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 measured manner during 2014/15, with dispersion of price changes that was considerably smaller than comparable oil price declines. This finding is robust to nonparametric and GARCH measures of volatility. Further...
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INFORMATION
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2015/09/28
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Document de travail de recherche sur les politiques
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WPS7425
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1
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1
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2015/09/28
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Disclosed
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Sources of volatility during four oil price crashes
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oil
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