00000nam 2200000za 4500 9.847466 CaOODSP 20221107153440 cr ||||||||||| 171121s2017 oncd obs f000 0 eng d CaOODSP eng eng fre n-cn--- FB3-5/2017-46E-PDF Ellwanger, Reinhard. On the tail risk premium in the oil market [electronic resource] / by Reinhard Ellwanger. [Ottawa] : Bank of Canada, 2017. ii, 36 p. : charts Bank of Canada staff working paper, 1701-9397 ; 2017-46 "November 2017." Includes bibliographical references (26-28). “This paper shows that changes in market participants’ fear of rare events implied by crude oil options contribute to oil price volatility and oil return predictability. Using 25 years of historical data, we document economically large tail risk premia that vary substantially over time and significantly forecast crude oil futures and spot returns. Oil futures prices increase (decrease) in the presence of upside (downside) fears in order to allow for smaller (larger) returns thereafter. This increase (decrease) is amplified for the spot price because of time varying-benefits from holding physical oil inventories that work in the same direction. We also provide support for the view that that time variation in the relative importance of oil demand and supply shocks is an important determinant of oil price fluctuations and their interaction with aggregate outcomes"--Abstract, p. ii. Includes abstract in French. gccst Petroleum gccst Prices gccst Stock markets gccst Statistical analysis Bank of Canada. Staff working paper (Bank of Canada) 1701-9397 ; 2017-46 (CaOODSP)9.806221 PDF 934 KB https://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-46-eng.pdf