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<p>This study investigates the determinants of oil price volatility by applying a Time-Varying Parameter Vector Autoregressive model with stochastic volatility (TVP-VAR-SV) to weekly data from 2010 to 2022. A comparative examination of global uncertainty and market fundamentals reveals three distinct phases, characterized by a shifting dominance of volatility drivers. Between 2010 and 2016, demand and geopolitical risk drove oil prices; From 2016 to 2020, economic policy uncertainty emerged as a potent driver; And in the final phase (2020–2022), geopolitical risk emerged as the primary driver of price fluctuations. The results further indicate that market fundamental shocks last for 8–12 weeks, requiring short-term interventions, while uncertainty drivers last up to 30 weeks, necessitating more sustained interventions. The findings demonstrate the importance of incorporating temporal variability into decision-making and policy formulation frameworks.</p>

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Analyzing the dynamics of oil price volatility: a comparative study of market fundamentals and global uncertainty

  • 期刊论文

  • 发表日期：

    2025年6月27日

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  • Youness EL amine,
  • Mounir benboubker

摘要

This study investigates the determinants of oil price volatility by applying a Time-Varying Parameter Vector Autoregressive model with stochastic volatility (TVP-VAR-SV) to weekly data from 2010 to 2022. A comparative examination of global uncertainty and market fundamentals reveals three distinct phases, characterized by a shifting dominance of volatility drivers. Between 2010 and 2016, demand and geopolitical risk drove oil prices; From 2016 to 2020, economic policy uncertainty emerged as a potent driver; And in the final phase (2020–2022), geopolitical risk emerged as the primary driver of price fluctuations. The results further indicate that market fundamental shocks last for 8–12 weeks, requiring short-term interventions, while uncertainty drivers last up to 30 weeks, necessitating more sustained interventions. The findings demonstrate the importance of incorporating temporal variability into decision-making and policy formulation frameworks.