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B. I. Spesivtsev
B. I. Spesivtsev
National Mineral Resources University (Mining University)
National Mineral Resources University (Mining University)

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Articles

Geoeconomics and Management
  • Date submitted
    2014-09-16
  • Date accepted
    2014-11-04
  • Date published
    2015-03-01

The possibility to predict the oil and gas price crisis in the world market on the basis of the correlation analysis

Article preview

The article is devoted to the search for the formal signs of the onset of crisis phenomena in the global economy related to the financial and oil and gas markets. To predict the crisis in the financial market and, as a consequence, the fuel market, the theory of «Jokers and Channels» is used in this paper. In accordance with the theory, the market is divided into predictable and unpredictable periods. Methods of the correlation analysis are used to analyze time series of exchange rates and oil and gas prices. In this paper, the authors construct the time dependence of the annual Pearson correlation coefficients between the ranks of quotes of the world leading currencies over the period from 1999 to 2013. A strong correlation between oil prices and the dollar exchange rate leads to the suggestion of identifying the crisis phenomena in the oil market, and due to the strong link between oil and gas prices, in the liquefied gas market. According to the results of the correlation analysis, the «Joker» period is determined and the conventional period of crisis enters it with some delay. Thus, based on the research the authors can conclude that, in fact, the global crisis starts earlier than the generally accepted term and is determined by the Joker period.  

How to cite: Lebedev V.A., Spesivtsev B.I. The possibility to predict the oil and gas price crisis in the world market on the basis of the correlation analysis // Journal of Mining Institute. 2015. Vol. 213. p. 94.