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Did speculative activities contribute to high crude oil prices during 1993 to 2008?

文献类型：期刊论文

作者Zhang, Xun1,2; Lai, Kin Keung3; Wang, Shouyang1
刊名JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
出版日期2009-12-01
卷号22期号:4页码:636-646
关键词Crude oil prices Diks-Panchenko test Hiemstra-Jones test nonlinear Granger causality test speculative activities
ISSN号1009-6124
DOI10.1007/s11424-009-9193-3
英文摘要By applying two nonlinear Granger causality testing methods and rolling window strategy to explore the relationship between speculative activities and crude oil prices, the unidirectional Granger causality from speculative activities to returns of crude oil prices during the high price phase is discovered. It is proved that speculative activities did contribute to high crude oil prices after the Asian financial crisis and OPEC's output cut in 1998. The unidirectional Granger causality from returns of crude oil prices to speculative activities is significant in general. But after 2000, with the sharp rise in crude oil prices, this unidirectional Granger causality became a complex nonlinear relationship, which cannot be detected by any linear Granger causality test.
资助项目National Natural Science Foundation of China
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000272037900009
出版者SPRINGER
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/7733]  
专题系统科学研究所
通讯作者Zhang, Xun
作者单位1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
2.Chinese Acad Sci, Grad Sch, Beijing 100190, Peoples R China
3.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
推荐引用方式
GB/T 7714		 Zhang, Xun,Lai, Kin Keung,Wang, Shouyang. Did speculative activities contribute to high crude oil prices during 1993 to 2008?[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2009,22(4):636-646.
APA Zhang, Xun,Lai, Kin Keung,&Wang, Shouyang.(2009).Did speculative activities contribute to high crude oil prices during 1993 to 2008?.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,22(4),636-646.
MLA Zhang, Xun,et al."Did speculative activities contribute to high crude oil prices during 1993 to 2008?".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 22.4(2009):636-646.

入库方式： OAI收割

来源：数学与系统科学研究院

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