Crude oil prices between 1985 and 1994: how volatile in relation to other commodities?

It is said that since the mid-1980s oil has become a commodity like others, and exhibits noticeable price volatility. How then do oil price fluctuations compare with those of other commodities? To address this question, we examine three aspects of price volatility for two marker crude oils and nine other widely traded commodities. Our results suggest that between 1985 and 1994 crude oil is in the upper end of the range of all measures of price volatility studied, but is not clearly beyond the bounds set by other commodities. Implications of this result for the oil industry are discussed.

[1]  Ronald W. Anderson.  The Industrial organization of futures markets , 1984 .

[2]  I. Krinsky,et al.  Risk Premiums and Efficiency in the Market for Crude Oil Futures , 1992 .

[3]  H. Jacoby,et al.  Project Evaluation: A Practical Asset Pricing Method , 1992 .

[4]  Michael A. Fligner,et al.  Distribution-Free Two-Sample Tests for Scale , 1976 .

[5]  D. Newbery.  When Do Futures Destabilize Spot Prices , 1987 .

[6]  Jeremy C. Stein,et al.  Informational Externalities and Welfare-Reducing Speculation , 1987, Journal of Political Economy.

[7]  Juan J. Dolado,et al.  COINTEGRA TION AND UNIT ROOTS , 1990 .

[8]  M. Slade.  The two pricing systems for non-ferrous metals☆ , 1989 .

[9]  M. E. Johnson,et al.  A Comparative Study of Tests for Homogeneity of Variances, with Applications to the Outer Continental Shelf Bidding Data , 1981 .

[10]  Carmen M. Reinhart,et al.  The Behavior of Non-Oil Commodity Prices , 1994 .

[11]  Morton B. Brown,et al.  Robust Tests for the Equality of Variances , 1974 .

[12]  C. Cox.  Futures Trading and Market Information , 1976, Journal of Political Economy.

[13]  W. Hoeffding,et al.  Contributions to Probability and Statistics: Essays in Honor of Harold Hotelling , 1961 .

[14]  D. Quade.  Sturdy statistics: nonparametrics and order statistics , 1975 .

[15]  Ron C. Mittelhammer,et al.  Introduction to the Theory and Practice of Econometrics , 1988 .

[16]  David M. Kreps,et al.  Price Destabilizing Speculation , 1986, Journal of Political Economy.

[17]  H. Levene.  Robust tests for equality of variances , 1961 .

[18]  M. Slade.  Market Structure, Marketing Method, and Price Instability , 1991 .

[19]  G. W. Smith.  Labys, Walter C. Market Structure, Bargaining Power, and Resource Price Formation. Lexington MA: Lexington Books, 1980, xiv + 238 pp., price unknown , 1982 .

[20]  A Test of Fit for Continuous Distributions Based on Generalized Minimum Chi-Square , 1970 .

[21]  Ronald H. Rnndles.  Nonparametric Statistical Inference (2nd ed.) , 1986 .

[22]  Scott C. Linn,et al.  An Examination of Stock Market Return Volatility During Overnight and Intraday Periods , 1990 .

[23]  Jr. Philip K. Verleger,et al.  Adjusting to volatile energy prices , 1994 .