Date of Award

Fall 11-22-2024

Document Type

Masters Thesis

Degree Name

M.A. in Economics

Organizational Unit

College of Arts Humanities and Social Sciences, Economics

First Advisor

Henning Schwardt

Second Advisor

Markus Schneider

Third Advisor

Yeohyub Yoon

Fourth Advisor

Lisa Pasko

Copyright Statement / License for Reuse

All Rights Reserved
All Rights Reserved.

Keywords

Financialization, Oil futures, Price volatility, Speculation

Abstract

Financialization has facilitated the trade of futures contracts because of deregulatory policies increasing speculation. Speculation has created a more fragile market inducing riskier investments and aggravating price volatility. Three post-Keynesian theories, the financial instability hypothesis, money manager capitalism and markup, explain how policy altering the banking structure has developed financialization from lax regulation. Previous research has emphasized supply and demand as the main determinants of oil price changes, but it’s important to consider how structural changes from policy stimulating a more financialized economy has impacted volatility. With Brent Crude oil price data and West Texas Intermediate (WTI) open interest and trading volume data, we can use the speculative ratio, trade volume over open interest, to show the effects of speculation on oil price volatility from 1983-2015 using a Vector Autoregression (VAR) model with Impulse Response Functions. Ultimately, financialization has exacerbated oil price volatility and its implications.

Copyright Date

11-2024

Publication Statement

Copyright is held by the author. User is responsible for all copyright compliance.

Rights Holder

Audry F. Oliveira Carnivale

Provenance

Received from author

File Format

application/pdf

Language

English (eng)

Extent

67 pgs

File Size

578 KB

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