@article{Valenti:268730,
      recid = {268730},
      author = {Valenti, Daniele and Manera, Matteo and Sbuelz,  Alessandro},
      title = {Interpreting the Oil Risk Premium: do Oil Price Shocks  Matter?},
      address = {2018-02-26},
      number = {843-2018-887},
      series = {03.2018},
      pages = {41},
      year = {2018},
      abstract = {This paper provides an analysis of the link between the  global market for crude oil and oil futures risk premium at  the aggregate level. It offers empirical evidence on  whether the compensation for risk required by the  speculators depends on the type of the structural shock of  interest. Understanding the response of the risk premium to  unexpected changes in the price of oil can be useful to  address some research questions, among which: what is the  relationship between crude oil risk premium and unexpected  rise in the price of oil? On average, what should  speculators expect to receive as a compensation for the  risk they are taking on? This work is based on a Structural  Vector Autoregressive (SVAR) model of the crude oil market.  Two main results emerge. First, the impulse response  analysis provides evidence of a negative relationship  between the risk premium and the changes in the price of  oil triggered by shocks to economic fundamentals. Second,  this analysis shows that the historical decline of the risk  premium can be modelled as a part of endogenous effect of  the oil market driven shocks.},
      url = {http://ageconsearch.umn.edu/record/268730},
      doi = {https://doi.org/10.22004/ag.econ.268730},
}