Sources of Volatility during Four Oil Price Crashes

Sources of Volatility during Four Oil Price Crashes

Previous sharp oil price declines have been accompanied by elevated ex post volatility. In contrast, volatility was much less elevated during the oil price crash in 2014/15. This paper provides evidence that oil prices declined in a relatively meas...

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Bibliographic Details
Main Authors: Baffes, John, Kshirsagar, Varun
Format: Working Paper
Language:English
en_US
Published: World Bank, Washington, DC 2015
Subjects:
EQUITY
FEDERAL RESERVE
STANDARD DEVIATION
GOOD
OIL PRICE
CHECKS
MEASURES OF VOLATILITY
VOLATILITY
OIL PRICES
FUTURES
NEGATIVE EQUITY
FINANCIAL CRISIS
VALUE
RETURNS
EXCHANGE
OPTION
PRICE SUPPORT
EXCHANGES
EQUITY MARKET
PRICE LEVEL
PRICE CHANGES
AVERAGE PRICE
EXCHANGE RATE
MARKET
PRICE
FUTURES EXCHANGES
EQUITY INDEX
RESERVE
TREASURY BILL
PRICE VOLATILITY
INTERNATIONAL BANK
TREASURY
TRADE
WORLD EQUITY
IMPLIED VOLATILITY
INTERNATIONAL MONETARY FUND
MARKET EXPECTATIONS
EQUITY MARKETS
POLICY RESPONSES
FINANCIAL STUDIES
SUPPLY
CRISIS
TRADING
MONETARY FUND
MARKETS
SETTLEMENT PRICE
SETTLEMENT
COMMODITIES
PRODUCT
COMMODITY
COMMODITY PRICE
PRICES
FINANCE
DOLLAR VALUE
Online Access:http://documents.worldbank.org/curated/en/2015/09/25093894/sources-volatility-during-four-oil-price-crashes
http://hdl.handle.net/10986/22848

Internet

http://documents.worldbank.org/curated/en/2015/09/25093894/sources-volatility-during-four-oil-price-crashes
http://hdl.handle.net/10986/22848

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