Abstract
We provide novel evidence of two different types of volatility-patterns of oil spot prices that are generated depending on which is the predominant trigger: a) spikes of volatility (which are highly erratic) are produced during periods of supply/demand crises of oil disruptions (such as the 1990/91 First-Gulf-War, 2001 US-terrorist attack, the oil conflict of Saudi-Arabia with the US in 2014/16 and with Russia in 2020-together with the Covid-19 impact-); while b) periods where economic/financial/stock market crises are the predominant trigger (such as the 1997/98 Asian and 2008/09 Global-Financial Crises and the 2017/19 oil conflicts including the 2018 stock market crisis) are associated to higher volatility persistence. Our results are very relevant since oil markets in the coming months/years are very likely to have a very high degree of uncertainty, and knowledge of the type of volatility that is generated under each of the different triggers and how it affects oil markets is very relevant for investors, speculators and policy makers.
NSTL
Elsevier