Markets Foundation, Futures Market Speculation and the Volatility of International Crude Oil Prices: Based on a SVAR Model
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Abstract This paper analyzes the factors of international oil prices fluctuations with monthly data from 2003 to 2011 by Granger causality test and VAR model. The results show that: Speculation in crude oil futures market forces has become an important reason of the current international oil price fluctuations,and its impact become even more than the market demand factors; Market demand continues to act as the most important factor on international oil price volatility,but the role of speculative factor has not weakened and it is still significantly affect the movement of oil prices; the movements of crude oil stocks and the dollar exchange index also have a significant effect on international oil prices fluctuations,while the effect of oil market supply and the interest is relatively small.
LIU Jian. Markets Foundation, Futures Market Speculation and the Volatility of International Crude Oil Prices: Based on a SVAR Model . Economic Survey, 2013, 1(6): 0125.
2013, Vol. 1 
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