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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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

id	okr-10986-22848
recordtype	oai_dc
spelling	okr-10986-228482021-04-23T14:04:11Z Sources of Volatility during Four Oil Price Crashes Baffes, John Kshirsagar, Varun 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 MEASURES OF VOLATILITY AVERAGE PRICE EXCHANGE RATE MARKET PRICE FUTURES EXCHANGES EQUITY INDEX RESERVE TREASURY BILL PRICE VOLATILITY INTERNATIONAL BANK TREASURY TREASURY BILL EQUITY MARKET TRADE WORLD EQUITY STANDARD DEVIATION FINANCIAL CRISIS EQUITY INDEX IMPLIED VOLATILITY INTERNATIONAL MONETARY FUND OIL PRICES MARKET EXPECTATIONS EQUITY MARKETS POLICY RESPONSES FINANCIAL STUDIES PRICE CHANGES SUPPLY PRICE SUPPORT PRICE VOLATILITY CRISIS WORLD EQUITY TRADING OIL PRICE MONETARY FUND IMPLIED VOLATILITY MARKETS SETTLEMENT PRICE SETTLEMENT COMMODITIES EXCHANGE RATE PRODUCT COMMODITY COMMODITY PRICE PRICES FINANCE DOLLAR VALUE 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 measured manner during 2014/15, with dispersion of price changes that was considerably smaller than comparable oil price declines. This finding is robust to nonparametric and GARCH measures of volatility. Further, the U.S. dollar appreciation exerted a strong influence on volatility during the recent crash; in contrast, the impact of shocks on equity markets was muted. 2015-11-04T22:34:09Z 2015-11-04T22:34:09Z 2015-09 Working Paper http://documents.worldbank.org/curated/en/2015/09/25093894/sources-volatility-during-four-oil-price-crashes http://hdl.handle.net/10986/22848 English en_US Policy Research Working Paper;No. 7425 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank World Bank, Washington, DC Publications & Research :: Policy Research Working Paper Publications & Research
repository_type	Digital Repository
institution_category	Foreign Institution
institution	Digital Repositories
building	World Bank Open Knowledge Repository
collection	World Bank
language	English en_US
topic	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 MEASURES OF VOLATILITY AVERAGE PRICE EXCHANGE RATE MARKET PRICE FUTURES EXCHANGES EQUITY INDEX RESERVE TREASURY BILL PRICE VOLATILITY INTERNATIONAL BANK TREASURY TREASURY BILL EQUITY MARKET TRADE WORLD EQUITY STANDARD DEVIATION FINANCIAL CRISIS EQUITY INDEX IMPLIED VOLATILITY INTERNATIONAL MONETARY FUND OIL PRICES MARKET EXPECTATIONS EQUITY MARKETS POLICY RESPONSES FINANCIAL STUDIES PRICE CHANGES SUPPLY PRICE SUPPORT PRICE VOLATILITY CRISIS WORLD EQUITY TRADING OIL PRICE MONETARY FUND IMPLIED VOLATILITY MARKETS SETTLEMENT PRICE SETTLEMENT COMMODITIES EXCHANGE RATE PRODUCT COMMODITY COMMODITY PRICE PRICES FINANCE DOLLAR VALUE
spellingShingle	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 MEASURES OF VOLATILITY AVERAGE PRICE EXCHANGE RATE MARKET PRICE FUTURES EXCHANGES EQUITY INDEX RESERVE TREASURY BILL PRICE VOLATILITY INTERNATIONAL BANK TREASURY TREASURY BILL EQUITY MARKET TRADE WORLD EQUITY STANDARD DEVIATION FINANCIAL CRISIS EQUITY INDEX IMPLIED VOLATILITY INTERNATIONAL MONETARY FUND OIL PRICES MARKET EXPECTATIONS EQUITY MARKETS POLICY RESPONSES FINANCIAL STUDIES PRICE CHANGES SUPPLY PRICE SUPPORT PRICE VOLATILITY CRISIS WORLD EQUITY TRADING OIL PRICE MONETARY FUND IMPLIED VOLATILITY MARKETS SETTLEMENT PRICE SETTLEMENT COMMODITIES EXCHANGE RATE PRODUCT COMMODITY COMMODITY PRICE PRICES FINANCE DOLLAR VALUE Baffes, John Kshirsagar, Varun Sources of Volatility during Four Oil Price Crashes
relation	Policy Research Working Paper;No. 7425
description	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 measured manner during 2014/15, with dispersion of price changes that was considerably smaller than comparable oil price declines. This finding is robust to nonparametric and GARCH measures of volatility. Further, the U.S. dollar appreciation exerted a strong influence on volatility during the recent crash; in contrast, the impact of shocks on equity markets was muted.
format	Working Paper
author	Baffes, John Kshirsagar, Varun
author_facet	Baffes, John Kshirsagar, Varun
author_sort	Baffes, John
title	Sources of Volatility during Four Oil Price Crashes
title_short	Sources of Volatility during Four Oil Price Crashes
title_full	Sources of Volatility during Four Oil Price Crashes
title_fullStr	Sources of Volatility during Four Oil Price Crashes
title_full_unstemmed	Sources of Volatility during Four Oil Price Crashes
title_sort	sources of volatility during four oil price crashes
publisher	World Bank, Washington, DC
publishDate	2015
url	http://documents.worldbank.org/curated/en/2015/09/25093894/sources-volatility-during-four-oil-price-crashes http://hdl.handle.net/10986/22848
_version_	1764452222233477120

Sources of Volatility during Four Oil Price Crashes

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