Original scientific paper
https://doi.org/10.1080/1331677X.2020.1768428
The inevitable role of El Ni~no: a fresh insight into the oil market
Men Qui
Lian-Hong Qui
Muhammad Umar
Chi-Wei Su
Wen Jiao
Abstract
This paper explores the time-varying interaction between El Ni~no
phenomenon and the oil market by applying the wavelet analysis.
Few studies have explored the time-varying interrelationship
between El Ni~no phenomenon and oil price (also the prices of
petroleum products) by considering the time and frequency
domains, and this paper will fill the above gaps. The empirical
results reveal that El Ni~no index (NINO) which reflects the
strength of El Ni~no phenomenon has a negative influence on oil
price (OP) in the long run, but this view does not hold in the
short and medium terms. These results are not consistent with
the intertemporal capital asset pricing model (ICAPM), which indicates
that there is a positive influence from NINO to OP. In turn,
OP positively affects NINO in the medium term. Through comparing
the five petroleum products, we can conclude that heating oil
price (HOP) is the most relevant to NINO, while gasoline price
(GOP) and diesel fuel price (DOP) have relatively weak relationships
with it. Understanding the interactions between El Ni~no
phenomenon and the oil market can provide insights for the
investors, oil enterprises and related authorities.
Keywords
El Ni~no phenomenon; oil price; wavelet analysis
Hrčak ID:
254585
URI
Publication date:
9.2.2021.
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