Supply and Demand shocks: the short-term and long-term drivers of oil price uncertainty

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2025-07-11 DOI:10.1016/j.jcomm.2025.100495

Theodora Bermpei , Athanasios Triantafyllou

引用次数: 0

Abstract

We empirically show the role of supply and demand shocks as drivers of short and long-run price uncertainty in the crude oil market. We first define oil price uncertainty as the purely unforecastable component of oil price fluctuations and show that uncertainty of the short-run oil price fluctuations is driven by oil supply shocks, while the uncertainty for medium and long-run forecast horizons is mainly caused by aggregate demand. While our findings on the impact of oil supply disruptions on oil price uncertainty are in line with the implications of the theory of storage, we do not find similar results for the medium and the long, whereby the global demand shocks are found to be the main driver for the increasing oil price uncertainty. Interestingly, we show that the recessionary effect of short and medium-horizon uncertainty shocks, we find that long-run oil price uncertainty shocks lead to expansions in global economic activity.

查看原文本刊更多论文

供给和需求冲击：油价不确定性的短期和长期驱动因素

我们的经验表明，供应和需求冲击的作用，作为驱动因素的短期和长期的价格不确定性在原油市场。我们首先将油价不确定性定义为油价波动的纯不可预测成分，并表明短期油价波动的不确定性是由石油供应冲击驱动的，而中长期预测视野的不确定性主要是由总需求引起的。虽然我们关于石油供应中断对油价不确定性影响的研究结果与储存理论的含义一致，但我们没有发现中期和长期的类似结果，即发现全球需求冲击是油价不确定性增加的主要驱动因素。有趣的是，我们展示了短期和中期不确定性冲击的衰退效应，我们发现长期油价不确定性冲击导致全球经济活动的扩张。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.