International Crude Oil Price Research Articles

The relationship between energy consumption and economic growth and the development strategy of a low-carbon economy in Kazakhstan

Fossil energy is the material basis of human survival, economic development and social progress. The relationship between energy consumption and economic growth is becoming increasingly close. However, energy consumption is the major source of greenhouse gases, which can significantly affect the balance of the global ecosystem. It has become the common goal of countries worldwide to address climate change, reduce carbon dioxide emissions, and implement sustainable development strategies. In this study, we applied an approximate relationship analysis, a decoupling relationship analysis, and a trend analysis to explore the relationship between energy consumption and economic growth using data from Kazakhstan for the period of 1993–2010. The results demonstrated: (1) the total energy consumption and GDP in Kazakhstan showed a ”U”-type curve from 1993 to 2010. This curve was observed because 1993–1999 was a period during which Kazakhstan transitioned from a republic to an independent country and experienced a difficult transition from a planned to a market economy. Then, the economic system became more stable and the industrial production increased rapidly because of the effective financial, monetary and industrial policy support from 2000 to 2010. (2) The relationships between energy consumption and carbon emissions, economic growth and energy exports were linked; the carbon emissions were mainly derived from energy consumption, and the dependence of economic growth on energy exports gradually increased from 1993 to 2010. Before 2000, the relationship between energy consumption and economic growth was in a recessional decoupling state because of the economic recession. After 2000, this relationship was in strong and weak decoupling states because the international crude oil prices rose and energy exports increased greatly year by year. (3) It is forecasted that Kazakhstan cannot achieve its goal of energy consumption by 2020. Therefore, a low-carbon economy is the best strategic choice to address climate change from a global perspective in Kazakhstan. Thus, we proposed strategies including the improvement of the energy consumption structure, the development of new energy and renewable energy, the use of cleaner production technologies, the adjustment and optimization of the industrial structure, and the expansion of forest areas.

Relationship between International Crude Oil Price and Stock Price in China: Empirical Test Based on MSVAR Model

Based on regime shifts test with MSAR model,The paper estimates the MSVAR model to investigate the interactive relationships between stock market and oil price using monthly data ranging from Jan 1991 to Jul 2014. The results show that the volatilities of both stock market and crude oil price are of regime shifts, and the persistence of low volatility regime is stronger than that of high volatility. The current stock market return is highly and nonlinearly dependent on the historical data. China’s stock market is characteristic of positive feedback. There is unidirectional and asymmetric causality that runs from world oil shock to stock market.

A novel hybrid method for crude oil price forecasting

Forecasting crude oil price is a challenging task. Given the nonlinear and time-varying characteristics of international crude oil prices, we propose a novel hybrid method to forecast crude oil prices. First, we use the ensemble empirical mode decomposition (EEMD) method to decompose international crude oil price into a series of independent intrinsic mode functions (IMFs) and the residual term. Then, the least square support vector machine together with the particle swarm optimization (LSSVM–PSO) method and the generalized autoregressive conditional heteroskedasticity (GARCH) model are developed to forecast the nonlinear and time-varying components of crude oil prices, respectively. Next, the forecasted crude oil prices of each component are summed as the final forecasted results of crude oil prices. The results show that, the newly proposed hybrid method has a strong forecasting capability for crude oil prices, due to its excellent performance in adaptation to the random sample selection, data frequency and structural breaks in samples. Furthermore, the comparison results also indicate that the new method proves superior in forecasting accuracy to those well-recognized methods for crude oil price forecasting.

Evolutionary Neural Network model for West Texas Intermediate crude oil price prediction

This paper proposes an alternative approach based on a genetic algorithm and neural network (GA–NN) for the prediction of the West Texas Intermediate (WTI) crude oil price. Comparative simulation results suggested that the proposed GA–NN approach is better than the baseline algorithms in terms of prediction accuracy and computational efficiency. Mann–Whitney test results indicated that the WTI crude oil price predicted by the proposed GA–NN and the observed price are statistically equal. Further comparison of the proposed GA–NN with previous studies indicated performance improvement over existing results. The proposed model can be useful in the formulation of policies related to international crude oil price estimations, development plans and industrial production.

Relationship between Chinese and International Crude Oil Prices: A VEC-TARCH Approach

Many studies focus on the impact of international crude oil price volatility on various economic variables in China with a hypothesis that international crude oil price affected Chinese crude oil price first and then other economic variables. However, there has been little research to explore whether or not international and Chinese oil market are integrated. This study aims to investigate the relationship between Chinese and international crude oil prices by VAR and VEC-TARCH models. It was found that the two crude oil markets have been integrated gradually. But the impact of external shocks on the Chinese crude oil market was stronger and the Chinese crude oil price was sensitive to changes in international crude oil price, implying that the centrally controlled oil market in China is less capable of coping with external risk. In addition, the volatility of both Chinese and international crude oil prices was mainly transmitted by prior fluctuation forecast and the impact of external shocks was limited, demonstrating that in both cases volatility would disappear rather slowly. Furthermore, Chinese and international crude oil markets have established a stable relationship. When the direction of external shocks on the two variables’ respective stochastic term was consistent, the impact on the two variables’ joint volatility was aggravated and vice versa.

The bubble process of international crude oil futures prices: empirical evidence from the STAR model

Since the 21st century, international crude oil price has continually reached the historical high with significant impact on the socio-economic development across the world. Whether there exists some bubbles in crude oil prices, how do the bubbles evolve over time and how much about the scale have become the focuses in academia and among practitioners. Under this circumstance, we employ the STAR model to analyse the WTI crude oil price bubbles from January 2003 to July 2013 and find that in the past decade, the bubbles always exist in the movement of WTI crude oil prices and with the crash of crude oil prices in the second half of 2008, the bubbles relieved significantly and the prices almost approached to the fundamental values, but with the following global economic recovery, the bubbles have emerged again in the wake of the upsurge of crude oil prices.

Impact of Selected Macroeconomic Variables on Stock Market in India

Purpose of the study: The present study investigates the influence of selected macroeconomic variables in terms of international crude oil price, exchange rates, domestic gold price, real interest rates and wholesale price index on stock market indices (sensex and nifty) of India. Background: Macroeconomic variables directly or indirectly affect the stock prices because it influences strongly the stock returns by affecting the stock prices, which supports the existance of a long-run relationship between the macroeconomic variables and stock prices. Methodology: This study is based on time series monthly data collected from Reserve Bank of India database; BSE and NSE database, investing.com and yahoo, finance database for the period July 1997 to July 2015 with the application of financial econometrics. Results: The empirical results reveal that sensex and nifty reactions to shocks on crude oil prices, exchanges rates, real interest rates and whole prices indices were positive while a negative shock from sensex and nifty to real interest was noticed.

A VAR-SVM model for crude oil price forecasting

In recent years, the complexity and variability of international crude oil price have had an increasingly greater impact on society's economic development. Therefore, the accurate forecasting of crude oil price is helpful to maintain economic stability and avoid risks. This paper analyses the influencing factors, including market factors and non-market factors and then uses the Vector Autoregression (VAR) model to measure the relationship between oil price and those factors. Based on the results of VAR model, we put forward a new model - VAR-SVM, which is based on VAR and Support Vector Machine (SVM). Using VAR-SVM, we can make more accurate prediction of crude oil prices. Genetic Algorithm (GA) is employed to select model parameters. From the empirical results we can see that VAR-SVM model is superiority in accuracy and effectiveness comparing with the other forecasting models, such as VAR model, CGARCH model, Artificial Neural Network (ANN) model and autoregression SVM model.

Retail fuel price adjustment in Germany: A threshold cointegration approach

Consumers in Germany often complain that retail fuel prices usually adjust quickly to crude oil price increases than decreases and characterize this pricing pattern as market power exploitation. In this paper, we use both weekly national and daily city-specific (Berlin, Hamburg, Munich and Cologne) data to investigate the extent to which retail fuel prices in Germany adjust to changes in the international crude oil price. At the national level with weekly prices, we find positive asymmetries for both gasoline and diesel within the period 2003–2007, reflecting that retail prices react more swiftly to crude oil price increases than decreases. In contrast, for 2009–2013, we observe symmetric adjustment and negative asymmetry for retail diesel and gasoline prices, respectively. The city level analysis supports our findings in the latter time period. Thus, regulatory measures aimed at the retail fuel market over recent years seem to have been effective, and, contrary to consumers' perception, we find no evidence for excessive market power or collusion.

What are the Driving Factors behind the Fluctuation of Crude Oil Prices? : An Independent Component Analysis

This study adopted independent component analysis (ICA) to explore the underlying driving factors affect the international crude oil prices. Three original benchmark crude oil spot prices were first preprocessed to become normalized form by centering and whitening. Three independent components were then estimated by Fast-ICA algorithm. We find that the three independent components vary differently in their fluctuation amplitude and indicate clearly different hidden factors consisting of dominant long-term trend, medium-term extreme events influence, as well as frequent short-term irregular events such as weather and speculation. It shows that ICA is a powerful tool in finding out common hidden driving factors of international parallel crude oil prices.

Are unleaded gasoline and diesel price adjustments symmetric? A comparison of the four largest EU retail fuel markets

The purpose of this paper is to examine the nature of price adjustments in the gasoline markets of Germany, France, Italy and Spain. We examine whether crude oil prices are transmitted to the retail gasoline prices in the short and long run and we test the symmetry of price adjustments hypothesis. An Error Correction Model, which accounts for possible asymmetric adjustment behavior, is applied for the estimation of the international crude oil price pass-through and testing of the symmetric/asymmetric nature of the retail fuel price adjustments in these economies. Our results show that rigidities in the transmission process exist but the retail fuel speed of upward/downward price adjustment to equilibrium is considered as symmetric in all four economies analyzed. Thus, our findings on the whole do not provide firm evidence to support the “rockets and feathers” hypothesis that crude oil price increases are passed along to the retail customer more fully than the crude oil price decreases.

GASOLINE PRICES AND ROAD FATALITIES: INTERNATIONAL EVIDENCE

This study utilizes data for 144 countries from 1991 to 2010 to present the first international estimates of the gasoline price elasticity of road fatalities. We instrument each country's gasoline price with that country's oil reserves and the yearly international crude oil price to address potential endogeneity concerns. Our findings suggest that the average reduction in road fatalities resulting from a 10% increase in the gasoline pump price is in the order of 3%–6%. Around 35,000 road deaths per year could be avoided by the removal of global fuel subsidies. (JEL R41, H23, O18, Q43)

Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests

This article explores nonlinear cointegration between international crude oil price and Indian stock market in a multivariate framework for the period January 2, 2003 to July 29, 2011 by threshold cointegration tests which determine the structural breaks endogenously. The tests reject any long-run equilibrium relationship among the variables for the entire data span. In order to get better insight, threshold cointegration tests have been applied on three sub-phases; prior (phase I) and post (phase III) to most volatile phase (phase II) spanning from July 2, 2007 to Dec 29, 2008. The tests suggest existence of cointegration in phase III only. Toda–Yamamoto version of Granger causality tests reveals that movements of international crude oil price have impact on Indian stock market in phases II and III with no feedback effect. The findings also suggest that global crude oil price is exogenously determined.

A compressed sensing based AI learning paradigm for crude oil price forecasting

Due to the complexity of crude oil price series, traditional statistics-based forecasting approach cannot produce a good prediction performance. In order to improve the prediction performance, a novel compressed sensing based learning paradigm is proposed through integrating compressed sensing based denoising (CSD) and certain artificial intelligence (AI), i.e., CSD-AI. In the proposed learning paradigm, CSD is first performed as a preprocessor for the original data of international crude oil price to eliminate the noise, and then a certain powerful AI tool is employed to conduct prediction for the cleaned data. In particular, the process of CSD aims to reduce the level of noise which pollutes the data, and to further enhance the prediction performance of the AI model. For verification purpose, international crude oil price series of West Texas Intermediate (WTI) are taken as sample data. Empirical results demonstrate that the proposed CSD-AI learning paradigm significantly outperforms all other benchmark models including single models without CSD process and hybrid models with other denoising techniques, in terms of level and directional accuracies. Furthermore, in the case of different data samples with different time ranges, the proposed model performs the best, indicating that the proposed CSD-AI learning paradigm is an effective and robust approach in crude oil price prediction.

The Effect of Crude Oil Prices on Inflation and Interest Rates in India: Evidence from DCC-GARCH Model

Understanding the empirical linkage between oil prices and inflation is imperative as all monetary authorities attempt to keep inflation under check. This paper examines the time-varying correlations between crude oil prices and two major macroeconomic variables, inflation and interest rates in India. A dynamic conditional correlation GARCH analysis is applied to study the impact of oil price fluctuations on Indian Economy. Results of DCC-GARCH show that correlation between WPI (Wholesale price index) and international crude oil prices remains positive and close to one for majority of period except during the subprime mortgage crisis of 2007-09 when these two become negatively correlated. The results from DCC-GARCH suggests that global crude oil prices have significant effect on inflation but no direct effect on interest rates. However, results from Granger causality test indicates that oil prices will be able to affect interest rates at appropriate lag levels.

The Rockets and Feathers Phenomenon in China: Evidence from a Gasoline Price Pass-Through Analysis

Based on the long-run equilibrium relationships between international crude oil prices and domestic gasoline prices, we employ an asymmetric error correction model (ECM) with the seemingly unrelated regression (SUR) method, to study the price pass-through of the wholesale gasoline in 20 provincial-level administrative divisions in China during the period between 2009 and 2013. We estimate the speeds, sizes, region differences and asymmetries in the gasoline price adjustment processes. We find that 16 provinces exhibit significant "rockets and feathers" phenomena. In Jiangxi province, where the highest level of asymmetry exists, wholesale prices are on average 13.26 yuan higher in the same week after a one-dollar increase in the price of crude oil, but are still 2.49 yuan higher after a one-dollar decrease. We discuss the identification conditions of our models, the possible theories behind the asymmetries, and their policy implications.

The transmission of fluctuant patterns of the forex burden based on international crude oil prices

For a country that imports crude oil, the forex burden is always fluctuant due to the fluctuation of international crude oil prices and exchange rates over time. The gap discovered between international crude oil prices and the crude oil price based on exchange rates may indicate the fluctuation of the forex burden. There exist different fluctuant patterns in the fluctuation process of the forex burden in different periods. Hence, we proposed an approach combining econometrics and complex network theory to explore the transmission mechanism of these fluctuant patterns. In this study, we defined the forex burden and the fluctuant patterns by normalization, sliding windows of data and econometric models. And then we set the fluctuant patterns as nodes and the transformation between patterns as edges; in this way, the transmission complex network is constructed. The results show that different major fluctuant patterns with different probabilities appear in different scales. The fluctuant patterns transferred into each other conveniently. And the transmission medium can help to identify the transitional periods in the process of the transmission. The contribution of this study to the energy policy decision-making is that the formulations of related policies under different period lengths require different reference standards.

Does China factor matter? An econometric analysis of international crude oil prices

Whether China’s crude oil imports are the culprit of oil price volatility these years has not been quantitatively confirmed. Therefore, this paper empirically investigates the role of China’s crude oil net imports in Brent price changes from October 2005 to November 2013 based on an econometric analysis. The results indicate that, during the sample period, China’s crude oil imports do not significantly affect Brent price changes, no matter in the long run or short run. Therefore, the blame for China’s crude oil imports to cause the dramatic fluctuations of international oil price has no solid evidence. Also, there exists significant uni-directional causality running from the Brent price to China׳s crude oil imports at the 5% level. Besides, the response of the Brent price to China׳s crude oil imports is found positive but slight, and the Brent price responds more significantly to US dollar exchange rate and OECD commercial inventory than to China’s crude oil imports in the short run. Finally, the contribution of China׳s crude oil imports to Brent price movement is about 10%, which is less than that of US dollar exchange rate but larger than that of Indian crude oil imports or OECD commercial inventory.

Research on the Trend of Yen Exchange Rate and International Crude oil Price Fluctuation Affected by Japan’s Earthquake

Purpose: Whether this earthquake would become a turning point of the high oil price and whether it would have big impact on yen exchange rate are two issues to be discussed in this paper. Design/methodology/approach: To analyze deeply the internal relations between changes in yen exchange rate caused by Japan’s earthquake and price fluctuation of international crude oil, this research chooses middle rate of yen exchange rate during the 45 days around Japan’s earthquake and price data of international crude oil to do an empirical study, uses VAR model and HP trend decomposition to estimate the mutual effect of yen exchange rate change and price fluctuation of international crude oil in this period. Findings: It has been found in the empirical study with VAR model and HP filter decomposition model on the yen exchange rate and the international crude oil price fluctuation during 45 days around Japan’s earthquake that: the fluctuation of yen exchange rate around the earthquake is one of the main reasons for the drastic fluctuation of international crude oil price in that period. The fluctuation of international crude oil price directly triggered by yen exchange rate occupies 13.54% of its total variance. There is a long-term interactive relationship between yen exchange rate and international crude oil price. The upward trend of international crude oil price after the earthquake was obvious, while yen exchange rate remained relatively stable after the earthquake. Originality/value: As economic globalization goes deeper, the influence of natural disasters on international financial market and world economy will become more and more obvious. It has a great revelatory meaning to studying further each kind of natural disaster’s impacts on international financial market and world economics.

Separated influence of crude oil prices on regional natural gas import prices

This paper analyses the impact of global economic activity and international crude oil prices on natural gas import prices in three major natural gas markets using the panel cointegration model. It also investigates the shock impacts of the volatility and the increase and decrease of oil prices on regional natural gas import prices. The results show that both global economic activity and international crude oil prices have significant long-term positive effects on regional natural gas import prices. The volatility of international crude oil prices has a negative impact on regional natural gas import prices. The shock impact is weak in North America, lags in Europe and is most significant in Asia, which is mainly determined by different regional policies for price formation. In addition, the response of natural gas import prices to increases and decreases in international crude oil prices shows an asymmetrical mechanism, of which the decrease impact is relatively stronger.