PurposeThe purpose of this stud is to analyze the financialization effect on oil prices.Design/methodology/approachThis study applied the technique of multibreak point analysis with Bai and Perron test plus VAR methodology.FindingsFindings revealed that there was no effect on oil prices.Originality/valueTo the best of the author's knowledge, this is the first paper combining the multibreakpoint analysis with VAR for the period analyzed in the present work.
Focacci A. (2023). Spillovers between non-commercial traders’ activity and spot prices? Analysis of the financialization mechanism in the crude oil market. CHINA FINANCE REVIEW INTERNATIONAL, 13(2), 157-182 [10.1108/CFRI-07-2022-0110].
Spillovers between non-commercial traders’ activity and spot prices? Analysis of the financialization mechanism in the crude oil market
Focacci A.
2023
Abstract
PurposeThe purpose of this stud is to analyze the financialization effect on oil prices.Design/methodology/approachThis study applied the technique of multibreak point analysis with Bai and Perron test plus VAR methodology.FindingsFindings revealed that there was no effect on oil prices.Originality/valueTo the best of the author's knowledge, this is the first paper combining the multibreakpoint analysis with VAR for the period analyzed in the present work.| File | Dimensione | Formato | |
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Financialization OIL con VAR e multibreak point.pdf
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