didspeculativeactivitiescontributetohighcrudeoilpricesduring1993to2008

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	didspeculativeactivitiescontributetohighcrudeoilpricesduring1993to2008
	Xun ZHANG1 ; Kin Keung LAI 2; Shouyang WANG1
	2009
发表期刊	journalofsystemssciencecomplexity
ISSN	1009-6124
卷号	22 期号:4 页码:636
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.
语种	英语
资助项目	[National Natural Science Foundation of China]
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/45466
专题	系统科学研究所
作者单位	1.中国科学院数学与系统科学研究院 2.香港城市大学
推荐引用方式 GB/T 7714	Xun ZHANG,Kin Keung LAI,Shouyang WANG. didspeculativeactivitiescontributetohighcrudeoilpricesduring1993to2008[J]. journalofsystemssciencecomplexity,2009,22(4):636.
APA	Xun ZHANG,Kin Keung LAI,&Shouyang WANG.(2009).didspeculativeactivitiescontributetohighcrudeoilpricesduring1993to2008.journalofsystemssciencecomplexity,22(4),636.
MLA	Xun ZHANG,et al."didspeculativeactivitiescontributetohighcrudeoilpricesduring1993to2008".journalofsystemssciencecomplexity 22.4(2009):636.