The Effect of Financial and Macroeconomic Factors on the Oil Market

Authors

  • Nikolaos Sariannidis
  • Georgios Galyfianakis Technological Educational Institute of Crete Accounting and Finance Department
  • Evagelos Drimbetas

Abstract

Our objective in this paper is to contribute to the discussion and identify, in the short-run, the effects of basic financial indicators (Equity, Bonds, Exchange Rates, Baltic Exchange Dry Index) and widely traded commodities (Gold, Wheat) on the crude oil market. A GARCH model is employed to test the above hypothesis for the period of almost ten years using daily data from June 1st, 2004 to May 30th, 2014. The results coming out of our investigation suggest that wheat and bonds markets have negative impact to the oil market. Also, the results indicate that the volatility of U.S. $/Yen exchange rate and the volatility of Baltic Exchange Dry Index influence significantly negatively the oil market. Lastly, our findings indicate that both, gold market as well as stock market, positively influence the oil market, confirming the relevant literature which was reviewed and summarized.Keywords: GJR-GARCH model, Crude oil WTI, Gold, Equity market, Exchange rates, Bonds market, Commodities, Baltic Exchange Index.JEL Classifications: G10; Q40

Downloads

Download data is not yet available.

Downloads

Published

2015-10-14

How to Cite

Sariannidis, N., Galyfianakis, G., & Drimbetas, E. (2015). The Effect of Financial and Macroeconomic Factors on the Oil Market. International Journal of Energy Economics and Policy, 5(4), 1084–1091. Retrieved from https://econjournals.com/index.php/ijeep/article/view/1109

Issue

Vol. 5 No. 4 (2015)

Section

Articles

License

Submission of an article implies that the work described has not been published previously , that it is not under consideration for publication elsewhere, that its publication is approved by all authors and tacitly or explicitly by the responsible authorities where the work was carried out, and that, if accepted, will not be published elsewhere in the same form, without the written consent of the Publisher. The Editors reserve the right to edit or otherwise alter all contributions, but authors will receive proofs for approval before publication.