A systematic review in crude oil markets: Embarking on the oil price

Yuhang Zheng, Ziqing Du

1 School of Finance, Guangdong University of Finance & Economics, Guangzhou 510320, China
2 Collaborative Innovation Development Center of Pearl River Delta Science & Technology Finance Industry, Guangdong University of Finance & Economics, Guangzhou 510320, China
3 College of finance and Statistics, Hunan University, Changsha, 410006, China

Received: , Accepted: , Published:

References

1. Aastveit KA (2014) Oil price shocks in a data-rich environment. Energy Econ 45: 268-279.    

2. Aastveit KA, Bjørnland HC, Thorsrud LA (2015). What drives oil prices? emerging versus developed economies. J Appl Econometrics 30.

3. Agnolucci P (2009) Volatility of crude oil futures: a comparison of forecasts from garch and implied volatility models. Energy Econ 31: 316-321.    

4. Ahmad AH, Hernandez RM (2013) Asymmetric adjustment between oil prices and exchange rates: empirical evidence from major oil producers and consumers. J Int Financ Mark Inst Money 27: 306-317.    

5. Alizadeh AH, Nomikos NK, Pouliasis PK (2008) A markov regime switching approach for hedging energy commodities. J Bank Financ 32: 1970-1983.    

6. Aloui C, Jammazi R (2015) Dependence and risk assessment for oil prices and exchange rate portfolios: a wavelet based approach. Phys A 436: 62-86.    

7. Aloui R, Aïssa MSB, Nguyen DK, et al. (2013) Conditional dependence structure between oil prices and exchange rates: a copula-garch approach. J Int Money Financ 32: 719-738.    

8. Alquist R, Kilian L, Vigfusson R (2011) Forecasting the price of oil. Ssrn Electron J 2: 427-507.

9. Antonakakis N, Chatziantoniou I, Filis G (2014) Dynamic spillovers of oil price shocks and economic policy uncertainty. Energy Econ 44: 433-447.    

10. Asafu-Adjaye J (2000) The relationship between energy consumption, energy prices and economic growth: time series evidence from Asian developing countries. Energy Econ 22: 615-625.    

11. Atems B, Kapper D, Lam E (2015) Do exchange rates respond asymmetrically to shocks in the crude oil market? Energy Econ 49: 227-238.    

12. Baker S, Bloom N, Davis S (2013) Measuring economic policy uncertainty. Chicago Booth Research Paper, 13-02.

13. Balcilar M, Bekiros S, Gupta R (2017) The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method. Empir Econ 53: 879-889.    

14. Balcilar M, Gungor H, Hammoudeh S (2015) The time-varying causality between spot and futures crude oil prices: a regime switching approach. Int Rev Econ Financ 40: 51-71.    

15. Bampinas G, Panagiotidis T (2015) On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing. Stud Nonlinear Dyn Econometrics 19: 657-668.

16. Bank M, Larch M, Peter G (2011) Google search volume and its influence on liquidity and returns of German stocks. Financ Mark Portf Manage 25: 239-264.    

17. Barsky RB, Kilian L (2004) Oil and the macroeconomy since the 1970s. J Econ Perspect 18: 115-134.    

18. Basher SA, Sadorsky P (2006) Oil price risk and emerging stock markets. Global Financ J 17: 224-251.    

19. Basher SA, Haug AA, Sadorsky P (2010) Oil prices, exchange rates and emerging stock markets. Energy Econ 34: 227-240.

20. Baumeister C, Kilian L (2014) Real-time analysis of oil price risks using forecast scenarios. Imf Econ Rev 62: 119-145.    

21. Baumeister C, Kilian L (2017) Lower oil prices and the u.s. economy: is this time different? Social Sci Electron Publishing 2016: 287-357.

22. Baumeister C, Peersman G (2013) Time-varying effects of oil supply shocks on the us economy. Am Econ J Macroecon 5: 1-28.

23. Baumeister C, Kilian L, Lee TK (2014). Are there gains from pooling real-time oil price forecasts? Energy Econ 46: S33-S43.    

24. Baumeister C, Kilian L, Lee TK (2017) Inside the crystal ball: new approaches to predicting the gasoline price at the pump. Social Sci Electron Publishing.

25. Bekiros SD, Diks CGH (2008) The relationship between crude oil spot and futures prices: cointegration, linear and nonlinear causality. Energy Econ 30: 2673-2685.    

26. Bekiros S, Gupta R, Paccagnini A (2015) Oil price forecastability and economic uncertainty. Econ Lett 132: 125-128.    

27. Bentzen J (2007) Does opec influence crude oil prices? testing for co-movements and causality between regional crude oil prices. Appl Econ 39: 1375-1385.

28. Blair BF, Rezek JP (2008) The effects of hurricane katrina on price pass-through for gulf coast gasoline. Econ Lett 98: 229-234.    

29. Bloch H, Rafiq S, Salim R (2015) Economic growth with coal, oil and renewable energy consumption in china: prospects for fuel substitution. Econ Model 44: 104-115.    

30. Bodenstein M, Guerrieri L, Kilian L (2012) Monetary policy responses to oil price fluctuations. Imf Econ Rev 60: 470-504.    

31. Brahmasrene T, Huang JC, Sissoko Y (2014) Crude oil prices and exchange rates: causality, variance decomposition and impulse response. Energy Econ 44: 407-412.    

32. Breitenfellner A, Cuaresma JC, Mayer P (2014) Energy inflation and house price corrections. Energy Econ 48: 109-116.

33. Brémond V, Hache E, Mignon V (2011) Does opec still exist as a cartel? an empirical investigation. Energy Econ 34: 125-131.

34. Cabedo JD, Moya I (2003) Estimating oil price 'value at risk' using the historical simulation approach. Energy Econ 25: 239-253.

35. Caner M, Hansen BE (2001) Threshold autoregression with a unit root. Econometrica 69: 1555-1596.    

36. Cheong CW (2009) Modeling and forecasting crude oil markets using arch-type models. Energy Policy 37: 2346-2355.    

37. Colgan JD (2014) Oil, domestic politics, and international conflict. Energy Res Social Sci 1: 198-205.    

38. Costello A, Asem E, Gardner E (2008) Comparison of historically simulated var: evidence from oil prices. Energy Econ 30: 2154-2166.    

39. Da Z, Engelberg J, Gao P (2011) In search of attention.J Financ 66: 1461-1499.    

40. Dahl C, Yücel M (1991) Testing alternative hypotheses of oil producer behavior. Energy J 12: 117-138.

41. Dai YH, Xie WJ, Jiang ZQ, et al. (2016) Correlation structure and principal components in the global crude oil market. Empir Econ 51: 1501-1519.    

42. Demirer R, Kutan AM (2010) The behavior of crude oil spot and futures prices around opec and spr announcements: an event study perspective. Energy Econ 32: 1467-1476.    

43. Ding L, Vo M (2012) Exchange rates and oil prices: A multivariate stochastic volatility analysis. Q Rev Econ Financ 52: 15-37.    

44. Dong H, Liu Y, Chang J (2019) The heterogeneous linkage of economic policy uncertainty and oil return risks. Green Financ 1: 46-66.    

45. Draper DW (1984) The behavior of event-related returns on oil futures contracts. J Futures Mark 4: 125-132.    

46. Driesprong G, Jacobsen B, Maat B (2003) Striking oil: another puzzle? Erim Rep 89: 307-327.

47. Dvir E, Rogoff K (2014) Demand effects and speculation in oil markets: theory and evidence. J Int Money Finan 42: 113-128.    

48. Edelstein P, Kilian L (2008) The response of business fixed investment to changes in energy prices: a test of some hypotheses about the transmission of energy price shocks. J Macroecon 7.

49. Fan Y, Xu JH (2011) What has driven oil prices since 2000? a structural change perspective. Energy Econ 33: 1082-1094.

50. Fan Y, Zhang YJ, Tsai HT, et al. (2008) Estimating 'value at risk' of crude oil price and its spillover effect using the ged-garch approach. Energy Econ 30: 3156-3171.    

51. Fattouh B (2007) OPEC pricing power: the need for a new perspective, Oxford Institute for Energy Studies,WPM 31.

52. Fattouh B (2010) The dynamics of crude oil price differentials. Energy Econ 2: 334-342.

53. Fattouh B, Mahadeva L (2013) OPEC: what difference has it made? Annu Rev Resour Econ 5: 427-443.    

54. Fesharaki F, Hoffman SL (1985) OPEC and the structural changes in the oil market: the outlook after the counter-revolution. Energy 10: 505-516.    

55. Filis G (2010) Macro economy, stock market and oil prices: do meaningful relationships exist among their cyclical fluctuations? Energy Econ 32: 877-886.    

56. Gisser M, Goodwin TH (1986) Crude oil and the macroeconomy: tests of some popular notions: a note. J Money Credit Bank 18: 95.    

57. Gjerde O, Sættem F (1999) Causal relations among stock returns and macroeconomic variables in a small, open economy. J Int Financ Mark Inst Money 9: 61-74.    

58. Golub SS (1983) Oil prices and exchange rates. Econ J 93: 576-593.    

59. Gülen SG (1996) Is opec a cartel? evidence from cointegration and causality tests. Energy J 17: 43-57.

60. Gülen SG (1997) Regionalization in the world crude oil market. Energy J 18: 109-126.

61. Gülen SG (1998) Efficiency in the crude oil futures market. J Energy Financ Dev 3: 0-21.

62. Guo JF, Ji Q (2013) How does market concern derived from the internet affect oil prices? Appl Energy 112: 1536-1543.    

63. Hamilton JD (1983) Oil and the macroeconomy since world war ii. J Political Econ 91: 228-248.    

64. Hamilton JD (2008) Oil and the macroeconomy. New Palgrave Dictionary Econ Edition Palgrave Macmillan 18: 115-134.

65. Hamilton JD (2012) Oil prices, exhaustible resources, and economic growth. Nber Working Papers.

66. Hamilton JD (2009) Causes and consequences of the oil shock of 2007-08. Brookings Pap Econ Activity, 215-259.

67. Hamilton JD (2011) Nonlinearities and the macroeconomic effects of oil prices. Macroecon Dyn 15: 364-378.    

68. Hammoudeh SM, Ewing BT, Thompson MA (2008) Threshold cointegration analysis of crude oil benchmarks. Energy J 29: 79-95.

69. Hayat A, Narayan PK (2010) The oil stock fluctuations in the united states. Appl Energy 87: 178-184.    

70. Henriques I, Sadorsky P (2008) Oil prices and the stock prices of alternative energy companies. Energy Econ 30: 998-1010.    

71. Hicks B, Kilian L (2013) Did unexpectedly strong economic growth cause the oil price shock of 2003-2008?. J Forecasting 32: 385-394.    

72. Hooker MA (1996) What happened to the oil price-macroeconomy relationship? J Monetary Econ 38: 215-220.    

73. Horan SM, Mahar PJ (2004) Implied volatility of oil futures options surrounding opec meetings. Energy J 25: 103-125.

74. Hosseini SH, Hamed SG (2016) A study on the future of unconventional oil development under different oil price scenarios: a system dynamics approach. Energy Policy 91: 64-74.    

75. Huang CJ, Wang HC, Chen MG, et al. (2009) The impact of international oil prices on consumer prices: evidence from a var model. Comput Sci Inf Eng Wri World Congr 04: 531-534.

76. Huang D, Yu B, Fabozzi FJ, et al. (2009) Caviar-based forecast for oil price risk. Energy Econ 31: 511-518.    

77. Jammazi R, Lahiani A, Nguyen DK (2015) A wavelet-based nonlinear ardl model for assessing the exchange rate pass-through to crude oil prices. J Int Financ Mark Inst Money 34: 173-187.    

78. Ji Q, Guo JF (2015) Oil price volatility and oil-related events: an internet concern study perspective. Appl Energy 137: 256-264.    

79. Jia X, An H, Wei F, et al. (2015) How do correlations of crude oil prices co-move? a grey correlation-based wavelet perspective. Energy Econ 49, 588-598.

80. Jiménez-Rodríguez R (2009) Oil price shocks and real GDP growth: testing for non-linearity. Energy J 30: 1-23.

81. Jiménez-Rodríguez R, Sánchez M (2005) Oil price shocks and real GDP growth: empirical evidence for some OECD countries. Appl Econ 37: 201-228.    

82. Jones CM, Kaul G (1996) Oil and the stock markets. J Financ 51: 463-491.    

83. Kang SH, Kang SM, Yoon SM (2009) Forecasting volatility of crude oil markets. Energy Econ 31: 119-125.    

84. Kang W, Ratti RA (2013) Oil shocks, policy uncertainty and stock market return. J Int Financ Mark Inst Money 26: 305-318.    

85. Kang W, Ratti RA (2013) Structural oil price shocks and policy uncertainty. Econ Model 35: 314-319.    

86. Kanjilal K, Ghosh S (2017) Dynamics of crude oil and gold price post 2008 global financial crisis - new evidence from threshold vector error-correction model. Resour Policy 52: 358-365.    

87. Kaufmann RK, Dees S, Karadeloglou P, et al. (2004) Does opec matter? an econometric analysis of oil prices. Energy J 5: 67-90.

88. Kilian L, Vigfusson RJ (2011) Nonlinearities in the oil price-output relationship. Macroecon Dyn 5: 337-363.

89. Kilian L (2009) Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market. Am Econ Rev 99: 1053-1069.    

90. Kilian L, Lee TK (2014) Quantifying the speculative component in the real price of oil: the role of global oil inventories. J Int Money Financ 42: 71-87.    

91. Kilian L, Murphy DP (2012) Why agnostic sign restrictions are not enough: understanding the dynamics of oil market var models. J Eur Econ Assoc 10: 1166-1188.    

92. Kilian L, Murphy DP (2014) The role of inventories and speculative trading in the global market for crude oil. J Appl Econometrics 29: 454-478.    

93. Kisswani KM (2016) Does opec act as a cartel? empirical investigation of coordination behavior. Energy Policy 97: 171-180.

94. Kling JL (1985). Oil price shocks and stock market behavior. J Portf Manage 12: 34-39.    

95. Krehbiel T, Adkins LC (2005) Price risk in the nymex energy complex: an extreme value approach. J Futures Mark 25: 309-337.    

96. Krugman P (1980) Vehicle currencies and the structure of international exchange. Nber Working Papers, 12: 513-526.

97. Lammerding M, Stephan P, Trede M, et al. (2013) Speculative bubbles in recent oil price dynamics: evidence from a bayesian markov-switching state-space approach. Energy Econ 36: 491-502.    

98. Li J, Lu X, ZhouY (2016) Cross-correlations between crude oil and exchange markets for selected oil rich economies. Phys A 453: 131-143.    

99. Li L, Ma J, Wang SY, et al. (2015) How does google search affect trader positions and crude oil prices? Econ Model 49: 162-171.    

100. Li SF, Zhang H, Yuan D (2019) Investor attention and crude oil prices: Evidence from nonlinear Granger causality tests. Energy Econ: [ In Press].

101. Liao G, Li Z, Du Z (2019) The Heterogeneous Interconnections between Supply or Demand Side and Oil Risks. Energies 12: 2226.    

102. Liu Y, Dong H, Failler P (2019) The oil market reactions to OPEC's announcements. Energies 12: 3238.    

103. Lin SX, Tamvakis M (2010) OPEC announcements and their effects on crude oil prices. Energ Policy 38: 1010-1016.    

104. Lippi F, Nobili A (2012) Oil and the macroeconomy: a quantitative structural analysis. J Eur Econ Assoc 10: 1059-1083.    

105. Lizardo RA, Mollick AV (2010) Oil price fluctuations and U.S. dollar exchange rates. Energy Econ 32: 399-408.

106. Lombardi MJ, Van Robays I (2011) Do financial investors destabilize the oil price? SSRN Electron J.

107. Loutia A, Mellios C, Andriosopoulos K (2016) Do OPEC announcements influence oil prices?. Energy Policy 90: 262-272.    

108. Lux T, Segnon M, Gupta R (2016) Forecasting crude oil price volatility and value-at-risk: evidence from historical and recent data. Energy Econ 56: 117-133.    

109. Marimoutou V, Raggad B, Trabelsi A (2009) Extreme value theory and value at risk: application to oil market. Energy Econ 31: 519-530.    

110. Melvin M, Sultan J (2010) South African political unrest, oil prices, and the time varying risk premium in the gold futures market. J Futures Mark 10: 103-111.

111. Mensi W, Hammoudeh S, Yoon SM (2014) Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: the importance of scheduled and unscheduled news announcements. Int Rev Econ Financ 30: 101-119.    

112. Mohammadi H, Su L (2010) International evidence on crude oil price dynamics: applications of arima-garch models. Energy Econ 32: 1001-1008.    

113. Mollick AV, Assefa TA (2013) U.S. stock returns and oil prices: the tale from daily data and the 2008-2009 financial crisis. Energy Econ 36: 1-18.

114. Moosa IA, Al-Loughani NE (1994) Unbiasedness and time varying risk premia in the crude oil futures market. Energy Econ 16: 99-105.    

115. Morana C (2001) A semiparametric approach to short-term oil price forecasting. Energy Econ 23: 325-338.    

116. Narayan PK, Narayan S, Prasad A (2008) Understanding the oil price-exchange rate nexus for the Fiji islands. Energy Econ 30: 2686-2696.    

117. Nomikos NK, Pouliasis PK (2011). Forecasting petroleum futures markets volatility: the role of regimes and market conditions. Energy Econ 33: 321-337.    

118. Papapetrou E (2001) Bivariate and multivariate tests of the inflation-productivity granger-temporal causal relationship: evidence from Greece. J Econ Stud 28: 213-226.    

119. Park J, Ratti RA (2008) Oil price shocks and stock markets in the US and 13 European countries. Energy Econ 30: 2587-2608.    

120. Peersman G, Robays IV (2012) Cross-country differences in the effects of oil shocks. Energy Econ 34: 1532-1547.    

121. Qadan M, Nama H (2018) Investor sentiment and the price of oil. Energy Econ 69: S0140988317303766.

122. Rafiq S, Salim R (2011) The linkage between energy consumption and income in six emerging economies of Asia. Int J Emerging Mark 6: 50-73.    

123. Rahman S, Serletis A (2012) Oil price uncertainty and the Canadian economy: evidence from a varma, garch-in-mean, asymmetric BEKK model. Energy Econ 34: 603-610.    

124. Rao T, Srivastava S (2013) Modeling movements in oil, gold, forex and market indices using search volume index and Twitter sentiments. Acm Web Sci Conf.

125. Reboredo JC (2011) How do crude oil prices co-move?: a copula approach. Energy Econ 33: 948-955.    

126. Sadorsky P (1999) Oil price shocks and stock market activity. Energy Econ 21: 449-469.    

127. Saiz A, Simonsohn U (2013) Proxying for unobservable variables with internet document-frequency. J Eur Econ Assoc 11: 137-165.    

128. Sauer DG (1994) Measuring economic markets for imported crude oil. Energy J 15: 107-123.

129. Schmidbauer H, Rösch A (2012) Opec news announcements: effects on oil price expectation and volatility. Energy Econ 34: 1656-1663.    

130. Schwarz TV, Szakmary AC (2010) Price discovery in petroleum markets: arbitrage, cointegration, and the time interval of analysis. J Futures Mark 14: 147-167.

131. Seyyedi S (2017) Analysis of the interactive linkages between gold prices, oil prices, and exchange rate in india. Global Econ Rev 46: 65-79.    

132. Shao YH, Yang YH, Shao HL, et al. (2019) Time-varying lead-lag structure between the crude oil spot and futures markets. Phys A 523: 723-733.    

133. Shrestha K (2014) Price discovery in energy markets. Energy Econ 45: 229-233.    

134. Silvapulle P, Moosa IA (2015) The relationship between spot and futures prices: evidence from the crude oil market. J Futures Mark 19: 175-193.

135. Silvapulle P, Smyth R, Zhang X, et al. (2017) Nonparametric panel data model for crude oil and stock market prices in net oil importing countries. Energy Econ 67: 255-267.    

136. Singh VK, Nishant S, Kumar P (2018) Dynamic and directional network connectedness of crude oil and currencies: evidence from implied volatility. Energy Econ 76: 48-63.    

137. Singleton KJ (2014) Investor flows and the 2008 boom/bust in oil prices. Manage Sci 60: 300-318.    

138. Smith DJ (2005) New release: oil, blood and money: culture and power in Nigeria. Anthropological Q 8: 725-740.

139. Tang K, Xiong W (2012) Index investment and the financialization of commodities. Social Sci Electron Publishing 68: 54-74.

140. Tushar R, Saket S (2013) Modeling movements in oil, gold, forex and market indices using search volume index and twitter sentiments. WebSci'13 Proceedings of the 5th Annual ACM Web Science Conference, New York, USA, 336-345.

141. Vlastakis N, Markellos RN (2012) Information demand and stock market volatility. Social Sci Electron Publishing 36: 1808-1821.

142. Wang H, Huang JZ, Qu Y, et al. (2004) Web services: problems and future directions. J Web Semantics 1: 309-320.    

143. Wang J, Wang J (2016) Forecasting energy market indices with recurrent neural networks: case study of crude oil price fluctuations. Energy 102: 365-374.    

144. Wang SP, Hu AM, Wu ZX (2012) The impact of oil price volatility on china's economy: an empirical investigation based on var model. Adv Mater Res 524: 3211-3215.

145. Wang Y, Wu C, Li Y (2016) Forecasting crude oil market volatility: a markov switching multifractal volatility approach. Int J Forecasting 32: 1-9.    

146. Wei Y, Wang Y, Huang D (2010) Forecasting crude oil market volatility: Further evidence using GARCH-class models. Energy Econ 32: 1477-1484.    

147. Weiner RJ (1991) Is the world oil market "one great pool"?. Energy J 12: 95-107.

148. Wirl F, Kujundzic A (2004) The impact of OPECconference outcomes on world oil prices 1984-2001. Energy J 25: 45-62.

149. Wu CC, Chung H, Chang YH (2012) The economic value of co-movement between oil price and exchange rate using copula-based Garch models. Energy Econ 34: 270-282.    

150. Xie MQ, Jiang H, Huang YL, et al. (2006) New Class Recognition Based on Support Vector Data Description. Int Conf Machine Learning Cybernetics.

151. Yin L (2016) Does oil price respond to macroeconomic uncertainty? new evidence. Empir Econ 51: 921-938.    

152. Youssef M, Belkacem L, Mokni K (2015) Value-at-risk estimation of energy commodities: a long-memory garch-evt approach. Energy Econ 51: 99-110.    

153. Zhang X, Yu L, Wang S, et al. (2009) Estimating the impact of extreme events on crude oil price: an emd-based event analysis method. Energy Econ 31: 768-778.    

154. Zhang YJ, Wang J (2015) Exploring the WTI crude oil price bubble process using the markov regime switching model. Phys A 421: 377-387.    

155. Zhang YJ, Wei YM (2010) The crude oil market and the gold market: evidence for cointegration, causality and price discovery. Resour Policy 35: 168-177.    

156. Zhang YJ, Yao T (2016) Interpreting the movement of oil prices: driven by fundamentals or bubbles? Econ Model 55: 226-240.    

157. Zhang YJ, Fan Y, Tsai HT, et al. (2008) Spillover effect of us dollar exchange rate on oil prices. J Policy Model 30: 973-991.    

158. Zhao X, Xi Z (2009) Estimation of Value-at-Risk for Energy Commodities via CAViaR Model. Commun Comput Inf Sci 35: 429-437.

© 2019 the Author(s), licensee AIMS Press. This is an open access article distributed under the terms of the Creative Commons Attribution Licese (http://creativecommons.org/licenses/by/4.0)