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The volatility of world crude oil prices

Author

Listed:
  • Haryo Kuncoro

    (Faculty of Economics, State University of Jakarta)

Abstract

The role of oil in an economy is very crucial. This article measures the world oil price uncertainty based on conditional standard deviations. It focuses on the volatility of crude oil price in United Kingdom, Texas, and Dubai markets, from January, 1980 to May, 2010. It finds the evidence that asymmetric leverage effects are not found. It also finds that volatility process in returns to its mean only evidenced in Dubai. These findings have some important implications for Indonesia. The government might use the dynamic of oil price in Dubai market as a benchmark to set up its state budget to realize fiscal sustainability.

Suggested Citation

  • Haryo Kuncoro, 2011. "The volatility of world crude oil prices," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 3(1), pages 1-15, April.
    • Handle: RePEc:uii:journl:v:3:y:2011:i:1:p:1-15
    DOI: http://dx.doi.org/10.20885/ejem.v3i1.pp%p
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    References listed on IDEAS

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    More about this item

    Keywords

    Oil price; volatility; asymmetric leverage; fiscal sustainability;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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