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- Title
Does speculation drive the price of oil?
- Authors
Hannesson, Rögnvaldur
- Abstract
An error correction model is estimated for the spot versus 12 months futures price of Brent Blend. Whether or not speculation in the futures market has been driving the spot price is examined by testing for Granger causality; if the futures price Ganger causes the spot price and not the other way around, it is an indication that speculation in the futures market is influencing the spot price. We find this to be the case for the recent changes in the oil price, both for the run-up to the price peak of July 2008, the subsequent abrupt fall, and the rise from early 2009 to May 2011.
- Subjects
SPECULATION; PETROLEUM product sales &; prices; ECONOMIC models; FUTURES market; SPOT prices
- Publication
OPEC Energy Review, 2012, Vol 36, Issue 2, p125
- ISSN
1753-0229
- Publication type
Article
- DOI
10.1111/j.1753-0237.2011.00207.x