Preview: Sources of Volatility during Four Oil Price Crashes

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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Bibliographic Details
Main Authors:	Baffes, John, Kshirsagar, Varun
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

Sources of Volatility during Four Oil Price Crashes

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