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didspeculativeactivitiescontributetohighcrudeoilpricesduring1993to2008
Xun ZHANG1; Kin Keung LAI2; Shouyang WANG1
2009
Source Publicationjournalofsystemssciencecomplexity
ISSN1009-6124
Volume22Issue:4Pages:636
AbstractBy 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.
Language英语
Funding Project[National Natural Science Foundation of China]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/45466
Collection系统科学研究所
Affiliation1.中国科学院数学与系统科学研究院
2.香港城市大学
Recommended Citation
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.
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