| ID | 111343 |
| Title Proper | Efficiency of crude oil markets |
| Other Title Information | evidences from informational entropy analysis |
| Language | ENG |
| Author | Ortiz-Cruz, Alejandro ; Rodriguez, Eduardo ; Ibarra-Valdez, Carlos ; Alvarez-Ramirez, Jose |
| Publication | 2012. |
| Summary / Abstract (Note) | The role of crude oil as the main energy source for the global economic activity has motivated the discussion about the dynamics and causes of crude oil price changes. An accurate understanding of the issue should provide important guidelines for the design of optimal policies and government budget planning. Using daily data for WTI over the period January 1986-March 2011, we analyze the evolution of the informational complexity and efficiency for the crude oil market through multiscale entropy analysis. The results indicated that the crude oil market is informationally efficient over the scrutinized period except for two periods that correspond to the early 1990s and late 2000s US recessions. Overall, the results showed that deregulation has improved the operation of the market in the sense of making returns less predictable. On the other hand, there is some evidence that the probability of having a severe US economic recession increases as the informational efficiency decreases, which indicates that returns from crude oil markets are less uncertain during economic downturns. |
| `In' analytical Note | Energy Policy Vol. 41; Feb 2012: p.365-373 |
| Journal Source | Energy Policy Vol. 41; Feb 2012: p.365-373 |
| Key Words | Crude Oil Market ; Market Efficiency ; Entropy |