Did speculative activities contribute to high crude oil prices during 1993 to 2008?

doi:10.1007/s11424-009-9193-3

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	Did speculative activities contribute to high crude oil prices during 1993 to 2008?
	Zhang, Xun1,2 ; Lai, Kin Keung 3; Wang, Shouyang1
刊名	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
	2009-12-01
卷号	22 期号:4 页码:636-646
关键词	Crude oil prices Diks-Panchenko test Hiemstra-Jones test nonlinear Granger causality test speculative activities
ISSN号	1009-6124
DOI	10.1007/s11424-009-9193-3
英文摘要	By applying two nonlinear Granger causality testing methods and rolling window strategy to explore the relationship between speculative activities and crude oil prices, the unidirectional Granger causality from speculative activities to returns of crude oil prices during the high price phase is discovered. It is proved that speculative activities did contribute to high crude oil prices after the Asian financial crisis and OPEC's output cut in 1998. The unidirectional Granger causality from returns of crude oil prices to speculative activities is significant in general. But after 2000, with the sharp rise in crude oil prices, this unidirectional Granger causality became a complex nonlinear relationship, which cannot be detected by any linear Granger causality test.
资助项目	National Natural Science Foundation of China
WOS研究方向	Mathematics
语种	英语
出版者	SPRINGER
WOS记录号	WOS:000272037900009
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/7733]
专题	系统科学研究所
通讯作者	Zhang, Xun
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Chinese Acad Sci, Grad Sch, Beijing 100190, Peoples R China 3.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Zhang, Xun,Lai, Kin Keung,Wang, Shouyang. Did speculative activities contribute to high crude oil prices during 1993 to 2008?[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2009,22(4):636-646.
APA	Zhang, Xun,Lai, Kin Keung,&Wang, Shouyang.(2009).Did speculative activities contribute to high crude oil prices during 1993 to 2008?.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,22(4),636-646.
MLA	Zhang, Xun,et al."Did speculative activities contribute to high crude oil prices during 1993 to 2008?".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 22.4(2009):636-646.