Theoretical and Applied Economics
No. 5 / 2014 (594)
Forecasting crude oil market volatility in the context of economic slowdown in emerging markets
University of Geneva, Switzerland
Florentina Olivia BĂLU
University of Geneva, Switzerland Bucharest University of Economic Studies, Romania
Abstract. Crude Oil is a commodity with huge strategic importance to all countries in the world. But in the recent years, the oil market as well as all commodities market has crossed an intense period of changes due to a volatile international economic context. After a decade of rapid economic growth rates, China and the other emerging markets are slowing down. After a harsh and unpredictable crisis, the financial and commodity regulation has changed; the uncertainty and distrust have increased, and, implicitly, the prices volatility in financial and commodity markets has also increased. In this paper we empirically investigated the crude oil market price behaviour and proposed an econometrical GARCH model (Engle, 1982; Bollerslev, 1986) to forecast the volatility of this market. Our research questions are how crude oil price volatility has changed in the recent years? In order to answer to this question we developed an empirical analysis using daily future one month quotation of Brent, Dubai and WTI crude oil over the last three years. These quotations were extracted from Thomson-Reuters Database. Our results suggest a relatively small volatility in crude oil market on a short run with a price fluctuation around the level of 110 USD/barrel for Brent crude oil. Moreover, our final conclusion is that: the economic slowdown in emerging markets, but also the new regulations in commodity markets represent new challenges for economists and researchers, and ask for structural reforms to adjust to new context.
Keywords: crude oil market, commodity market, price behaviour forecast volatility, GARCH models.
Contents
- Increase of company performances and shareholders’
satisfaction by using design for adaptability (DFA)
Sorin BRICIU
Sorinel CĂPUŞNEANU
Dan TOPOR
Raul BURDEA
- Forecasting crude oil market volatility
in the context of economic slowdown
in emerging markets
Bernard MORARD
Florentina Olivia BĂLU
- The sensory brand of the destination.
Case study: Transylvania
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Lucian-Florin ONIŞOR
Andreea BOTOȘ
- Difficulties of the supporting pensioners by current
employees – alternative to pension systems
at international level. Empirical analysis in Romania
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Nicu MARCU
Raluca DRĂCEA
- Effects of macroeconomic variables on poverty in Iran
(Application of bootstrap technique)
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Mohammad Nabi SHAHIKI TASH
- Determination of factors affecting willingness to pay
for low SAR value cell phones: A case study of Turkey
Rüştü YAYAR
Yücel EROL
Derya DEMIR
- Implications of the financial crisis
to the relevance of Taylor rule
Case study: European Union
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Alexandru Cătălin POPA
- Non-performing loans – dimension of the non-quality
of bank lending/loans and their specific connections
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- Regional implications of salary in the European Union
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