policy which affected capital flows to these emerging markets, coupled with domestic macroeconomic challenges like concerns over policy consistency, governance issues and security challenges, capital flight and weakened investors’’ confidence. These conditions collectively created an adverse environment for the Nigerian economy, leading to the depreciation of Naira. Consequently, this study set out to achieve the main objective of investigating on a more recent basis, effects of exchange rate on domestic price level in Nigeria. The period covered was from January 2015 through December 2022. The study adopted the Autoregressive Distributed Lag (ARDL) model and the variables included consumer price inflation, nominal exchange rate, import prices, international crude oil prices and real output growth. We found insignificant positive impact of the nominal exchange rate on consumer price inflation in Nigeria. The import prices also proved a significant effect on consumer price inflation in Nigeria. the study recommends that Governments at all levels in the country should encourage and support the innovative ideas of business firms and individuals. This will support local production, hence, there can be substitution of imported goods for domestically produced goods and the exchange rate will be stable.

Gasoline prices, traffic congestion, and carbon emissions

This paper explores the effect of gasoline prices on traffic congestion and carbon emissions. The international crude oil price is used as an instrumental variable for the gasoline price in Chinese cities. Empirical results show that a ten percent increase in gasoline prices significantly decreases traffic congestion in rush hours by 0.87%. In addition to reducing vehicle kilometers traveled, higher gasoline prices also decrease carbon emissions by increasing travel speed and fuel efficiency. A ten percent increase in gasoline prices is found to decrease CO2 emissions by 40.6 million metric tons, accounting for 2.3% of the total CO2 emissions in the transport sector of China in 2016. This paper's estimates offer guidance for gasoline pricing policies, fuel taxes, traffic congestion, and the Dual-Carbon Target.

The dynamic impact mechanism of China's financial conditions on real economy and international crude oil market

As financial conditions become more complex and variable, capturing economic patterns becomes harder. The Financial Conditions Index (FCI) has gained traction as a tool to assess the performance of financial markets in nations or regions. This paragraph has created the China FCI using various financial indicators from 2002 to 2022. And with the use of statistical models like DMA-TVP-FAVAR, mixed-frequency Granger causality test, TVP-SV-VAR, and MS-VAR to analyze the relationship between China's financial condition, real economy, and the crude oil market. Different impacts were observed over time and in response to economic shocks, Results show that the fluctuation of international oil price has a negative impact on our financial condition. Therefore, the government should consider the impact of external shock factors such as international crude oil price when formulating financial policies to prevent financial risks.

Studies of the relationship between international crude oil prices and stock prices of new energy companies and investor sentiment

This paper uses the daily data of the CSI Mainland New Energy Index, WTI crude oil price, and CSI 500 risk premium from January 2019 to September 2022 as samples to explore the interrelationship of the above variables using the Johansen cointegration test, Granger causality test, impulse response, and variance decomposition. The results show that in the short run, international crude oil price and risk premium have a significant effect on the share price of new energy companies; in the long run, global crude oil price cannot affect the share price of new energy companies, as well as international crude oil price and share price of new energy companies have a significant effect on the risk premium.

The Impact of International Oil Price Fluctuations on Chinas Stock Performance of Clean Energy Industry: Under the Russia-Ukraine Conflict

Crude oil is an important component of the global energy market, and its price fluctuations have a huge impact on the economy and the environment. As a large oil consumer, China has a great demand for non-renewable resources such as crude oil. With the sustainable and stable development of China's economy, its dependence on imported crude oil is deepening, and the impact of international crude oil price fluctuations on China's energy industry is also gradually deepening. In addition, with the impact of epidemic, geopolitical, environmental crisis and financial crisis in recent years, the international crude oil price has produced drastic fluctuations, so the study of the relationship between the international crude oil futures price fluctuations and the stock prices of clean energy companies is of great significance for the development of new energy industry and domestic energy security. This paper applies the VAR model to examine the links between Brent crude oil index, WTI crude oil index and Chinas Clean Energy Theme Index (CET), and the ARMA-GARCHX model to investigate the impact of international oil price on Chinas clean energy market after the Russia-Ukraine conflict. The empirical results show that international crude oil price fluctuation has a short-term alternating impact on Chinas clean energy theme index yield and provides useful insights to investors.

The macroeconomic impact of oil price volatility and import volumes

Nowadays, oil is not only a necessary energy for industrial development but also an important strategic resource for the international economy. Previously, many factors led to a sharp rise in international crude oil prices. Therefore, it is of great significance to explore the influence mechanism between oil price fluctuation and the macroeconomy. In this paper, the VAR model is used to quantitatively analyze the dynamic relationship between oil price, China’s GDP, China’s CPI and oil import volume, and the orthogonal impulse response analysis and Granger causality test are carried out.The results show that China’s crude oil import volume is the granger factor of GDP, that is, the early changes in China’s crude oil import can effectively explain the changes in China’s GDP. China’s CPI and GDP show a short-term inverse response, and the change in the data is more dependent on the data of the previous quarter. Given the above problems, this paper proposes that China should attach importance to the long-term stability of oil exploitation, reserves, and oil market, and maintain the stability of the oil trade market by adjusting macroeconomic and gasoline prices when necessary.

TIME SERIES ANALYSIS FOR FORECASTING CRUDE OIL PRICES

Many analysts, policymakers, and researchers have grown increasingly concerned about the fluctuation of international crude oil prices. That is because oil prices reflect many macroeconomic and financial indicators (GDP, unemployment, inflation, S&P 500 Index, Nasdaq Composite Index), and conditions in a variety of financial and goods markets. This paper highlights the most appropriate model for estimating and forecasting West Texas Intermediate (WTI) crude oil monthly prices by comparing three hybrid models – ARMA-GARCH, ARMAEGARCH, and ARMA-FIGARCH. Finally, among these models, the paper considers that the ARMA-EGARCH(1,20) model emerges as the most efficacious model for the prediction of West Texas Intermediate (WTI) crude oil monthly price returns.

Measuring the multi-scale price transmission effects from crude oil to energy stocks: A cascaded view

The extant literature confirms that international crude oil price volatility has a transmission effect on the energy stock market in distinct time-frequency scales. However, the transmission process might spread step by step and lead to direct and indirect impacts, which are defined as cascaded transmission in this paper. To reveal the cascaded transmission effects from crude oil price volatility to the energy stock market at different time-frequency domains, this paper presents a systematic research framework combining the maximal overlap discrete wavelet transform method, BEKK-GARCH model, Diebold-Yilmaz spillover index and the network analysis method. Taking the Chinese energy stock market as an example, the empirical results show that: (1) Crude oil price volatility has different impacts on Chinese energy stocks across the six time scales, with the largest impact in D6. Moreover, crude oil price volatility does not directly affect all energy stocks, but it does indirectly. (2) The proportion of indirect impact as a percentage of total impact ranges from 22.66% to 60.96%. Thus, indirect effects should not be overlooked when analyzing the impact of crude oil price volatility on Chinese energy stock markets. (3) The impact of crude oil on energy stocks varies by industry, and “Energy Mining Equipment and Services” stocks are the most significantly affected in time scales except D3 and D6. This study could provide insights for energy stock market participants with different risk preferences to accurately make decisions under distinct time scales.

Do petrol prices rise faster than they fall? Evidence from the UK retail and wholesale petrol sectors

This study investigates the presence of price asymmetries in the UK retail and wholesale petrol sectors over the period of January 2020–July 2022. The scope of this research is to explore whether petrol prices rise faster than they fall according to changes in input costs, namely fuel and international crude oil prices for the retail and wholesale sector respectively. As the time sample considers the shocks of covid-19 restrictions and rising inflation, the presence of structural breaks is assumed which may contribute to asymmetric behaviour. The Autoregressive Distributive Lag (ARDL) approach is implemented in the pricing equation of the model by formulating four versions for each sector, according to the presence of asymmetries and price-cost margins. The results provide significant evidence of price asymmetries in the retail petrol sector; however, such asymmetries are less pronounced over high margin periods. The wholesale sector is found to be more flexible to changes in crude oil prices as asymmetries are less persistent throughout the sample. Therefore, consumers face rigid petrol prices because of retail firms’ decisions, which should be the focus of policy makers.

Research on the Impact of Crude Oil Price Fluctuation Based on EGARCH Model

At present, the largest commodity futures variety in the global futures market is crude oil futures, which plays a role in price discovery, risk hedging, and stabilizing international crude oil prices. The fluctuation of its price is a key issue that governments, investors, and scholars around the world pay attention to. This paper establishes GARCH model and EGARCH model under three distribution states of t distribution, Normal distribution and GED distribution. Then, through model comparison, it was found that the EGARCH model with t-distribution had the best fitting effect. Finally, the EGARCH model under t distribution is predicted within and outside the sample. It is found that under the impact of the financial crisis in 2008 and the COVID-19 epidemic, the crude oil futures prices fluctuated rapidly and violently, indicating that global International incident have a great impact on crude oil futures prices. The innovation of the research lies in comparing crude oil futures under different distributions based on GARCH and EGARCH models, which depict the characteristics of asymmetry.

Oil Price Volatility, Macroeconomic Policy & Economic Growth

Since oil entered the production and life of mankind, it has profoundly affected and changed the whole world. With the continuous development of society, oil has become one of the indispensable energy sources for modern industrial production and life. At the same time, petroleum, with its special commodity attribute, is closely linked with national strategic interests and is an important strategic material for all countries in the world. The fluctuation of the international oil market and the change in the oil price are pulling the development of the global economy, even contributing to the outbreak of the financial crisis. In this paper, the three major oil crises in history as a starting point, from the nature of oil to seek the international oil price fluctuations, and fluctuations of the theoretical basis to build a new theoretical analysis of international oil price fluctuations path. From the aggregate supply, aggregate demand, and other, specific aspects of the impact of international oil price fluctuations on the macroeconomy. At the same time, an analysis of China and the west monetary policy explores the national currency, monetary policy, and international crude oil price fluctuations between the relationship. Finally, the paper discusses the influence of the fluctuation of international crude oil prices on the national macro-economy, and takes China as an example, drawing the conclusion that the change in oil prices will have many influences on the national macro-economy.